1. Catastrophe Risk in the Capital Markets Cat Bonds, Sidecars and Convergence Goldman, Sachs & Co. June 2006

2. 2 Executive Summary – Issuance Surged in 2005 Development of this market, accelerated by Hurricane Katrina and regulatory changes, accelerated in 2005 Issuance of insurance-linked securities exceeded $7.1 billion, including $2.3 billion of catastrophe bonds $1.8 billion of sidecars $2.5 billion of life insurance securitization $0.3 billion of auto securitization 2006 has already seen over $4 billion of issuance completed or in process Goldman Sachs lead-managed Transactions

3. 3 Catastrophe-Linked Issuance Historical Issuance: Outstanding Transactions and Issuance Per Year Total Catastrophe Transactions ($ millions) EXCEL SOURCE copied at 01-Jun-2006 00:27:00 : rmgcat\Cat Book\2006\Cat Book Supporting Materials v.12.xls(Total Outstanding Iss. (ppt))

4. 4 Catastrophe-Linked Issuance Pre Katrina Total Catastrophe Transactions ($ millions)

5. 5 Catastrophe-Linked Issuance Pre and Post Katrina Total Catastrophe Transactions ($ millions) EXCEL SOURCE copied at 01-Jun-2006 00:59:18 : rmgcat\Cat Book\2006\Cat Book Supporting Materials v.12.xls(Q1-Q3 2005 Chart (ppt))

6. 6 Catastrophe-Linked Issuance Pre and Post Katrina Total Catastrophe Transactions ($ millions)

7. 7 Catastrophe-Linked Issuance May 2006 Issuance Total Catastrophe Transactions ($ millions) EXCEL SOURCE copied at 01-Jun-2006 01:00:23 : rmgcat\Cat Book\2006\Cat Book Supporting Materials v.12.xls(2Q 2006 Chart (ppt))

8. 8 Catastrophe-Linked Issuance 2005-2006 Post-Katrina Total Catastrophe Transactions ($ millions) EXCEL SOURCE copied at 18-Jan-2006 10:13:21 : RMGCAT\Cat Book\January 2006\Cat Book Supporting Materials.xls(Pricing Chart)

9. 9 Developments in 2006 Over $3 billion of transactions completed or in the market YTD 2006 (plus over $3 billion of life) Volume likely to surpass $4 billion by wind season, or more than full year 2005 Increasing pricing gradients: trigger type, peril, first/second event Increasing diversity of views of risk Increasing convergence of cat bond, traditional reinsurance, sidecar, ILW and bank markets

10. 10 Directions Continued growth of specialist investors Development of structured triggers to manage basis risk Convergence of the retrocessional market Increasingly integrated primary insurance programs Convergence of rating agency disciplines Development of the sidecar and index portfolio sectors Expansion to additional risks