Quarterly Market Performance Report – Q3 2011

September 30, 2011

By: Morton N. Lane, President; Roger G. Beckwith, Vice President

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Quarterly Market Performance Report – Q2 2011

June 30, 2011

By: Morton N. Lane, President; Roger G. Beckwith, Vice President

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Quarterly Market Performance Report – Q4 2010

December 23, 2010

By: Morton N. Lane, President; Roger G. Beckwith, Vice President

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Quarterly Market Performance Report – Q3 2010

September 30, 2010

By: Morton N. Lane, President; Roger G. Beckwith, Vice President

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Quarterly Market Performance Report – Q2 2010

June 01, 2010

By: Morton N. Lane, President; Roger G. Beckwith, Vice President

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Quarterly Market Performance Report – Q4 2009

December 31, 2009

By: Morton N. Lane, President; Roger G. Beckwith, Vice President

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Quarterly Market Performance Report – Q3 2009

September 30, 2009

By: Morton N. Lane, President; Roger G. Beckwith, Vice President

The preceding figures and tables update return figures for Q3 2009. As is evident, the passage of a substantially loss-free US wind season, together with easing conditions in the credit markets (and recovery of collateral values as a result) has combined to make the third quarter one of exceptional gains. It is the highest returning quarter ever. It exceeds the previous high in returns for Q1 2007. For the market as a whole the exact numbers are recorded in the tables. For investors who confine their cat investment portfolio to sub-investment grade ILS the numbers are as follows: the returns for Q3 would be 7.08% and the total return index level would be at 188.44, a Compound Annual Growth Rate equivalent ,since 2002, of 8.52%.

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Quarterly Market Performance Report – Q2 2009

June 30, 2009

By: Morton N. Lane, President; Roger G. Beckwith, Vice President

Reinsuring against catastrophic loss requires capital; lots of it. When capital disappears it must be replaced – if the market is to provide prior levels of protection. The traditional ways to replace capital are a) raise new equity, and b) increase premiums on new business. The latter phenomenon is a so called “hard market”, of which the 2005-6 market, following hurricane Katrina, is the text book example. Prior hard markets occurred following the World Trade Center loss in 2001 and following hurricane Andrew and the Northridge earthquake in 1992-94. Each of these three hard markets also saw capital raising as well as higher premiums. This was manifest by debt and equity issues by existing companies as well as the entry of new reinsurance company participants. Those new entrants formed the so-called classes of 1993-4, 2001-2, 2005-6.

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Annual 2009 ILS Review and Q1 2009 Quarterly Performance Review

April, 2009

By: Morton N. Lane, President; Roger G. Beckwith, Vice President

“Change we can believe in” was a very successful political campaign for 2008. Let’s hope it is just as successful for the ILS market in 2009. The “change” necessary for the ILS market involves the security of funds on deposit at Special Purpose Vehicles. The “belt and suspenders” protection the market thought it had, prior to the Lehman default, was found wanting. For four now infamous, ILS securities the belt (the Total Return Swap, TRS) broke with that default of Lehman but the suspenders (the collateral behind the swap) were then found to be of inquality. The old arrangement did not provide security to either cedants or investors. Pre-Lehman TRS mechanisms need “change” and the market is now preoccupied with deciding which change to believe in.

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December 31, 2008

By: Morton N. Lane, President; Roger G. Beckwith, Vice President

ILS manufacturing plants haven’t produced much in the last four months. In fact, for holders of ILS portfolios things have gone into reverse. Some bonds have matured, others have been called early (Redwood, Blue Wings and GlobeCat LAQ). The par value of deals in our index stands at $11.6 billion, a drop of 10.3% from outstandings in the index at the end of the third quarter of 2008. In contrast to the manufacturing plants in Detroit, however, the problem is not a lack of demand. Instead there is continued debate about the best collateral model to produce, and, we suspect, indecision on the part of risk suppliers about their protection needs as they view their own wrecked balance sheets. Our prediction is that this will change by the end of the first quarter.

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