1. Casualty Actuarial Society: Overview of Catastrophe Risk Securitization Presented by: American Re Securities Corporation March, 2000

2. 2 of 27March, 2000 Table of Contents I.Transaction Structures II.Transaction Costs III. Transaction Timing IV. Catastrophe Bond Investors Appendix IGold Eagle Capital Limited Appendix IIOther Transactions This presentation has been prepared by American Re Securities Corporation on behalf of itself and associated companies, and is provided for information purposes only. Under no circumstances is it to be used or considered as an offer to sell, or a solicitation of any offer to buy. Neither American Re Securities Corporation nor any affiliate has acted or will act as a fiduciary or financial, investment, commodity trading or other advisor of or for any recipient of this presentation and any investment, trading or hedging decision of a party will be based upon its own independent judgement after consultation with such tax, accounting, legal and other advisors as it deemed appropriate. Although the information in this presentation has been obtained from sources believed to be reliable, we make no representations as to its accuracy or completeness and it should not be relied upon as such. Any opinions expressed herein are subject to change. From time to time, American Re Securities Corporation, its associated companies and any of their officers, employees or directors may have a position, or otherwise be interested in, transactions in any securities directly or indirectly the subject of this presentation. American Re Securities Corporation, or its associated companies, may from time to time perform investment banking or other services for, or solicit investment banking or other business from, any company mentioned in this presentation. The information contained herein is confidential and may not be copied or otherwise reproduced or quoted to any party other than the receiving party (including its directors, officers, employees, or professional advisors in whole or in part).

3. Transaction Structures

4. 4 of 27March, 2000  Insurance Intermediary provides retrocessional coverage for Sponsor  Insurance Intermediary cedes risk to a Special Purpose Entity  The Special Purpose Entity fully collateralizes the maximum recovery by issuing securities to the Capital Markets Sponsor Insurance Intermediary Investors Special Purpose Entity Collateral Trust Collateral Trust Principal Interest and remaining principal at maturity Premium Contingent Claims Payment Premium Coupon on Principal Principal Fundamental Transaction Structure Optional

5. 5 of 27March, 2000 Indemnity CAT Bond  Linked to actual losses of Sponsor in excess of retention:  No basis risk  Co-insurance is required  Requires extensive disclosure  Detailed disclosure on underwriting, business practices and underlying exposures  Bond structure must allow for claims development period:  Investors have extension risk  No recovery for Sponsor until the end of the development period Maximum Possible Exposure Indemnity Cat Bond Traditional Reinsurance Retention $ Actual Losses  Insurer Investors and Insurer Insurer Re-Insurers and Insurer

6. 6 of 27March, 2000 Parametric CAT Bond  Linked to physical event parameters  Location  Magnitude for Earthquake  Maximum windspeed or barometric pressure for Windstorm (no precedent exists for Windstorm)  Introduces basis risk between parametric trigger and incurred losses  No Co-insurance  Requires minimal disclosure  No disclosure on underwriting, business practices or underlying exposures  No extension risk for Investors  Less elapsed time before Sponsor’s recovery than for an indemnity bond Maximum Possible Exposure Parametric Cat Bond Traditional Reinsurance Retention Magnitude of event  Insurer Re-Insurers and Insurer Investors Insurer

7. 7 of 27March, 2000 Modeled Index CAT Bond Modeled Index Linked Securities: e.g. ModILS SM  Linked to an Index:  Modeled Industry Losses  Modeled Insurer Losses  Less basis risk than for a Parametric CAT Bond  No Co-insurance  Requires minimal disclosure  No disclosure on underwriting and business practices  If an industry index, no disclosure on Sponsor's exposures  No extension risk for Investors  Less elapsed time before Sponsor’s recovery than for an indemnity bond Maximum Possible Exposure ModILS SM Cat Bond Traditional Reinsurance Retention $ Modeled Losses  Insurer Re-Insurers and Insurer Investors Insurer

8. 8 of 27March, 2000 Coping with the Basis Differential Basis differential can be placed or retained:  The Sponsor can retain the basis  No cost related to third party taking basis  Positive value can be structured to equal or exceed negative value  May prevent transaction from being treated as reinsurance for regulatory purposes  Through an Insurance Intermediary, the index or parametric bond can be transformed into an indemnity policy, and the Intermediary can place or retain the basis risk  An Intermediary can arrange for a cap on the basis differential, thereby ensuring performance within a collar range  Loss/Gain  Probability of Exceedance  0.X%

9. Transaction Costs

10. 10 of 27March, 2000 Costs of Transaction  Initial transaction costs are constant for any transaction of $100 million in size or less:  Ongoing transaction costs depend on the maturity of the bond. The following estimates are the spread to LIBOR demanded by Capital Markets investors for a ModILS SM or Parametric bond of BB risk: 1 Year3 Year5 Year 400 bps450 bps500 bps

11. 11 of 27March, 2000 Annual Costs of Transaction  All-in, estimated transaction costs, expressed as an annual Rate-on-Line:

12. Transaction Timing

13. 13 of 27March, 2000 Time Frame Indemnity Bond ModILS SM or Parametric Bond

14. Catastrophe Bond Investors

15. 15 of 27March, 2000 Some Previous Investors:  Bank of Montreal  Bracebridge  Capital Research and Trading  Combined Insurance Company of America  Everest Re  John Hancock Mutual Life  Lazard  Lincoln Re  Lutheran Brotherhood  Pacific Life  PIMCO  Renaissance Re  TIAA  Travelers  US Fidelity & Guarantee Investors in CAT bonds Mutual Funds Life Insurers Hedge Funds Reinsurers Banks Non-Life Insurers

16. Gold Eagle Capital Limited Appendix I

17. 17 of 27March, 2000 Transaction Highlights  Gold Eagle Capital Notes offer diversified exposure to catastrophic risk:  East Coast/Gulf Hurricane  New Madrid Earthquake  California Earthquake  Modeled Index Linked Securities (ModILS SM ), where performance is linked to an index reflecting modeled, rather than actual, insurance losses, avoid certain risks associated with indemnity CAT bonds:  Investors exposed solely to frequency of event occurrence, with no uncertainty as to severity of loss  No exposure to claims paying practice or changes in underlying policies  Exposure data and associated attachment points are placed in escrow and remain static  No uncertainty from secondary perils  Allows rapid post-event settlement period  Class A Notes were the first, fully principal-at-risk, investment grade CAT bond

18. 18 of 27March, 2000 Transaction Summary Securities: $50 million of Class A Floating Rate Modeled Index Linked Notes $126.6 million of Class B Floating Rate Modeled Index Linked Notes Issuer:Gold Eagle Capital Limited, a special purpose Bermuda company Index Swap Counterparty:American Re Capital Markets, Inc. (“ARCM”), a wholly owned subsidiary of American Re Corporation (“ARC”) Use of Proceeds:Invested in Permitted Investments to collateralize the Index Swap Index Swap Calculation Agent:Risk Management Solutions, Inc. (“RMS”) Maturity Date:April, 2001 (subject to a maximum extension of 2 months) Risk Period:November 24, 1999 to March 31, 2001, excluding 1999 Hurricane Coupon:Class A:US$ 3 month LIBOR +295 bps Class B:US$ 3 month LIBOR +540 bps Ratings:Class A:Baa3/BBB-Moody’s/Fitch Class B:Ba2/BBMoody’s/Fitch

19. 19 of 27March, 2000 Gold Eagle Capital Limited November 1999  Gold Eagle Capital Limited enters into a cash-collateralized, catastrophe Index Swap with ARCM.  Gold Eagle Capital Limited collateralizes this swap by issuing $176.6 million of Modeled Index Linked Notes to investors.  Gold Eagle Capital Limited enters into an Interest Rate Swap to smooth investment income. Index Swap Counterparty (ARCM) Index Swap Counterparty (ARCM) CIBC, London Collateral Account Collateral Account Gold Eagle Capital Limited Gold Eagle Capital Limited ModILS SM Investors ModILS SM Investors Principal Repayment & Interest Cash Proceeds Fixed Payment Qualifying Event Settlement Amount Cash Proceeds from Sale of Notes Return on permitted investments LIBOR -[XX] Return on Permitted Investments

20. 20 of 27March, 2000 Determination of the Index Value  RMS determines if a given Hurricane or Earthquake is a Qualifying Event.  Within 60 days:  RMS parameterizes (quantifies the characteristics of) the Qualifying Event  RMS calculates an Index Value utilizing those parameters and the escrowed Exposure Dataset  If the final Index Value results in a write down of principal, such write down will occur on the Interest Payment Date following the determination of the Index Value  Any Index Value resulting in a principal write-down must be supported by an Agreed Upon Procedures Letter from KPMG to verify the correct application of the RMS model  Generic event and write-down timing example: September, 2000 Trigger Event October, 2000 30 day Preliminary Index Value November, 2000 60 day final Index Value January, 2001 Determination Date >60 days after event January, 2001 Interest Payment Date write-down of principal ~30 days variable ~30 days5 days

21. 21 of 27March, 2000 Modeled Risk Profile Class A Notes Attachment Probability (17 month)0.24% Exhaustion Probability (17 month) 0.24% Expected Loss (17 month) 0.24% Expected Loss (annualized) 0.17% Class B Notes Attachment Probability (17 month) 1.10% Exhaustion Probability (17 month) 0.70% Expected Loss (17 month) 0.89% Expected Loss (annualized) 0.63% Events Qualifying for Calculation: A Hurricane of category 1 or higher, occurring in the Eastern Hurricane Region on or after January 1, 2000 An Earthquake in the New Madrid Seismic Zone or California exceeding magnitude 5.0 at its epicenter $42 million $177 million $127 million $84 million Class A Entire Class B 2/3 Class B 1/3 Class B 0.24% 0.70% 0.86% 1.10% Principal Reduction 17 month Exceedance Probability

22. 22 of 27March, 2000 New Madrid Modeled Risk Profile Events Qualifying for Calculation: An Earthquake exceeding certain magnitude thresholds at its epicenter, in the New Madrid Region: M w M b M s 5.05.0 5.0 400 620 470 435 Class A Entire Class B 2/3 Class B 1/3 Class B 0.11% 0.18% 0.22% 0.24% RMS CAT Index Value 17 month Exceedance Probability Boundaries for Qualifying New Madrid Earthquake Events

23. 23 of 27March, 2000 California Modeled Risk Profile Boundaries for Qualifying California Earthquake Events Events Qualifying for Calculation: An Earthquake exceeding certain magnitude thresholds at its epicenter, in the California Region: M w M b M s 5.05.0 5.0 245 620 291 260 Class A Entire Class B 2/3 Class B 1/3 Class B <0.03% 0.05% 0.17% RMS CAT Index Value 17 month Exceedance Probability

24. 24 of 27March, 2000 East Coast/Gulf Modeled Risk Profile Events Qualifying for Calculation: A Hurricane occurring in the Eastern Hurricane Region of category 1 or higher. Any named tropical storm or hurricane that is designated as such by the NHC prior to January 1, 2000 shall be excluded as a Qualifying Event. [380] [620] [410] [395] Class A Entire Class B 2/3 Class B 1/3 Class B [0.11%] [0.49%] [0.59%] [0.70%] RMS CAT Index Value 15 month Exceedance Probability Boundaries for Qualifying Hurricane Events

25. 25 of 27March, 2000 Historical Events

26. Other Transactions Appendix II

27. 27 of 27March, 2000 Some Comparable Transactions