june 6, 2007 -...

Global Loss Triangles2006 Global Loss Triangles

JUNE 6, 2007

XL Capital Ltd

XL CapitaL Ltd

2006 GLobaL Loss trianGLes

GLobaL Loss trianGLes CaUtionarY LanGUaGe 1

-CautionaryNoteRegardingForward-LookingStatements 1

introdUCtion 2

desCription oF data presented 2

-GlobalLossTriangleClasses 3

-LargeLosses 4

-DiscontinuedBusiness 4

-MiscellaneousAdjustments 4

-Discounting 5

-LondonMarketDataAdjustmenttoAccidentYear 5

reConCiLiation to FinanCiaL stateMents 5

-ReconciliationofGlobalLossTriangleswithGAAPReserves 6

reserVinG proCesses 7

-StandardProcesses 7

-LimitationsoftheStandardProcesses 7

-UnderwritingYearProjections 8

GLobaL Loss trianGLes CLass desCriptions 8

-Insurance–Property 9

-Insurance–Casualty 9

-Insurance–Professional 9

-Insurance–Specialty 10

-Reinsurance–PropertyCatastrophe 10

-Reinsurance–PropertyOther 10

-Reinsurance–U.S.Casualty 11

-Reinsurance–Non-U.S.Casualty 12

-Reinsurance–MarineandAviation 12

-Reinsurance–Other 13

2004 and 2005 LarGe eVent Loss sUMMarY 14

XL CapitaL Ltd 2006 GLobaL Loss trianGLes – insUranCe seGMent

-XLInsuranceSegmentTotal 15

-Property 16

-Casualty 17

-Professional 18

-Specialty 19

XL CapitaL Ltd 2006 GLobaL Loss trianGLes – reinsUranCe seGMent

-XLReinsuranceSegmentTotal 20

-PropertyCatastrophe 21

-PropertyOther 22

-U.S.Casualty 23

-Non-U.S.Casualty 24

-MarineandAviation 25

-Other 26

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XL CapitaL Ltd


GLobaL Loss trianGLes CaUtionarY LanGUaGe

Thedatainthispublicationisforinformationalpurposesonlyandiscurrentonlyasofitsstateddate,whichisDecember

31,2006.TheCompanyisundernoobligationtoanddoesnotexpecttoupdateorrevisethisdata,whetherasaresultof

newinformation,futureeventsorotherwise,evenwhensuchnewdatahasbeenreflectedintheCompany’sfilingswith

theU.S.SecuritiesandExchangeCommission(the“SEC”).Thedevelopmentpatternsdisclosedareanimportantfactorin

theprocessusedbytheCompanytoestimatelossreserverequirements,howevertheyarenottheonlyfactorsconsidered

bytheCompanytoestablishreserves.Theprocessforestablishingreservesissubjecttoconsiderablevariability,asit

requirestheuseofinformedestimatesandjudgments.Importantdetails,suchasspecificlossdevelopmentexpectations

forparticularcontracts,yearsorevents,cannotbedevelopedbyanalyzingtheinformationprovidedherein.Inaddition

toanalyzinglossdevelopmentinformation,theCompanyincorporatesadditionalinformationintoitsreservingprocess

suchaspricingandmarketconditions.Readersarecautionedtoconsidertheseandanyotherqualificationsdescribed

inthispublicationwhenreviewingthisdata.Thispublicationshouldbereadinconjunctionwiththosedocumentsfiled

bytheCompanywiththeSECincludingtheCompany’smostrecentAnnualReportonForm10-KandQuarterlyReports

onForm10-Q.

Cautionary note regarding Forward-Looking statements:

Thispublicationcontainsforward-lookingstatementsthataremadepursuanttothePrivateSecuritiesLitigationReform

Actof1995(“PSLRA”)“safeharbor”forforward-lookingstatements.Statementsthatarenothistoricalfacts,including

statementsabouttheCompany’sbeliefs,plansorexpectations,andstatementsthatincludethewords“expect”,“intend”,

“plan”,“believe”,“project”,“anticipate”,“will”,“may”,andsimilarstatementsofafutureorforward-lookingnature,identify

forward-looking statements for purposes of the PSLRA or otherwise. These statements are based on current plans,

estimates,andexpectations.Actualresultsmaydiffermateriallyfromthoseincludedinsuchforward-lookingstatements

andthereforeyoushouldnotplaceunduerelianceonthem.Anon-exclusivelistoftheimportantfactorsthatcouldcause

actualresultstodiffermateriallyfromthoseinsuchforward-lookingstatementsincludesthefollowing:(a)changesinthe

sizeoftheCompany’sclaimsrelatingtonaturalcatastrophes;(b)greaterfrequencyorseverityofclaimsandlossactivity

thantheCompany’sunderwriting,reservingorinvestmentpracticesanticipatebasedonhistoricalexperienceorindustry

data;(c)trendsinratesforpropertyandcasualtyinsuranceandreinsurance;(d)developmentsintheworld’sfinancial

andcapitalmarketsthatadverselyaffecttheperformanceoftheCompany’sinvestmentsoraccesstosuchmarkets;(e)

changesingeneraleconomicconditions,includingforeigncurrencyexchangerates,inflationandotherfactors;and(f)

theotherfactorssetforthintheCompany’smostrecentreportsonForm10-K,Form10-Q,andotherdocumentson

filewiththeSEC,aswellasmanagement’sresponsetoanyoftheaforementionedfactors.TheCompanyundertakes

noobligationtoupdateorrevisepubliclyanyforward-lookingstatement,whetherasaresultofnewinformation,future

developmentsorotherwise.

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XL CapitaL Ltd


introdUCtion

As an enhancement to our regular financial disclosures,

XL Capital is pleased to introduce its first publication

of Global Loss Triangles (GLTs), providing gross paid

and reported loss and allocated loss adjustment

expense (ALAE) data as of December 31, 2006 for our

Insurance and Reinsurance Segments. These triangles

are intended to provide a view of the Company’s global

spread of insurance and reinsurance business by

general class and type and additional insights into the

loss development characteristics of our business as of

December 31, 2006.

Our results of operations and financial condition

depend upon our ability to assess accurately the

potential losses associated with the risks that we

insure and reinsure. Loss reserves are established

due to the significant periods of time that may lapse

between the occurrence, reporting and payment of a

loss. The process of establishing reserves for property

and casualty claims can be complex and is subject

to considerable variability as it requires the use of

informed estimates and judgments. Actuarial estimates

of unpaid loss and loss adjustment expense (LAE)

reserves are subject to potential errors of estimation,

which could be significant, due to the fact that the

ultimate disposition of claims incurred prior to the date

of such estimation, whether reported or not, is subject

to the outcome of events that have not yet occurred.

Any estimate of future costs is subject to the inherent

limitation on the ability to predict the aggregate course

of future events. It should therefore be expected that

the actual emergence of ultimate loss and LAE will

vary, perhaps materially, from any such estimate.

The GLTs are presented in thousands of U.S. dollars,

reflecting conversions from the local currencies in

which the business was written. Changes in foreign

exchange rates could cause dramatic shifts in apparent

loss development if historical rates of exchange were

applied in subsequent year-end valuations. Foreign

currency denominated losses throughout the triangles

are stated at the exchange rates in effect as of the

system close dates for year-end 2006 processing.

An adjustment is made in the reconciliation to reflect

movements in exchange rates from the system close

date to December 31, 2006. Paid losses are also

shown at historical rates of exchange.

Our Insurance and Reinsurance Segments are

presented separately. The Insurance triangles contain

accident/report year information for 1997-2006. The

Reinsurance triangles contain underwriting year

information for 1997-2006, with U.S. Casualty business

shown for 1987-2006. All triangles also show a ‘Prior’

line for earlier years than those detailed. The legal

environment in the U.S. is typically less predictable

than in other countries, and reinsurance claims typically

develop over a longer period than primary claims.

The expanded number of underwriting years for U.S.

Casualty reinsurance business should help illustrate

reasonable expectations concerning the development

for this business.

desCription oF data presented

For each class of business shown, we present written

premiums and earned premiums, both gross and net

of reinsurance. We also show a triangle of cumulative

gross paid loss and ALAE, a triangle of cumulative

gross reported (paid plus case reserves) loss and ALAE,

and the latest cumulative net paid and reported loss

and ALAE. For Insurance Segment data, the triangles

are shown on either an accident year or report year

basis, with the premiums on a calendar year basis.

Loss data related to the Insurance Professional class

of business is presented on a report year basis while all

other Insurance classes are presented on an accident

year basis. For the Reinsurance Segment, the triangles

are shown on an underwriting year basis, with the

premiums also on an underwriting year basis. These

conventions match the standard reserving practices

for direct insurance and for reinsurance, respectively.

We have not included net loss and ALAE triangles for

reasons explained below.

Case reserves for the Company’s reinsurance general

operations are generally established based on reports

received from ceding companies. Additional case

reserves (ACRs) may be established by the Company

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XL CapitaL Ltd


to reflect the Company’s estimated ultimate cost of a

loss. Any such ACRs have been included along with

case reserves in the reported loss triangles presented

herein.

It should be noted that much of the loss data included

in the triangles in years prior to 2002 corresponds

to business underwritten by entities prior to their

acquisition by XL. Significant underwriting changes

were made in many of these operations post-

acquisition that have had impacts on the profitability

and loss development characteristics of the business.

For this reason, caution should be exercised if data from

these older years are used to project results for more

recent years. As a result of the underwriting changes

as well as the maturity of the business, premium data

for years prior to 2002 has not been provided. While

acquisition activity has also impacted the Reinsurance

Segment, premium data has been included for a full

10-year period for two reasons. First, the development

patterns are longer for Casualty Reinsurance business

indicating the need to consider premium-based

methods in certain cases for years prior to 2002.

Second, the classification of the data presented in the

triangles for Reinsurance permits the separate analysis

of U.S. Casualty business (which forms the bulk of the

acquired business) and descriptions of the associated

underwriting changes are provided to allow the user to

take these changes into consideration.

A further complication to the reserving analysis resulting

from historical acquisitions is that we have inherited

many complex reinsurance arrangements, especially

through the Winterthur International acquisition in 2001.

Many loss recoveries related to such arrangements can

only be evaluated on their own merits with a by-line-of-

business or by-treaty analysis. For this reason, gross

loss triangles offer a more stable and dependable base

from which to project ultimate losses, especially for the

years affected by our growth by acquisition. Therefore,

the paid and reported triangles herein are presented

on a gross basis.

For the reasons cited above, you should not draw

inferences concerning our net reserve position by

projecting net loss development patterns in isolation.

We do believe, however, that reasonable inferences

can be drawn concerning our net reserve position from

simple ratios of latest net valuations to latest gross

valuations, particularly those indicated by our held

reserves. Therefore, to allow similar comparisons of

gross and net reserve positions, we provide the latest

valuation of the related net loss data. That is, net paid

and reported loss and ALAE is provided by year by

GLT Class as of December 31, 2006. Furthermore,

since a large portion of our ceded reserves relate to

catastrophic events, we have provided full ceded loss

information including ceded incurred but not reported

(IBNR) for two categories of catastrophic loss events

namely the 2004 hurricanes (specifically Charley,

Frances, Ivan and Jeanne), and 2005 hurricanes/floods

(specifically Katrina, Rita, Wilma, Erwin, and European

Floods). These events are shown separately and are

discussed in more detail further in this disclosure.

Global Loss Triangle Classes

Triangles are provided for 10 GLT Classes, four for

the Insurance Segment and six for the Reinsurance

Segment as follows:

insurance segment

Property

Casualty

Professional

Specialty

reinsurance segment

Property Catastrophe

Property Other

U.S. Casualty

Non-U.S. Casualty

Marine and Aviation

Other

Insurance Specialty includes marine, energy, aviation,

satellite, environmental, programs, equine, warranty

and excess and surplus lines. Reinsurance Other

includes political risk, surety, warranty, accident

and health, whole account business and other lines.

Further details on the nature of the business included

within each of the classes above are provided in a later

section. The user should read these sections carefully

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XL CapitaL Ltd


as they provide important information on the nature

of the underlying business and historical changes in

business mix that impact the reserve analysis.

Large Losses

Loss development associated with three major groups

of catastrophic losses has been excluded from the

triangles, specifically World Trade Center (WTC),

2004 hurricanes, and 2005 hurricanes/floods. These

events have been excluded from the triangles due

to their magnitude and, in the case of the 2004 and

2005 events, due to their occurrence in recent years,

in order to avoid distortions in the development factors

and indicated reserve levels. Reserves for these events

are not based on aggregate development statistics,

but rather on ground-up exposure-based assessments

reflecting information provided by insureds and cedants

on a contract-by-contract basis. Separate disclosure is

provided on these catastrophic losses including gross

and net paid losses, gross and net reported losses,

and gross and net IBNR as at December 31, 2006.

For WTC, only the gross and net total reserve amounts

are provided due to the complexity arising from the fact

that XL assumed the run-off of certain WTC liabilities

through acquisition-related activity, specifically the

acquisition of a 100% stake in Le Mans Ré in 2003

and as a result of the conclusion of the Winterthur net

reserve seasoning process in November 2005. This

means that the reported reserves include the unpaid

portion of the liabilities, yet we were not responsible

for all of the historical payments associated with

these claims. Thus, the actual portion of the payments

made by the Company would not be consistent with

the remaining unpaid liabilities and have therefore not

been provided.

Discontinued Business

Discontinued business refers to business that has

been excluded from the triangles due to the fact that

the business is in run-off. In most cases, the original

business was acquired through acquisition and

was either already in run-off when acquired or was

subsequently placed into run-off because it did not

meet our strategic objectives. Loss data from these

discontinued lines of business is not reflected in the

triangles so as not to distort the historical development

patterns that are used as the basis for projecting the

more recent years. Also, some of the discontinued

business is not suited to loss development analysis

(e.g., asbestos and environmental exposures) or loss

development statistics are not available for a sufficient

time period to allow such analysis (e.g., because

credible historical development data was not available

from the original underwriting entity).

Within the Insurance Segment, the discontinued

business is primarily from two business groups which

are now in run-off. The first is XL London Market

business written in years 2001 and prior from the

Denham Syndicate. The second is business written by

Winterthur International prior to its acquisition by XL

in 2001 that was discontinued post-acquisition. This

is primarily Casualty business. Furthermore, Surety

business was discontinued in 2004.

The discontinued business in the Reinsurance Segment

consists primarily of loss reserves associated with a

small portfolio of legacy contracts originally written in a

predecessor company of NAC Re that have exposure

to asbestos and environmental claims prior to 1986 and

certain European Life Accident and Health reserves.

The reconciliation on page six shows that approximately

11% of total held gross reserves and 8% of total held

net reserves correspond to discontinued business at

December 31, 2006.

Miscellaneous Adjustments

In addition to the excluded business noted above,

there are a number of adjustments that are required

to reconcile the loss reserves in the triangles and large

loss disclosure to the held reserves as at December 31,

2006. These items include movement in reserves due to

foreign exchange rate movements between our system

close date when the triangles were generated and the

actual year-end rates, unallocated loss adjustment

expense reserves, the provision for unrecoverable

reinsurance (which affects the net reserve amounts)

and other miscellaneous reconciling adjustments.

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XL CapitaL Ltd


These amounts, which represented approximately 2%

of held gross reserves and 4% of held net reserves as

at year-end 2006, are shown in the reconciliation on

page six.

Discounting

Except for certain workers’ compensation and long-

term disability liabilities, XL does not discount its

unpaid loss and LAE reserves. XL utilizes tabular

reserving for workers’ compensation and long-term

disability unpaid losses that are considered fixed and

determinable, and discounts such losses using an

interest rate of 5%. The interest rate approximates

the average yield to maturity on specific fixed income

investments that support these liabilities. The tabular

reserving methodology results in applying uniform and

consistent criteria for establishing expected future

indemnity and medical payments (including an explicit

factor for inflation) and the use of mortality tables to

determine expected payment periods.

The loss triangles included herein are presented on a

gross of discount basis, reflecting the undiscounted

case-basis reserves established using the tabular

reserving methodology. This provides the most

appropriate basis for establishing reserve levels on

an undiscounted basis. The amount of discount is

then determined for both case and IBNR reserves

and booked accordingly. The amount of discount is

included in the reconciliation of the reserves from the

triangles to the held reserves.

London Market Data Adjustment to Accident Year

As noted above, the Insurance Segment data is

presented on an accident year or report year basis

which is consistent with the basis for analysis for

the vast majority of this Segment’s reserves. The

exception to this is for business written in our London

Market operation which is generally analyzed on a

treaty or underwriting year basis. For the purposes of

the Insurance Segment triangles contained herein, we

have allocated the London Market underwriting year

data to accident year to facilitate the combination of

the London Market data with other Insurance Segment

data by GLT Class on an accident year basis. The basis

for the allocation is the assumption that 50% of a given

underwriting year is associated with the corresponding

accident year and 50% is associated with the next

accident year.

reConCiLiation to FinanCiaL stateMents

The following page provides a reconciliation of the

unpaid reserves in the GLTs to our held reserves at

December 31, 2006.

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XL CAPITAL LTD

2006 GLOBAL LOSS TRIANGLES

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reserVinG proCesses

standard processes

When estimating IBNR reserves, each of the

Company’s insurance and reinsurance business units

segregate business into exposure classes and over

150 classes are reviewed in total. Within each class,

the business is further segregated by either the year

in which the contract incepted (“underwriting year”),

the year in which the claim occurred (“accident year”),

or the year in which the claim is reported (“report

year”). The majority of the loss reserves related to

the Insurance segment are reviewed on an accident

year basis and on an underwriting year basis for the

Reinsurance segment.

Generally, initial actuarial estimates of IBNR reserves

not related to a specific event, i.e., non-catastrophe

losses, are based on the loss ratio method applied

to each class of business. Actual paid losses and

case reserves (“reported losses”) are subtracted

from expected ultimate losses to determine IBNR

reserves. The initial expected ultimate losses involve

management judgment and are based on historical

information for that class of business; which includes

loss ratios, market conditions, changes in pricing and

conditions, underwriting changes, changes in claims

emergence, and other factors that may influence

expected ultimate losses.

Over time, as a greater number of claims are reported,

actuarial estimates of IBNR are based on the

Bornhuetter-Ferguson (B-F) and loss development

(or chain ladder) techniques. The B-F method utilizes

actual loss data and the expected patterns of loss

emergence, combined with an initial expectation of

ultimate losses to determine an estimate of ultimate

losses. This method may be appropriate when there

is limited actual loss data and a relatively less stable

pattern of loss emergence. The chain ladder method

utilizes actual loss and expected patterns of loss

emergence to determine an estimate of ultimate

losses that is independent of the initial expectation of

ultimate losses. This method may be appropriate when

there is a relatively stable pattern of loss emergence

and a relatively larger number of reported claims.

These techniques may be inappropriate for many

lines of business and in many specific situations

such as catastrophe losses. In such situations,

specific knowledge of outstanding claims, underlying

exposures, the coverages involved, legal trends,

known occurrences that have not yet resulted in

reported losses, and changes in frequency or severity

might be used to establish reserves.

Multiple estimates of ultimate losses using a variety of

actuarial methods are calculated for many, but not all,

of the Company’s (150+) classes of business for each

year of loss experience. The Company’s actuaries look

at each class and determine the most appropriate

point estimate based on the characteristics of

the particular class and other relevant factors, as

described above. Once the Company’s actuaries

make their determination of the most appropriate point

estimate for each class, this information is aggregated

and presented to management for consideration in

establishing the recorded reserves.

Limitations of the standard processes

Reserving actuaries, especially in personal lines

or mid-market commercial lines companies, often

employ the standard loss development techniques

noted above to project ultimate losses from triangles

of paid and reported losses. These methods rely on

an assumption that losses develop consistently from

one year to the next, and, for the loss ratio and B-F

methods, on the assumption that an initial expected

loss ratio can be accurately selected.

While we have made substantial efforts to remove data

elements in this disclosure that could create obvious

distortions in loss development – catastrophes,

discontinued lines, etc. – we strongly caution against

any assumption that the standard loss projection

techniques applied mechanically can alone be used to

estimate ultimate losses for our data. Reasons to avoid

simplistic projections include:

– XL has experienced considerable growth in the

past 10 years through acquisition and through

new business unit start-up operations. In most

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XL CapitaL Ltd


cases, the more recently underwritten business is

of a very different mix of coverages provided and

size of risk written as compared with that in prior

years. Our growth also means that more recent

years have higher volume. The loss development

associated with this business will therefore vary,

perhaps significantly, from the loss development

observed in the triangles for older periods.

The use of loss development factors derived

from older business applied to the more recent

business may not yield accurate results. This is

especially true for the Insurance Professional GLT

Class where growth and mix of business changes

have been significant. Please refer to the GLT

Class Descriptions below for further details on

this and other classes.

– Pricing conditions are cyclical in the (re)insurance

industry, and no single initial expected loss ratio

can be successfully applied to all accident years

or underwriting years. In particular, since 2001,

XL has achieved significant improvements in

premium rate levels and underwriting terms and

conditions that have contributed to lower loss

ratios than those experienced in the 1997 to 2001

years for most lines of business. If these changes

are not taken into consideration in selecting

expected loss ratios, estimates of future losses

would likely be misstated, perhaps significantly.

– Losses develop differently for different classes of

liability business. The same is true, to a lesser extent,

of property coverages. The aim of the triangles

contained herein is to present the Company’s

loss development experience in an informative

format, while protecting proprietary management

information. One disadvantage, however, is that loss

experience from business that develops differently

has been aggregated. This is most significant in

the Insurance Specialty, Insurance Professional

and U.S. Casualty Reinsurance GLT Classes which

contain different mixes of business over time.

– Paid loss development patterns are generally

considerably longer than the corresponding

reported loss development patterns and can

produce very volatile indications, particularly for

long tail classes of business and within the first

several years of development. GLT Classes where

the mix of business has changed significantly

over time are further susceptible to distortions in

ultimate loss projections resulting from changing

payment patterns.

Underwriting Year projections

Data organized by underwriting year assigns claims

and premiums to the year in which the assumed

reinsurance contract incepted. As such, an

underwriting year can cover claims spanning several

accident years. This has two primary implications for

estimating ultimate loss reserves. First, the payment

and reporting patterns are generally slower than for

data presented by accident year. This means that it

is even more critical that premium-based reserving

methods such as the Loss Ratio Method or B-F

Method are used for the more recent or immature

years rather than loss development methods that can

be distorted by small movements in actual paid and

reported loss activity due to the application of large

development factors (e.g., development factors of

2.00 or more). Second, underwriting years for which

the premium is not fully earned require an adjustment

to the indicated reserves to reflect only the portion of

ultimate underwriting year losses that are associated

with losses that have occurred prior to the evaluation

date. This is typically done by developing an ultimate

loss ratio estimate for the full underwriting year and

applying this loss ratio to the earned premium for

each underwriting year.

GLt CLass desCriptions

The following sections provide additional background

information on each of the GLT Classes including

changes in mix of business over time that may impact

the loss development patterns and/or loss ratio levels.

In addition, commentary is provided on the general

direction of premium rate level movements in recent

years. Due to its proprietary nature, detailed premium

rate change information is not provided. However,

information on industry premium rate changes is

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XL CapitaL Ltd


available from several sources including: The Council

of Insurance Agents and Brokers (CIAB) Commercial

Insurance Lines survey, Lloyd’s of London Premium

Rating Index, and Tillinghast-Towers Perrin Directors

and Officers Liability Survey. Such rate change

information should be considered when applying

premium-based reserving methods.

insurance – property

The Property Class is comprised of (1) first-party

property coverages on an all-risks and named perils

basis for large commercial, energy and construction

risks, and (2) fine art and specie risks. Specie

insurance covers financial institutions and other

companies for loss or damage to cash and valuables

in vaults, on premises or in transit. In 2006, the written

premium was split in the following approximate

proportions for these two categories: 85% and 15%,

respectively. Premium written by U.S. legal entities

was approximately 28% of the total in 2006.

Property and specie loss data has been combined

as they typically exhibit short loss development

patterns. Generally, Property premium rates have

been declining since 2003, with the exception of

catastrophe-exposed U.S. business which increased

dramatically in 2006. Specie premium rates increased

in 2006 after a decline in 2005.

insurance – Casualty

The Casualty Class is comprised primarily of (1)

global programs coverage for single or multi-territory

companies, (2) casualty excess liability coverage

and (3) large deductible programs for the U.S. risk

management market. In 2006, the written premium

was split in the following approximate proportions for

these categories: 44%, 44% and 12%, respectively.

Premium written on U.S. legal entities was

approximately 25% of the total. Generally, premium

rate levels for Casualty Lines in total have decreased

in 2005 and 2006 following relatively strong rate levels

for years 2002-2004.

insurance – professional

The Professional Class is comprised of Directors and

Officers Liability (D&O), Errors and Omissions Liability

(E&O), and Employment Practice Liability (EPL). In

2006, the written premium was split in the following

approximate proportions for these categories: 65%,

26% and 9%, respectively. Premium written by U.S.

legal entities was approximately 75% of the total in

2006.

As described elsewhere in this document, the

Professional Class is presented on a report year

basis, compared to the accident year presentation

of the other Insurance GLTs. Premium rate levels for

Professional Lines have decreased in 2005 and 2006

following relatively strong rates in 2003-2004.

Significant growth within the U.S. D&O and E&O

business began in 2001 where we had $139 million

of gross premium, compared to $49 million in 2000.

By 2006, this business represented over 75% of

gross written premium for the Professional Class.

The limit and attachment profile of the business

has significantly changed as well. Prior to 2001,

the Professional business was characterized by

attachments which averaged over $100 million and

typical limits between $50 million and $100 million.

The claims activity within this high excess exposure

was characterized by longer, more volatile reporting

patterns as compared with expectations for the

current book of business. The current business now

includes a significant proportion of policies written

on a primary basis with limits at or below $10 million.

The combination of these changes, along with the

significant increase in earned premium after 2001,

have reduced the average limit as a percentage of

earned premium, which should lower the impact that

any one claim has on loss development factors.

Due to the change in the mix of business described

above, the use of link ratios derived from Report

Years 2001 and prior may not be reflective of the

future development expectations for the current

book (Report Years 2002 and subsequent). Given

this potential distortion, we have supplemented our

internal reviews of this business by incorporating

the use of NAIC Schedule P loss development

data for Other Liability – Claims Made business

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from our primary U.S. competitors. We have also

supplemented our analysis with both internal and

external information regarding the reduction in the

number of securities class action lawsuits in the

last three years, including that of the Stanford Law

School Securities Class Action Clearinghouse. These

information sources factored into our ultimate loss

ratio selections for more recent years.

insurance – specialty

The Specialty Class is comprised of aerospace,

marine & offshore energy, environmental, programs,

equine, and excess and surplus lines. In 2006, the

written premium was split in the following approximate

proportions for these categories: 28%, 23%, 22%,

22%, 4% and 1%, respectively. Premium written on

U.S. legal entities was approximately 75% of the

total, including nearly all of the Environmental and

Programs business. The Specialty Class contains first

party coverages as well as third party coverages.

Generally, premium rates have been declining since

2003 for our XL Aerospace book while rates have been

increasing since 2004 for XL Marine and Offshore

Energy. Equine rates were flat in 2006 while 2005 saw

rates decline after increases in 2004. Environmental

rates increased considerably during 2003 and 2004

followed by modest declines during 2005 and 2006.

Rates have been increasing for Programs driven by

increases for small and middle market commercial

properties due to 2004 and 2005 hurricane activity.

For the Specialty class in total, we expect that the

impact of premium rate level changes on expected

loss ratios would be relatively small over the 2002-

2006 period.

reinsurance – property Catastrophe

Business in this class reinsures natural catastrophe

perils such as windstorms, earthquakes, flood, hail,

etc. for cedants on a treaty basis. These treaties are

mainly per occurrence excess policies written on a

losses-occurring basis. Approximately 60% of the

premium relates to U.S. source business, about 30%

to U.K./Europe and most of the remaining to Japan,

Australia, South Asia, Caribbean and South America.

For all years presented in the triangles contained

herein, 5% to 10% of the book covers inward

retrocessional exposures.

This class has seen a sharp increase in premium rates

for U.S.-exposed business from September 2001

followed by a flattening trend in 2003, 2004 and 2005

and then a sharp increase in 2006. The European and

Asia Pacific pricing trends have been downward in

recent years.

reinsurance – property other

This business reinsures property risks of cedants

on a treaty and facultative basis. The business

covers a variety of exposures for personal lines and

commercial risks including structures, buildings,

business interruption, motor, crop, onshore energy and

engineering construction/mechanical breakdown risks.

The majority of this business is written on a proportional

treaty basis with the percentage of these treaties

increasing in recent years. Since 2003 approximately

70%-75% of Property Other business was written

on a proportional treaty basis, 15%-20% on a non-

proportional treaty basis and 5%-15% on a facultative

basis. Prior to 2003 about 55%-60% was written on

a proportional basis, 20%-30% on a non-proportional

basis and 15%-20% on a facultative basis. The

facultative book contains both individual risk and

automatic coverages. These were roughly equal in

proportion historically; however, since 2003 to year-end

2006 the proportion of individual risks has increased to

form 70%-75% of the facultative business.

Property Other treaties cover risks predominantly in the

U.S. but there is also worldwide exposures mainly from

U.K./Europe, Asia Pacific and South America. Prior to

2002 we had minimal European exposures, but since

2002 these have formed about 15% of the portfolio.

The premium rate changes in this segment have been

similar to those described for the Property Catastrophe

segment.

11

XL CAPITAL LTD

2006 GLOBAL LOSS TRIANGLES

Reinsurance – U.S. Casualty

U.S. Casualty reinsures medium to large cedants,

primarily for General Liability, Professional Liability,

Workers’ Compensation, and Auto Liability on both a

treaty and facultative basis. The following charts show

the distribution of gross reported losses and gross

written premiums by class and type of business. These

are displayed separately for the 1987-1996, 1997-2001

and 2002-2006 underwriting periods in order to show

how the portfolio composition has changed over time,

particularly due to re-underwriting activity in 2002 and

subsequent years.

Underwriting Years

Basis for Distribution Professional GL/AL WC Total

1987-1996 Reported Losses 31% 57% 11% 100%

Written Premium 28% 63% 8% 100%

1997-2001 Reported Losses 41% 39% 20% 100%


2002-2006 Reported Losses 37% 40% 23% 100%


Underwriting Years

Basis for Distribution

Proportional Treaty

Non-Proportional Treaty Facultative Total

1987-1996 Reported Losses 10% 72% 18% 100%


1997-2001 Reported Losses 23% 62% 14% 100%


2002-2006 Reported Losses 34% 39% 27% 100%


When analyzing the data, it should be noted that

the underwriting years 1997 to 2001 were extremely

unprofitable for the insurance industry as a whole,

particularly for the Professional Liability lines. In reaction

to the soft market that existed during that period,

and because of market events such as the Enron

bankruptcy, premium rates increased dramatically after

2001. In addition, at the end of 2001, XL Reinsurance

America re-underwrote its book and canceled the worst-

performing contracts. As a result, the U.S. Casualty

portfolio experienced a pronounced improvement in

overall rate adequacy, starting in 2002. This should be

considered in any analysis of loss reserve levels.

The General Liability book has experienced a shift away

from high-excess clash policies as we wound down that

portfolio beginning in 2004. Conversely, we increased

our facultative writings. This book has historically

been more profitable and benefits from a quicker loss

reporting pattern than the high-excess clash book.

Distribution of U.S. Casualty Reinsurance Business

Distribution of U.S. Casualty Reinsurance Business

��

XL CapitaL Ltd


In the Workers’ Compensation non-proportional treaty

portfolio, a large contract in force from 1995 to 2001

has experienced unexpectedly high loss development

in recent years, mostly driven by loss frequency. The

portfolio is now weighted toward higher attachment

points, typically requiring the involvement of several

claimants to be triggered. This shift limits the possibility

for loss frequency to be as much of a factor going

forward. There has also been a shift in the Workers’

Compensation portfolio from almost exclusively non-

proportional prior to 1997 to over 50% proportional in

recent years.

The Professional Liability book consists of D&O, E&O

and Medical Malpractice exposures. Prior to 1995

virtually all treaties were non-proportional. Since 1995

approximately two thirds of the treaty contracts are

non-proportional. The mix of D&O, E&O and Medical

Malpractice exposures has shifted over the years from

largely a medical malpractice book (73% of premiums

in 1987) to largely a D&O/E&O portfolio (80% to 85%

of premiums for the past 10 years).

Along with becoming a smaller proportion of

the Professional Liability category, the Medical

Malpractice portfolio also experienced a shift in

business mix away from high deductible aggregate

coverage to per risk layers, with lower attachment

points. Furthermore, the exposure to excess of loss

occurrence basis coverage decreased over time and

was minimal as of December 31, 2006. These shifts

are expected to cause the more recent underwriting

years to have a faster reporting pattern for losses as

compared with the prior years.

reinsurance – non-U.s. Casualty

This business covers risks written in the U.K., Ireland

and Europe with smaller percentages mainly in Australia

and South America. Risks in the U.K. form the largest

portion of the non-U.S. casualty business and these are

written primarily on a non-proportional treaty basis for

Professional Indemnity, Financial Institutions, Medical

Malpractice, Motor, General Liability, and Employer’s

Liability/Workers’ Compensation.

The portfolio includes two significant Lloyd’s syndicate

capital gearing quota share contracts. Capital gearing

quota shares are those that support Syndicates at

Lloyd’s with Funds/Capital through a bank LOC (letter

of credit) to cover potential adverse deviation in losses.

These have been written since 2003 for Professional

Indemnity, Medical Malpractice and General Liability

risks primarily covering non-U.S. exposures.

Since 2001, roughly 70%-80% of the treaty book

premiums relate to non-proportional treaties with

the remaining being proportional risks. Prior to 2001,

premiums were roughly divided equally between

proportional and non-proportional contracts.

Continental European Casualty premiums have

increased in proportion to the total portfolio from 15%

in 2002 to about 25% in 2006. European exposures

are predominantly Motor Liability and General Liability

risks written primarily on a non-proportional basis.

reinsurance – Marine and aviation

A little over half of this GLT Class represents Marine

worldwide exposures with the remainder being Aviation

and Satellite. For Marine, the predominant exposures are

Hull, Cargo, Generals, Energy and Retro. About 75% of

the Marine business is non–proportional. A significant

portion of this book was re-underwritten in 2002 and

in 2006 the aggregate exposure to Gulf of Mexico

exposures was significantly reduced. The Marine book

has experienced slight premium rate increases in 2002

followed by a flat period in 2003 and 2004, a modest

increase in 2005 and a sharp increase in 2006.

The Aviation treaties are generally written on a non-

proportional basis (about 75%), and are typically

structured so they respond to market losses above

$400 million. Since losses on Airlines generally relate

to headline making events, almost all of the IBNR

reserve held is in respect of known reported events.

The proportional book covers mainly Satellite risks for

both launch and in-orbit operations. The Aviation book

has experienced sharp increases in premium rates in

2002 followed by gradual declines beginning in 2004.

��

XL CapitaL Ltd


reinsurance – other

This GLT Class mainly contains Whole Account,

Credit, Bond, Political Risk exposures and European

Life, Accident and Health exposures.

Since 2001, a significant portion of this business

relates to Whole Account exposures which consist of

several large capital gearing proportional contracts

with Lloyds Syndicates. This formed about 30% of the

“Other” business in 2001 and has steadily increased

in size to form about 50% of this class in 2006.

These policies cover the entire book of business for a

particular syndicate and therefore encompass several

lines of business.

Generally, these contracts go through a process

called “reinsurance to close” (or RITC) where a year

of account that is fully earned (three year period)

undergoes a loss portfolio transfer to the next year of

account. The 2001 to 2003 years have been effectively

closed through this process. This results in no change

in paid activity and removal of case reserves from the

triangles for these underwriting years since the RITC

was processed. The changes for these underwriting

years reflected through the RITC process should be

kept in mind when analyzing the paid and reported

triangles. The amounts of reserves held in relation

to RITC assumed business totaled $80 million

as at December 31, 2006. This amount has been

included with the miscellaneous adjustments in the

reconciliation presented on page six.

In recent years, the premium rate levels for Whole

Account business have remained relatively flat with

a sharp increase in 2006 following 2005 hurricane

activity.

The predominant portion of the remaining business

relates to Credit and Bond exposures written in

the U.S., South America and Europe, Political Risk

accounts and European Life, Accident and Health

exposures. The European Credit and Bond business

was written in 2002 and later years, about 75% of

which consists of proportional and non-proportional

trade credit insurance all written on a risks-attaching

basis. 60% of the European bond portfolio arises from

exposures in Italy.

Political Risk exposures formed approximately 30% of

the “Other” business prior to 2001 and were mostly due

to one large contract. This contract was not renewed

after the 2000 year. Since 2001 these exposures do

not form a significant portion of the “Other” class.

Life, Accident and Health exposures were all written in

2002 and later years and comprise approximately 20%

of this segment. These represent primarily European

exposures.

XL Capital Ltd2004 and 2005 Large Event Loss Summary

Loss and Allocated Loss Adjustment Expenses as at December 31, 2006U.S. dollars in thousands

Insurance SegmentEvent Paid Case O/S Reported IBNR Ultimate Paid Case O/S Reported IBNR Ultimate2004 Hurricanes 356,799 23,588 380,388 11,027 391,415 228,308 5,640 233,948 3,130 237,078

2005 Events 1,083,941 823,177 1,907,118 189,940 2,097,058 452,243 402,705 854,948 93,731 948,679

Total 1,440,740 846,765 2,287,506 200,967 2,488,473 680,551 408,345 1,088,896 96,861 1,185,757

Total Case and IBNR Reserves 1,047,733 505,207

Reinsurance SegmentEvent Paid Case O/S Reported IBNR Ultimate Paid Case O/S Reported IBNR Ultimate2004 Hurricanes 379,911 49,384 429,296 31,584 460,880 251,050 13,967 265,017 16,392 281,408

2005 Events 928,255 610,919 1,539,174 263,758 1,802,931 454,990 437,332 892,322 184,125 1,076,447

Total 1,308,166 660,303 1,968,470 295,342 2,263,811 706,039 451,299 1,157,338 200,517 1,357,855

Total Case and IBNR Reserves 955,645 651,816

Total Insurance and ReinsuranceEvent Paid Case O/S Reported IBNR Ultimate Paid Case O/S Reported IBNR Ultimate2004 Hurricanes 736,710 72,973 809,683 42,611 852,294 479,357 19,607 498,965 19,522 518,486

2005 Events 2,012,196 1,434,096 3,446,292 453,698 3,899,990 907,233 840,037 1,747,270 277,856 2,025,126

Total 2,748,907 1,507,069 4,255,975 496,309 4,752,284 1,386,590 859,644 2,246,234 297,378 2,543,612

Total Case and IBNR Reserves 2,003,377 1,157,022

Percentages of Ultimate Loss and ALAE

Insurance SegmentEvent % Paid % O/S % Reported % IBNR Total % Paid % O/S % Reported % IBNR Total2004 Hurricanes 91% 6% 97% 3% 100% 96% 2% 99% 1% 100%

2005 Events 52% 39% 91% 9% 100% 48% 42% 90% 10% 100%

Total 58% 34% 92% 8% 100% 57% 34% 92% 8% 100%

Reinsurance SegmentEvent % Paid % O/S % Reported % IBNR Total % Paid % O/S % Reported % IBNR Total2004 Hurricanes 82% 11% 93% 7% 100% 89% 5% 94% 6% 100%

2005 Events 51% 34% 85% 15% 100% 42% 41% 83% 17% 100%

Total 58% 29% 87% 13% 100% 52% 33% 85% 15% 100%

Total Insurance and ReinsuranceEvent % Paid % O/S % Reported % IBNR Total % Paid % O/S % Reported % IBNR Total2004 Hurricanes 86% 9% 95% 5% 100% 92% 4% 96% 4% 100%

2005 Events 52% 37% 88% 12% 100% 45% 41% 86% 14% 100%

Total 58% 32% 90% 10% 100% 55% 34% 88% 12% 100%

Gross of Reinsurance

Gross of Retrocession

Net of Reinsurance

Net of Retrocession

Gross Net

Gross Net



Net of Reinsurance

Net of Retrocession

14

XL Capital Ltd2006 Global Loss Triangles - Insurance SegmentAll Classes CombinedU.S. dollars in thousands

Class: XL Insurance Segment Total

Paid Loss & ALAE - Gross of external ceded reinsurance Paid Loss & ALAE at year-end 2006Accident/

Report At Year-end Accident/Report Gross External Ceded Net

Year 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 Year ReinsurancePrior 2,037,783 2,310,367 2,653,871 2,936,621 3,031,462 3,171,194 3,293,148 3,440,622 3,496,272 3,549,231 Prior 3,549,231 630,333 2,918,8981997 52,191 121,578 265,030 450,204 540,183 591,618 623,446 690,022 706,059 733,866 1997 733,866 257,467 476,3991998 81,079 264,853 391,838 458,303 507,370 564,511 619,027 641,011 655,496 1998 655,496 288,054 367,4411999 183,295 513,471 712,935 859,478 1,011,710 1,081,057 1,149,987 1,224,872 1999 1,224,872 562,109 662,7632000 238,133 677,029 1,275,200 1,450,697 1,690,287 1,974,490 2,103,905 2000 2,103,792 1,085,003 1,018,7892001 206,927 700,531 1,117,808 1,567,152 1,946,436 2,160,361 2001 2,159,618 1,091,507 1,068,1112002 283,728 629,102 877,078 1,090,628 1,305,314 2002 1,304,362 476,873 827,4892003 219,363 699,780 1,074,830 1,292,807 2003 1,290,497 337,425 953,0722004 242,220 767,490 1,065,479 2004 1,064,657 276,408 788,2482005 304,852 731,415 2005 732,475 231,644 500,8312006 298,554 2006 298,658 115,677 182,982

Reported Loss & ALAE - Gross of external ceded reinsurance Reported Loss & ALAE at year-end 2006Accident/

Report At Year-end Accident/Report Gross External Ceded Net

Year 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 Year ReinsurancePrior 2,762,227 3,194,605 3,340,415 3,483,573 3,531,837 3,492,637 3,600,125 3,676,037 3,768,025 3,794,998 Prior 3,794,998 742,569 3,052,4301997 331,662 462,855 671,404 725,466 716,737 696,602 736,195 742,834 797,623 796,967 1997 796,967 265,823 531,1431998 280,097 554,538 582,344 609,732 634,789 707,480 768,662 760,728 758,375 1998 758,375 299,930 458,4451999 630,382 966,665 1,038,877 1,135,998 1,277,315 1,347,107 1,300,689 1,321,606 1999 1,321,606 584,692 736,9142000 942,248 1,795,195 1,842,234 2,099,094 2,224,522 2,416,673 2,368,108 2000 2,367,995 1,162,209 1,205,7862001 717,245 1,495,476 2,045,217 2,420,460 2,623,858 2,628,750 2001 2,628,007 1,264,901 1,363,1062002 710,345 1,170,547 1,495,168 1,785,084 1,910,014 2002 1,909,063 606,821 1,302,2422003 721,497 1,316,842 1,652,703 1,854,660 2003 1,852,350 470,262 1,382,0882004 713,272 1,408,236 1,739,585 2004 1,738,763 413,565 1,325,1982005 842,062 1,544,145 2005 1,545,205 376,378 1,168,8262006 853,277 2006 853,382 236,959 616,423

Year Gross Earned Gross Written Net Earned Net Written Case O/S IBNR Total2002 3,276,060 3,998,710 2,106,635 2,614,267 Reserves Corresponding to Triangles2003 4,584,090 4,966,308 3,203,716 3,439,677 Prior Years 245,767 72,995 318,7622004 5,291,760 5,522,217 3,960,813 4,133,729 1997-2006 4,203,419 6,294,614 10,498,0332005 5,410,896 5,569,773 4,055,181 4,193,076 Total 4,449,186 6,367,609 10,816,7952006 5,413,345 5,025,621 3,980,883 3,748,142

Case O/S IBNR TotalReserves Corresponding to Triangles

Prior Years 133,532 68,449 201,9811997-2006 3,244,046 4,646,345 7,890,391Total 3,377,578 4,714,794 8,092,372

Losses Based on Constant Rates of Exchange as at 4th Quarter 2006 System Close Dates

Net of Reinsurance


Losses Based on Historical Exchange Rates

Calendar Year Premiums

15

XL Capital Ltd 2006 Global Loss Triangles - Insurance Segment

U.S. dollars in thousands

Class: Property

Paid Loss & ALAE - Gross of external ceded reinsurance Paid Loss & ALAE at year-end 2006Accident At Year-end Accident Gross External Ceded Net

Year 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 Year ReinsurancePrior 463,881 473,923 477,481 479,187 480,517 481,111 481,313 481,068 481,025 480,946 Prior 480,946 357,014 123,9321997 35,235 63,629 92,617 103,423 128,373 134,054 140,690 141,384 143,486 142,229 1997 142,229 102,828 39,4011998 47,073 171,113 253,179 279,497 287,098 294,840 297,658 295,603 296,385 1998 296,385 196,844 99,5411999 133,661 395,905 540,960 600,139 618,340 639,285 640,103 669,083 1999 669,083 432,517 236,5662000 173,752 412,342 531,265 598,684 625,607 628,572 632,084 2000 632,084 400,808 231,2762001 104,556 379,494 497,575 613,699 634,304 640,659 2001 640,659 381,018 259,6412002 155,122 297,494 365,371 378,025 389,709 2002 389,709 229,702 160,0082003 40,407 221,047 292,025 290,325 2003 290,325 54,421 235,9052004 32,643 175,197 242,475 2004 242,475 68,248 174,2272005 57,294 161,325 2005 161,325 17,681 143,6432006 50,644 2006 50,644 26,885 23,759

Reported Loss & ALAE - Gross of external ceded reinsurance Reported Loss & ALAE at year-end 2006Accident At Year-end Accident Gross External Ceded Net


Year Gross Earned Gross Written Net Earned Net Written Case O/S IBNR TotalReserves Corresponding to Triangles2002 855,545 854,810 464,806 521,749

Prior Years 2,966 39 3,0052003 808,080 838,933 556,324 618,0851997-2006 423,948 144,858 568,8062004 883,324 908,455 636,321 682,258Total 426,914 144,897 571,8102005 901,374 886,565 606,435 641,392

2006 896,799 663,517 585,373 454,611


Prior Years 2,411 15 2,4261997-2006 308,326 95,685 404,011Total 310,737 95,700 406,437

Net of Reinsurance


Losses Based on Historical Exchange RatesLosses Based on Constant Rates of Exchange as at 4th Quarter 2006 System Close Dates


16



Class: Casualty


Year 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 Year ReinsurancePrior 1,489,504 1,751,014 2,087,494 2,347,497 2,440,040 2,573,707 2,685,178 2,784,803 2,838,093 2,891,212 Prior 2,891,212 257,342 2,633,8701997 5,461 37,413 142,086 315,400 378,401 418,886 447,212 466,523 480,141 500,746 1997 500,746 134,380 366,3661998 7,836 46,535 85,281 124,677 163,228 211,510 249,034 272,162 284,992 1998 284,992 80,224 204,7681999 13,751 60,240 112,824 197,727 324,204 371,168 391,915 414,488 1999 414,488 117,664 296,8242000 9,758 160,021 561,072 634,058 819,199 965,147 1,023,003 2000 1,023,003 545,855 477,1482001 12,093 116,540 315,623 600,222 784,515 899,006 2001 899,006 484,401 414,6052002 11,589 52,316 138,812 196,771 254,213 2002 254,213 72,560 181,6532003 4,433 114,223 197,844 291,187 2003 291,187 105,657 185,5302004 5,287 51,244 124,749 2004 124,749 32,101 92,6482005 12,716 52,777 2005 52,777 14,618 38,1592006 9,294 2006 9,294 3,125 6,169


Year 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 Year ReinsurancePrior 2,174,500 2,599,168 2,740,501 2,839,909 2,871,217 2,838,414 2,950,887 3,010,905 3,104,647 3,131,732 Prior 3,131,732 369,022 2,762,7101997 236,472 327,702 489,612 547,412 524,065 498,223 515,643 512,571 543,784 545,793 1997 545,793 141,710 404,0831998 103,690 220,428 228,096 251,680 264,608 322,159 353,914 350,335 359,420 1998 359,420 91,590 267,8301999 141,704 271,073 306,168 379,559 479,328 527,146 493,907 491,079 1999 491,079 136,840 354,2392000 346,002 949,113 971,132 1,092,629 1,216,922 1,189,657 1,160,404 2000 1,160,404 588,735 571,6692001 143,376 529,736 879,811 1,075,636 1,101,947 1,108,737 2001 1,108,737 539,054 569,6832002 172,018 282,829 410,834 427,595 451,594 2002 451,594 98,975 352,6202003 111,268 337,285 398,023 436,257 2003 436,257 134,287 301,9702004 124,466 270,924 337,920 2004 337,920 95,244 242,6762005 208,508 361,783 2005 361,783 95,641 266,1422006 107,364 2006 107,364 17,612 89,753

Year Gross Earned Gross Written Net Earned Net Written Case O/S IBNR Total2002 877,778 974,897 518,015 575,840 Reserves Corresponding to Triangles2003 1,170,586 1,226,415 755,626 804,281 Prior Years 240,521 69,361 309,8822004 1,306,282 1,393,949 857,931 925,283 1997-2006 1,505,897 2,727,804 4,233,7022005 1,354,200 1,474,482 910,783 977,845 Total 1,746,418 2,797,166 4,543,5842006 1,383,269 1,163,315 849,431 704,385



Net of Reinsurance




17



Class: Professional

Paid Loss & ALAE - Gross of external ceded reinsurance Paid Loss & ALAE at year-end 2006Report At Year-end Report Gross External Ceded Net

Year 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 Year ReinsurancePrior 45,492 45,563 47,971 68,140 68,317 73,529 83,799 131,914 134,314 134,438 Prior 134,438 - 134,4381997 45 445 7,493 7,657 8,820 12,649 9,022 34,664 34,758 43,266 1997 43,266 - 43,2661998 99 156 3,249 3,333 5,866 6,299 22,109 23,051 23,988 1998 23,988 - 23,9881999 0 807 1,013 1,528 8,505 10,145 57,646 81,717 1999 81,717 - 81,7172000 118 1,028 41,642 54,609 67,235 83,486 142,761 2000 142,761 23,107 119,6542001 623 5,689 34,356 44,022 114,707 187,646 2001 187,646 63,953 123,6932002 1,403 13,830 27,146 89,638 193,195 2002 193,195 48,990 144,2042003 1,161 12,436 57,369 83,056 2003 83,056 14,012 69,0442004 4,859 58,933 103,213 2004 103,213 5,215 97,9972005 5,262 66,676 2005 66,676 - 66,6762006 6,197 2006 6,197 59 6,138

Reported Loss & ALAE - Gross of external ceded reinsurance Reported Loss & ALAE at year-end 2006Report At Year-end Report Gross External Ceded Net

Year 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 Year ReinsurancePrior 66,193 66,132 68,550 113,377 125,945 121,133 121,487 137,606 136,440 136,519 Prior 136,519 - 136,5191997 550 10,996 13,068 12,914 30,585 30,634 49,184 34,779 59,911 59,911 1997 59,911 - 59,9111998 276 2,473 3,554 8,330 23,172 34,955 64,182 63,064 51,691 1998 51,691 - 51,6911999 5 7,007 20,612 47,011 89,022 98,788 90,883 97,662 1999 97,662 - 97,6622000 50,509 69,548 66,681 190,533 156,091 269,640 245,448 2000 245,448 50,469 194,9792001 14,483 104,545 194,985 303,897 387,351 377,961 2001 377,961 151,142 226,8192002 23,582 85,004 202,528 410,735 490,695 2002 490,695 130,917 359,7792003 70,937 111,373 250,816 319,950 2003 319,950 62,450 257,5002004 88,875 194,619 345,562 2004 345,562 20,741 324,8212005 55,777 302,551 2005 302,551 46,863 255,6892006 80,707 2006 80,707 196 80,511

Year Gross Earned Gross Written Net Earned Net Written Case O/S IBNR Total2002 511,992 765,685 373,262 516,678 Reserves Corresponding to Triangles2003 1,155,443 1,333,482 788,910 866,504 Prior Years 2,081 3,519 5,6002004 1,443,109 1,528,881 1,232,299 1,293,928 1997-2006 1,440,421 2,394,338 3,834,7592005 1,541,132 1,560,958 1,384,571 1,456,005 Total 1,442,502 2,397,857 3,840,3592006 1,535,221 1,523,404 1,404,761 1,394,428



Net of Reinsurance




18

XL Capital Ltd2006 Global Loss Triangles - Insurance Segment


Class: Specialty





Year Gross Earned Gross Written Net Earned Net Written Case O/S IBNR Total2002 1,030,745 1,403,317 750,552 999,999 Reserves Corresponding to Triangles2003 1,449,981 1,567,479 1,102,857 1,150,808 Prior Years 200 75 2762004 1,659,045 1,690,932 1,234,263 1,232,260 1997-2006 833,152 1,027,614 1,860,7662005 1,614,190 1,647,768 1,153,393 1,117,834 Total 833,353 1,027,689 1,861,0422006 1,598,057 1,675,384 1,141,317 1,194,718


Prior Years 200 45 2451997-2006 645,944 780,745 1,426,689Total 646,144 780,790 1,426,934

Net of Reinsurance




19

XL Capital Ltd 2006 Global Loss Triangles - Reinsurance SegmentAll Classes CombinedU.S. dollars in thousands

Class: XL Reinsurance Segment Total

Paid Loss & ALAE - Gross of external retrocession Paid Loss & ALAE at year-end 2006U/W At Year-end U/W Gross External NetYear 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 Year RetrocessionsPrior 2,062,642 2,331,490 2,526,287 2,693,296 2,844,392 2,971,818 3,038,165 3,073,674 3,116,683 3,156,207 Prior 3,144,608 557,629 2,586,9791997 68,705 288,676 465,069 598,651 702,164 793,483 889,310 942,830 987,486 1,059,466 1997 1,055,411 82,292 973,1191998 101,360 412,884 665,000 842,401 956,392 1,047,743 1,145,947 1,225,680 1,293,848 1998 1,286,890 133,500 1,153,3911999 83,219 695,052 1,051,997 1,271,318 1,411,385 1,554,335 1,679,251 1,754,926 1999 1,698,842 228,934 1,469,9082000 51,904 315,293 597,782 788,392 930,621 1,075,292 1,184,284 2000 1,176,336 309,905 866,4302001 138,236 440,562 770,127 965,656 1,110,371 1,241,416 2001 1,249,482 331,543 917,9382002 111,342 403,079 645,730 829,403 934,302 2002 931,527 145,543 785,9842003 85,942 434,693 704,090 843,930 2003 908,499 195,482 713,0162004 126,837 415,848 628,758 2004 627,687 206,760 420,9272005 93,108 382,186 2005 385,395 101,668 283,7282006 148,290 2006 148,340 100,988 47,352

Reported Loss & ALAE - Gross of external retrocession Reported Loss & ALAE at year-end 2006U/W At Year-end U/W Gross External NetYear 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 Year RetrocessionsPrior 2,605,927 2,817,934 2,946,510 3,074,734 3,177,252 3,265,286 3,322,310 3,365,653 3,390,851 3,417,324 Prior 3,405,725 570,485 2,835,2411997 168,369 479,599 702,647 823,795 943,868 1,043,473 1,100,080 1,144,544 1,170,467 1,184,900 1997 1,180,844 84,641 1,096,2031998 295,079 722,568 982,194 1,145,379 1,239,911 1,323,258 1,385,812 1,464,471 1,495,532 1998 1,488,574 139,606 1,348,9671999 228,753 1,069,937 1,425,222 1,606,099 1,757,213 1,872,682 1,955,155 2,004,862 1999 1,948,779 240,353 1,708,4262000 162,350 656,783 1,003,300 1,232,547 1,426,392 1,522,975 1,572,219 2000 1,564,271 330,242 1,234,0292001 337,442 854,208 1,224,852 1,417,142 1,600,534 1,693,347 2001 1,701,412 348,859 1,352,5542002 302,599 752,947 998,251 1,134,871 1,241,352 2002 1,238,578 175,679 1,062,8992003 220,127 760,084 1,013,316 1,090,165 2003 1,154,733 209,850 944,8832004 232,242 702,656 940,213 2004 939,142 217,717 721,4252005 263,585 764,990 2005 768,199 123,264 644,9362006 272,022 2006 272,071 111,286 160,785

Year Gross Earned Gross Written Net Earned Net Written Case O/S IBNR Total1997 1,307,978 1,307,988 1,170,830 1,170,831 Reserves Corresponding to Triangles1998 1,175,217 1,174,587 1,020,508 1,019,870 Prior Years 261,117 128,865 389,9821999 1,445,631 1,445,109 1,224,923 1,224,395 1997-2006 2,788,195 3,654,519 6,442,7142000 1,545,712 1,545,095 1,150,742 1,150,064 Total 3,049,313 3,783,384 6,832,6962001 2,044,877 2,043,886 1,445,414 1,444,4182002 3,022,304 3,028,323 2,489,023 2,491,5892003 3,424,158 3,428,065 2,861,842 2,869,118 Case O/S IBNR Total2004 3,299,835 3,303,506 2,732,120 2,736,603 Reserves Corresponding to Triangles2005 3,033,313 3,211,583 2,518,970 2,679,664 Prior Years 248,261 119,380 367,6412006 1,548,143 2,721,057 1,111,727 2,154,356 1997-2006 2,643,313 3,424,923 6,068,236

Total 2,891,574 3,544,303 6,435,878

Note: Prior Years for the XL Re Segment total triangle include all years prior to 1997 and will not total to the sum of the Prior Year rows in the individual class triangles due to the presentation of 20 years of data for U.S. Casualty Reinsurance.

Net of Retrocession



Underwriting Year Premiums

20

XL Capital Ltd 2006 Global Loss Triangles - Reinsurance Segment


Class: Property Cat

Paid Loss & ALAE - Gross of external retrocession Paid Loss & ALAE at year-end 2006U/W At Year-end U/W Gross External NetYear 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 Year RetrocessionsPrior 205,776 214,099 217,101 218,725 219,702 220,371 221,772 222,390 222,773 223,203 Prior 223,190 2,752 220,4381997 4,075 16,741 22,836 26,000 26,546 26,668 26,746 26,876 26,885 26,942 1997 25,608 1,245 24,3621998 35,701 103,867 132,164 137,663 139,562 139,954 140,015 140,480 140,785 1998 131,661 7,329 124,3321999 18,588 319,652 359,740 388,185 394,888 397,206 398,956 399,827 1999 345,693 37,892 307,8012000 4,266 20,538 39,430 44,505 46,247 47,443 48,348 2000 46,192 - 46,1922001 9,401 25,402 31,163 35,864 38,184 38,604 2001 38,145 - 38,1452002 13,943 39,194 48,817 53,156 54,051 2002 53,185 157 53,0282003 9,886 26,866 31,858 33,047 2003 33,007 - 33,0072004 1,342 16,913 23,561 2004 23,994 - 23,9942005 1,861 22,115 2005 22,214 - 22,2142006 13,986 2006 13,997 - 13,997

Reported Loss & ALAE - Gross of external retrocession Reported Loss & ALAE at year-end 2006U/W At Year-end U/W Gross External NetYear 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 Year RetrocessionsPrior 222,494 224,137 223,827 223,265 223,373 224,046 225,354 225,455 224,918 224,860 Prior 224,847 2,755 222,0921997 11,157 25,570 28,933 28,416 28,594 28,582 28,498 27,307 27,287 27,364 1997 26,030 1,287 24,7431998 88,249 139,108 146,339 141,780 141,861 141,951 141,517 141,691 142,877 1998 133,753 7,566 126,1881999 44,564 402,933 407,371 404,733 403,719 403,205 404,298 404,158 1999 350,024 40,149 309,8752000 10,221 51,066 52,261 50,572 50,252 50,254 50,126 2000 47,970 1 47,9692001 12,564 42,021 38,790 38,463 39,265 39,462 2001 39,002 (202) 39,2052002 30,010 54,153 55,377 56,385 56,238 2002 55,371 155 55,2172003 25,073 34,730 36,498 35,203 2003 35,162 (1) 35,1632004 5,697 22,434 25,396 2004 25,828 (0) 25,8292005 25,779 32,986 2005 33,085 41 33,0452006 33,549 2006 33,559 4,030 29,529

Year Gross Earned Gross Written Net Earned Net Written Case O/S IBNR Total1997 252,906 252,906 246,222 246,215 Reserves Corresponding to Triangles1998 169,785 169,785 166,029 166,024 Prior Years 1,657 2,106 3,7631999 161,710 161,710 156,006 156,002 1997-2006 46,092 72,225 118,3172000 183,650 183,650 139,749 139,745 Total 47,748 74,332 122,0802001* 202,845 202,845 (1,804) (1,808)2002 334,832 335,820 298,116 298,9922003 346,624 346,968 280,793 281,124 Case O/S IBNR Total2004 363,288 363,271 279,393 282,895 Reserves Corresponding to Triangles2005 395,776 395,798 310,198 307,594 Prior Years 1,654 2,106 3,7602006 366,089 441,878 209,044 234,635 1997-2006 39,691 52,214 91,905

Total 41,345 54,321 95,665

*Note: 2001 Net premiums impacted by certain ceded premium adjustments related to WTC losses. Small negative values for ceded retrocessions result from the basis used to allocate recoveries under shared programs to class of business.

Net of Retrocession




21

XL Capital Ltd2006 Global Loss Triangles - Reinsurance Segment


Class: Property Other

Paid Loss & ALAE - Gross of external retrocession Paid Loss & ALAE at year-end 2006U/W At Year-end U/W Gross External NetYear 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 Year RetrocessionsPrior 912,373 982,399 1,010,235 1,023,603 1,031,812 1,042,179 1,048,146 1,049,874 1,048,926 1,049,281 Prior 1,040,256 179,939 860,3171997 22,235 131,050 188,944 220,140 226,497 231,869 234,901 235,127 235,810 239,424 1997 234,526 22,413 212,1131998 45,940 188,607 270,648 317,110 335,186 342,390 349,242 351,137 357,987 1998 352,373 42,223 310,1501999 29,380 172,358 284,351 332,354 349,673 365,804 371,347 374,735 1999 368,307 53,386 314,9212000 19,454 139,057 251,617 304,605 316,119 322,825 334,767 2000 321,199 74,576 246,6232001 56,140 181,515 339,272 387,630 407,195 413,842 2001 403,139 13,323 389,8162002 72,428 218,736 327,091 374,479 385,983 2002 378,459 91,219 287,2402003 61,089 280,259 411,333 447,059 2003 447,336 136,279 311,0572004 114,193 286,895 383,982 2004 383,042 158,879 224,1632005 79,127 243,486 2005 242,426 97,298 145,1292006 125,517 2006 125,560 100,949 24,611

Reported Loss & ALAE - Gross of external retrocession Reported Loss & ALAE at year-end 2006U/W At Year-end U/W Gross External NetYear 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 Year RetrocessionsPrior 1,043,047 1,052,195 1,055,909 1,055,465 1,059,814 1,061,117 1,064,509 1,061,909 1,058,934 1,057,803 Prior 1,048,778 180,123 868,6551997 80,445 203,137 241,122 246,027 242,786 244,112 245,090 244,328 242,998 244,233 1997 239,335 22,538 216,7971998 135,945 309,958 356,867 372,386 370,162 365,653 368,226 367,028 368,711 1998 363,097 42,588 320,5101999 105,588 295,207 366,538 379,465 375,003 385,816 384,142 385,696 1999 379,268 53,527 325,7412000 67,459 255,814 330,852 353,488 354,054 352,830 350,780 2000 337,212 76,294 260,9182001 178,351 357,085 417,487 428,759 429,918 437,497 2001 426,794 15,636 411,1582002 194,375 336,489 400,632 407,553 405,916 2002 398,392 94,470 303,9222003 134,167 420,612 483,001 483,754 2003 484,031 138,535 345,4952004 174,402 391,574 458,494 2004 457,554 162,644 294,9102005 155,524 386,852 2005 385,792 112,302 273,4902006 183,536 2006 183,579 106,856 76,723

Year Gross Earned Gross Written Net Earned Net Written Case O/S IBNR Total1997 315,960 315,960 268,044 268,043 Reserves Corresponding to Triangles1998 328,037 328,037 273,399 273,397 Prior Years 8,522 15,758 24,2801999 379,022 379,022 305,483 305,482 1997-2006 398,687 427,778 826,4652000 445,034 445,034 339,814 339,813 Total 407,209 443,535 850,7442001 711,780 711,780 537,991 537,9902002 1,008,784 1,013,595 743,858 747,3592003 1,163,351 1,165,913 870,250 872,806 Case O/S IBNR Total2004 1,054,305 1,057,530 741,764 746,060 Reserves Corresponding to Triangles2005 969,654 1,050,325 707,905 786,603 Prior Years 8,338 3,898 12,2362006 498,036 870,616 280,502 605,414 1997-2006 363,843 339,519 703,362

Total 372,181 343,418 715,598

Net of Retrocession




22



Class: U.S. Casualty

Paid Loss & ALAE - Gross of external retrocession Paid Loss & ALAE at year-end 2006U/W At Year-end U/W Gross External NetYear 1987 1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 Year RetrocessionsPrior 28,205 40,540 54,416 69,143 79,358 87,323 94,301 103,835 109,301 113,125 114,964 117,291 120,029 121,748 123,377 124,685 126,184 129,579 132,075 134,721 Prior 134,500 14,215 120,2851987 500 2,697 7,425 18,087 24,350 26,780 33,109 35,510 37,535 38,135 38,616 39,149 39,380 39,679 39,843 40,148 40,412 40,454 40,552 40,721 1987 40,698 5,183 35,5151988 286 1,247 10,387 17,754 27,391 34,905 36,900 40,353 42,774 43,892 45,589 46,967 48,042 48,339 48,410 48,569 48,573 49,044 49,160 1988 49,144 11,388 37,7561989 175 3,766 12,330 22,677 40,819 50,997 56,006 59,992 61,122 66,460 67,406 67,941 68,117 72,778 72,416 73,676 76,947 77,171 1989 77,158 15,931 61,2271990 201 2,059 8,265 22,654 31,305 37,283 40,916 44,518 53,207 56,364 60,003 60,140 61,070 61,252 61,494 63,457 65,779 1990 65,756 17,079 48,6761991 391 4,696 10,692 17,285 30,588 36,110 42,001 46,654 59,137 60,384 60,273 62,192 62,825 63,280 66,720 67,973 1991 67,947 19,552 48,3951992 4,237 9,380 19,312 35,059 50,368 68,288 76,556 79,439 83,833 88,955 90,099 91,353 90,974 93,997 95,461 1992 95,431 44,754 50,6781993 2,159 7,270 16,565 36,713 63,002 76,172 87,840 103,975 107,102 111,717 112,790 115,511 119,804 121,575 1993 121,458 42,139 79,3191994 1,870 4,235 20,548 50,172 62,450 80,142 94,013 115,320 120,876 120,501 125,602 128,145 129,450 1994 129,337 43,063 86,2731995 3,906 21,682 52,453 85,475 121,149 143,473 164,706 178,717 194,810 203,344 209,279 216,606 1995 216,483 40,209 176,2751996 2,909 18,135 52,021 85,424 138,834 192,649 223,553 245,824 263,956 273,365 284,065 1996 283,968 50,321 233,6471997 2,242 16,573 61,464 117,879 189,073 251,534 323,327 366,352 395,773 449,249 1997 449,225 27,595 421,6301998 3,157 21,454 72,427 128,869 204,095 272,033 349,689 414,114 447,893 1998 448,273 29,514 418,7591999 5,986 35,200 89,136 149,326 217,578 288,862 355,543 391,614 1999 391,575 43,325 348,2502000 9,330 39,017 84,270 120,558 171,586 247,456 315,204 2000 314,886 76,219 238,6672001 7,967 46,679 85,844 146,553 204,340 261,424 2001 261,514 133,706 127,8082002 7,285 32,620 75,001 129,697 184,980 2002 185,190 40,991 144,1992003 3,021 25,220 85,822 135,473 2003 135,654 44,998 90,6562004 1,360 25,035 77,416 2004 77,414 43,322 34,0922005 807 24,228 2005 24,226 4,359 19,8672006 1,616 2006 1,616 39 1,577

Reported Loss & ALAE - Gross of external retrocession Reported Loss & ALAE at year-end 2006U/W At Year-end U/W Gross External NetYear 1987 1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 Year RetrocessionsPrior 64,745 84,934 106,407 120,627 122,893 125,570 127,599 130,844 133,414 134,946 134,419 135,989 137,782 138,274 139,796 141,411 143,648 145,562 148,236 154,873 Prior 154,652 19,808 134,8441987 2,979 10,762 20,843 33,970 38,066 39,316 43,871 42,749 44,580 42,895 42,893 42,565 45,764 45,654 45,444 45,773 45,112 45,464 45,049 44,527 1987 44,504 5,183 39,3211988 1,758 9,529 25,826 33,207 41,148 43,026 46,039 48,006 49,151 49,056 50,017 51,407 52,532 52,425 53,603 52,829 52,437 51,487 50,981 1988 50,966 11,395 39,5711989 5,276 17,269 34,873 47,417 57,903 62,887 63,715 69,745 74,627 75,554 74,238 74,634 75,552 75,350 74,827 79,905 80,074 79,407 1989 79,394 15,878 63,5161990 2,467 11,206 28,877 40,443 43,421 48,598 57,115 63,778 68,024 73,397 73,542 72,984 72,813 72,441 73,311 73,937 72,151 1990 72,127 17,079 55,0481991 4,221 14,894 26,396 37,843 47,372 54,912 59,959 65,164 67,796 67,972 68,250 69,537 68,779 68,534 71,611 71,265 1991 71,239 19,552 51,6881992 7,352 21,273 41,036 58,979 76,379 85,777 91,217 89,619 90,510 93,538 95,791 99,121 104,013 112,172 117,912 1992 117,883 44,691 73,1911993 6,811 29,482 42,184 72,102 90,511 100,563 104,861 119,915 123,770 127,411 128,995 133,092 136,622 138,805 1993 138,689 42,072 96,6161994 6,121 30,905 55,012 79,995 98,170 111,255 123,483 142,230 136,795 140,321 144,964 143,948 142,610 1994 142,497 43,063 99,4341995 13,792 58,073 111,969 144,504 171,005 190,006 206,882 215,801 231,934 238,547 250,269 255,512 1995 255,389 40,247 215,1421996 11,840 59,112 123,075 168,381 227,010 272,778 296,310 318,322 347,334 347,904 355,657 1996 355,560 50,321 305,2391997 10,751 68,281 160,331 255,487 355,959 428,066 472,893 519,521 543,188 554,756 1997 554,732 27,805 526,9271998 28,905 97,546 198,462 290,199 371,364 446,275 507,053 582,688 593,723 1998 594,104 29,573 564,5311999 16,927 78,235 188,822 300,852 401,601 481,138 528,164 563,744 1999 563,704 43,334 520,3712000 21,958 105,522 209,459 288,224 412,659 480,198 523,234 2000 522,915 77,677 445,2382001 25,950 129,574 235,106 329,482 424,415 478,979 2001 479,069 136,662 342,4072002 24,372 128,185 217,572 281,885 358,909 2002 359,118 44,627 314,4912003 16,166 103,897 188,227 248,481 2003 248,662 49,564 199,0982004 10,627 87,861 183,448 2004 183,446 50,216 133,2302005 11,774 82,944 2005 82,942 10,534 72,4082006 8,117 2006 8,117 357 7,760

Case O/S IBNR Total

YearGross

EarnedGross

Written Net Earned Net Written Reserves Corresponding to Triangles1997 351,190 351,200 327,259 327,269 Prior Years 20,152 10,563 30,7151998 300,626 300,626 274,815 274,815 1987-2006 1,488,107 1,996,951 3,485,0581999 363,462 363,462 323,168 323,169 Total 1,508,259 2,007,514 3,515,7732000 370,533 370,533 317,072 317,0712001 537,029 537,029 463,783 463,7832002 754,446 754,446 682,928 682,928 Case O/S IBNR Total2003 898,382 898,382 819,740 819,740 Reserves Corresponding to Triangles2004 943,218 943,189 867,917 866,278 Prior Years 14,559 8,350 22,9092005 778,413 844,695 739,242 800,860 1987-2006 1,461,962 1,945,214 3,407,1762006 207,812 581,329 205,598 575,417 Total 1,476,521 1,953,564 3,430,085

Net of Retrocession


Underwriting Year Premiums Gross of Retrocession

23



Class: Non-U.S. Casualty

Paid Loss & ALAE - Gross of external retrocession Paid Loss & ALAE at year-end 2006U/W At Year-end U/W Gross External NetYear 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 Year RetrocessionsPrior 119,666 131,388 140,795 148,745 158,537 164,314 170,228 173,692 175,716 177,805 Prior 175,880 (43) 175,9221997 3,042 14,679 21,579 28,253 32,973 38,911 43,480 45,969 53,459 53,738 1997 51,114 5,363 45,7501998 3,542 17,158 21,938 27,374 32,019 35,253 39,834 43,343 50,779 1998 47,527 1,819 45,7081999 4,784 21,923 46,370 58,406 69,977 82,833 91,456 103,666 1999 97,623 1,236 96,3872000 4,737 25,254 55,194 86,117 111,128 132,727 143,591 2000 138,507 23,247 115,2602001 5,900 26,775 44,623 67,274 101,408 142,209 2001 139,037 6,360 132,6772002 5,717 25,851 37,782 61,175 82,301 2002 76,756 1,377 75,3802003 3,889 19,585 29,624 42,302 2003 80,856 - 80,8562004 2,042 10,583 19,570 2004 18,799 - 18,7992005 996 8,881 2005 8,431 - 8,4312006 38 2006 37 - 37

Reported Loss & ALAE - Gross of external retrocession Reported Loss & ALAE at year-end 2006U/W At Year-end U/W Gross External NetYear 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 Year RetrocessionsPrior 167,333 183,097 186,951 189,816 194,324 192,038 191,636 191,509 192,516 194,284 Prior 192,359 (43) 192,4011997 10,295 29,285 36,770 43,561 52,830 58,558 60,389 62,422 64,234 59,661 1997 57,037 5,727 51,3101998 7,998 32,980 43,943 47,939 53,240 58,365 65,065 66,733 70,983 1998 67,731 2,554 65,1771999 11,567 52,573 87,518 108,734 127,088 133,297 137,519 132,623 1999 126,580 1,287 125,2942000 13,382 77,568 136,525 193,060 233,954 251,262 260,561 2000 255,477 28,459 227,0182001 13,510 82,953 169,909 227,654 298,634 311,931 2001 308,758 9,447 299,3112002 21,166 75,956 107,458 145,229 166,052 2002 160,507 21,687 138,8202003 16,548 60,297 100,028 103,236 2003 141,790 5,098 136,6922004 16,699 53,569 87,730 2004 86,959 (1) 86,9602005 21,627 73,474 2005 73,024 (6) 73,0292006 11,940 2006 11,939 9 11,930

Year Gross Earned Gross Written Net Earned Net Written Case O/S IBNR TotalReserves Corresponding to Triangles

1997 56,876 56,876 53,126 53,126 Prior Years 16,479 2,539 19,0181998 47,252 47,252 44,796 44,796 1997-2006 631,116 689,329 1,320,4451999 108,988 108,988 107,243 107,243 Total 647,595 691,868 1,339,4632000 181,642 181,642 165,269 165,2692001 196,263 196,272 185,523 185,5322002 266,803 268,347 250,619 251,616 Case O/S IBNR Total2003 368,976 369,136 349,820 353,707 Reserves Corresponding to Triangles2004 343,361 343,351 320,553 320,543 Prior Years 16,479 8,404 24,8832005 325,347 329,615 300,690 304,635 1997-2006 596,257 679,273 1,275,5302006 187,967 303,978 180,464 289,326 Total 612,736 687,677 1,300,413

Note: Small negative values for ceded retrocessions result from the basis used to allocate recoveries under shared programs to class of business.

Net of Retrocession




24



Class: Marine and Aviation

Paid Loss & ALAE - Gross of external retrocession Paid Loss & ALAE at year-end 2006U/W At Year-end U/W Gross External NetYear 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 Year RetrocessionsPrior 142,217 174,117 195,374 215,909 241,182 256,860 261,273 263,485 266,579 267,640 Prior 267,518 68,798 198,7201997 33,525 90,284 118,157 143,474 157,988 171,764 180,755 187,590 195,593 195,714 1997 195,307 15,638 179,6691998 10,937 50,493 86,954 109,460 118,048 126,877 133,956 139,917 144,962 1998 148,496 34,782 113,7141999 17,183 83,875 148,026 193,335 216,793 237,044 242,653 245,760 1999 245,780 42,021 203,7592000 9,514 59,322 107,580 131,170 156,877 177,126 190,433 2000 192,189 57,314 134,8752001 49,279 89,176 132,852 154,608 164,728 171,934 2001 171,277 65,313 105,9652002 2,608 27,923 48,794 57,842 63,166 2002 62,277 216 62,0612003 2,138 20,451 40,253 46,922 2003 46,864 - 46,8642004 3,120 26,732 42,326 2004 41,709 - 41,7092005 5,292 20,799 2005 21,190 11 21,1792006 2,530 2006 2,547 (0) 2,548

Reported Loss & ALAE - Gross of external retrocession Reported Loss & ALAE at year-end 2006U/W At Year-end U/W Gross External NetYear 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 Year RetrocessionsPrior 211,210 240,559 252,561 267,227 273,366 274,820 278,650 278,056 276,530 280,457 Prior 280,334 69,828 210,5071997 48,083 120,489 170,584 178,745 182,266 194,011 202,003 201,492 203,329 202,704 1997 202,297 16,931 185,3661998 27,284 95,766 134,432 147,491 155,454 161,279 156,602 156,684 157,004 1998 160,538 38,794 121,7441999 36,565 151,385 222,007 244,761 259,530 264,628 264,163 266,045 1999 266,065 45,279 220,7862000 34,499 115,939 180,582 203,935 218,980 218,118 218,286 2000 220,042 64,467 155,5762001 80,030 150,065 179,965 191,460 190,759 192,209 2001 191,553 65,675 125,8782002 14,611 52,544 71,898 74,114 77,672 2002 76,783 322 76,4612003 7,608 40,103 56,857 61,835 2003 61,777 33 61,7442004 13,220 50,335 67,762 2004 67,145 - 67,1452005 25,882 54,763 2005 55,154 13 55,1412006 11,235 2006 11,253 18 11,234

Year Gross Earned Gross Written Net Earned Net Written Case O/S IBNR Total1997 225,813 225,813 186,530 186,530 Reserves Corresponding to Triangles1998 168,454 168,454 123,618 123,618 Prior Years 12,816 1,248 14,0651999 218,752 218,752 167,326 167,325 1997-2006 184,969 134,050 319,0192000 219,020 219,020 127,137 127,080 Total 197,785 135,299 333,0842001 234,355 234,355 183,025 183,0242002 275,267 275,882 218,324 218,7462003 242,380 242,876 205,227 205,721 Case O/S IBNR Total2004 213,879 213,701 175,094 174,852 Reserves Corresponding to Triangles2005 165,239 182,000 132,293 148,169 Prior Years 11,787 790 12,5772006 79,137 140,610 64,955 114,786 1997-2006 168,730 135,305 304,035

Total 180,517 136,095 316,612

Net of Retrocession




25



Class: Other

Paid Loss & ALAE - Gross of external retrocession Paid Loss & ALAE at year-end 2006U/W At Year-end U/W Gross External NetYear 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 Year RetrocessionsPrior 85,448 108,464 119,505 124,388 124,338 153,848 159,808 147,790 149,302 155,595 Prior 155,884 2,348 153,5361997 3,585 19,349 52,089 62,905 69,086 72,737 80,102 80,915 79,966 94,399 1997 99,631 10,036 89,5951998 2,082 31,305 80,868 121,925 127,483 131,236 133,210 136,689 151,442 1998 158,560 17,832 140,7271999 7,298 62,044 124,372 149,712 162,477 182,587 219,295 239,323 1999 249,864 51,074 198,7912000 4,602 32,103 59,690 101,437 128,664 147,716 151,940 2000 163,363 78,549 84,8142001 9,547 71,014 136,373 173,727 194,516 213,403 2001 236,369 112,841 123,5282002 9,362 58,754 108,244 153,054 163,819 2002 175,660 11,583 164,0762003 5,919 62,312 105,198 139,128 2003 164,782 14,205 150,5762004 4,781 49,691 81,903 2004 82,729 4,560 78,1692005 5,024 62,678 2005 66,908 0 66,9082006 4,603 2006 4,583 0 4,583

Reported Loss & ALAE - Gross of external retrocession Reported Loss & ALAE at year-end 2006U/W At Year-end U/W Gross External NetYear 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 Year RetrocessionsPrior 109,748 123,106 131,760 135,429 132,726 182,669 185,834 175,562 176,644 176,217 Prior 176,507 8,531 167,9761997 7,637 32,837 64,906 71,559 81,432 90,145 91,207 89,474 89,431 96,180 1997 101,413 10,354 91,0591998 6,698 47,210 102,152 145,583 147,830 149,734 147,350 149,647 162,233 1998 169,350 18,532 150,8181999 13,543 89,605 152,966 167,553 190,272 204,598 236,870 252,597 1999 263,138 56,778 206,3602000 14,832 50,873 93,621 143,269 156,494 170,312 169,232 2000 180,654 83,344 97,3112001 27,037 92,511 183,595 201,323 217,542 233,269 2001 256,235 121,640 134,5952002 18,064 105,620 145,315 169,704 176,566 2002 188,407 14,418 173,9892003 20,564 100,445 148,705 157,657 2003 183,311 16,620 166,6912004 11,597 96,884 117,383 2004 118,209 4,858 113,3512005 22,999 133,971 2005 138,202 379 137,8222006 23,644 2006 23,624 15 23,609

Year Gross Earned Gross Written Net Earned Net Written Case O/S IBNR Total1997 105,233 105,233 89,648 89,648 Reserves Corresponding to Triangles1998 161,064 160,434 137,850 137,219 Prior Years 20,622 2,085 22,7081999 213,698 213,175 165,697 165,174 1997-2006 220,093 428,751 648,8442000 145,833 145,217 61,702 61,086 Total 240,716 430,836 671,5522001 162,604 161,604 76,896 75,8962002 382,173 380,233 295,178 291,9472003 404,446 404,790 336,013 336,020 Case O/S IBNR Total2004 381,784 382,464 347,398 345,975 Reserves Corresponding to Triangles2005 398,884 409,149 328,641 331,802 Prior Years 14,440 2,977 17,4172006 209,102 382,646 171,164 334,778 1997-2006 193,836 366,252 560,088

Total 208,275 369,229 577,505

Net of Retrocession




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june 6, 2007 -...

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