##### Table of Contents



UNITED STATES SECURITIES AND EXCHANGE COMMISSION
 WASHINGTON, DC 20549
 FORM 20-F
 o
    
    REGISTRATION STATEMENT PURSUANT TO SECTION 12(b) OR (g) OF THE SECURITIES EXCHANGE ACT OF 1934
 OR
 þ
    
    ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
 For the fiscal year ended December 31, 2006.
 OR
 o
    
    TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
 OR
 o
    
    SHELL COMPANY REPORT PURSUANT TO SECTION 13 OR 15 (d) OF THE SECURITIES AND EXCHANGE ACT OF 1934
 Date of current requiring this shell company report
 Commission file number: 333-14106
 CONVERIUM HOLDING AG
 (Exact name of Registrant as specified in its charter)
Not Applicable
(Translation of Registrants name into English)
Switzerland
(Jurisdiction of incorporation or organization)
General Guisan-Quai 26
CH-8002 Zürich
Switzerland
(Address of principal executive offices)
Securities registered or to be registered pursuant to Section 12(b) of the Act.
 Name of each ExchangeTitle of each class
    
    on which registeredAmerican Depositary Shares (as evidenced by American Depositary
Receipts), each representing one-half (1/2) of one registered share, nominal
value CHF 5 per share
    
    New York Stock ExchangeRegistered shares, nominal value CHF 5 per share*
    
    New York Stock Exchange8.25% Guaranteed Subordinated Notes due 2032 issued by Converium Finance S.A.
    
    New York Stock ExchangeSubordinated Guarantee of Subordinated Notes+
    
    New York Stock Exchange
 
 *
    
    Not for trading, but only in connection with the listing of American Depositary Shares,
pursuant to the requirements of the Securities and Exchange Commission.+
    
    Not for trading, but only in connection with the listing of the Subordinated Notes, pursuant
to the requirements of the Securities and Exchange Commission.        Yes þ No o
  Yes o No þ
   Yes þ No o
  þ o o
  Item 17 o Item 18 þ
  Yes o No þ




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##### 



TABLE OF CONTENTS
 PART IITEM 1. IDENTITY OF DIRECTORS, SENIOR MANAGEMENT AND ADVISERSITEM 2. OFFER STATISTICS AND EXPECTED TIMETABLEITEM 3. KEY INFORMATIONITEM 4. INFORMATION ON THE COMPANYITEM 4A. UNRESOLVED STAFF COMMENTSITEM 5. OPERATING AND FINANCIAL REVIEW AND PROSPECTSITEM 6. DIRECTORS, SENIOR MANAGEMENT AND EMPLOYEESITEM 7. MAJOR SHAREHOLDERS AND RELATED PARTY TRANSACTIONSITEM 8. FINANCIAL INFORMATIONITEM 9. THE OFFER AND LISTINGITEM 10. ADDITIONAL INFORMATIONITEM 11. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISKSITEM 12. DESCRIPTION OF SECURITIES OTHER THAN EQUITY SECURITIESPART IIITEM 13. DEFAULTS, DIVIDEND ARREARAGES AND DELINQUENCIESITEM 14. MATERIAL MODIFICATION TO THE RIGHTS OF SECURITY HOLDERS AND USE OF PROCEEDSITEM 15. CONTROLS AND PROCEDURESITEM 16. [RESERVED]Item 16A. AUDIT COMMITTEE FINANCIAL EXPERTItem 16B. CODE OF ETHICSItem 16C. PRINCIPAL ACCOUNTANT FEES AND SERVICESItem 16D. EXEMPTIONS FROM THE LISTING STANDARDS FOR AUDIT COMMITTEESItem 16E. PURCHASES OF EQUITY SECURITIES BY THE ISSUER AND AFFILIATED PURCHASERSPART IIIITEM 17. FINANCIAL STATEMENTSITEM 18. FINANCIAL STATEMENTSITEM 19. EXHIBITSSIGNATURESINDEX TO EXHIBITSEX-1.2EX-1.3EX-4.47EX-4.48EX-4.49EX-4.50EX-4.51EX-4.52EX-4.53EX-7.1EX-8.1EX-12.1EX-12.2EX-13.0
  2




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PRESENTATION OF INFORMATION
   
  CAUTIONARY NOTE REGARDING FORWARD-LOOKING STATEMENTS
  
 
    
    certain statements in Item 4.  Information on the Company  B.
Business Overview with regard to strategy and management objectives,
trends in market conditions, prices, market standing and product
volumes, investment results, litigation and the effects of changes or
prospective changes in regulation.
    
    certain statements in Item 5.  Operating and Financial Review and
Prospects with regard to trends in results, prices, volumes,
operations, investment results, margins, overall market trends, risk
management and exchange rates and with regard to our internal review
and related Restatement.
    
    certain statements in Item 11.  Quantitative and Qualitative
Disclosures About Market Risk with regard to sensitivity analyses for
invested assets.
    
    certain statements in Item 15.  Controls and Procedures with regard
to our actions to remediate the material weaknesses identified in our
financial accounting and reporting function.
  
    
    our ability to refinance our outstanding indebtedness and increase our use of hybrid capital;
    
    uncertainties of assumptions used in our reserving process;
    
    risk associated with implementing our business strategies and our capital improvement measures;
    
    cyclical nature of the reinsurance industry;
 3




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##### Table of Contents




    
    the occurrence of natural and man-made catastrophic events with a frequency or severity exceeding our estimates;
 
    
    acts of terrorism and acts of war;
 
    
    changes in economic conditions, including interest and currency rate conditions that could affect our investment portfolio;
 
    
    actions of competitors, including industry consolidation and development of competing financial products;
 
    
    a decrease in the level of demand for our reinsurance or increased competition in our industries or markets;
 
    
    our ability to expand into emerging markets;
 
    
    our ability to enter into strategic investment partnerships;
 
    
    a loss of our key employees or executive officers without suitable replacements being recruited within a suitable period of
time;
 
    
    political risks in the countries in which we operate or in which we reinsure risks;
 
    
    the passage of additional legislation or the promulgation of new regulation in a jurisdiction in which we or our clients
operate or where our subsidiaries are organized;
 
    
    the effect on us and the insurance industry as a result of the investigations being carried out by the US Securities and
Exchange Commission (SEC) and New Yorks Attorney and other governmental authorities;
 
    
    timing and outcome of class action lawsuits;
 
    
    our ability to regain past customers following the rating
upgrade;
 
    
    our ability to retain employees and certain business we write prior to and following the
consummation of the SCOR Tender Offer (as defined below);
 
    
    our ability to successfully integrate our business with that of SCORs following the consummation
of the SCOR Tender Offer and retain joint ventures in which we are a party;
 
    
    the resolution of the investigations being carried out by the SEC, New Yorks Attorney General and other governmental
authorities;
 
    
    changes in our investment results due to the changed composition of our invested assets or changes in our investment policy;
 
    
    failure of our retrocessional reinsurers to honor their obligations or changes in the credit worthiness of our reinsurers;
 
    
    our failure to prevail in any current or future arbitration or litigation; and
 
    
    extraordinary events affecting our clients, such as bankruptcies and liquidations.
   4




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##### Table of Contents



PART I
 
 ITEM 1. IDENTITY OF DIRECTORS, SENIOR MANAGEMENT AND ADVISERS
  
 ITEM 2. OFFER STATISTICS AND EXPECTED TIMETABLE
  
 ITEM 3. KEY INFORMATION
 A. SELECTED FINANCIAL AND OTHER DATA
     Restated(1)
    

    
    
    
    
    For the year ended December 31,USD millions (except per share data)
    
    2006
    
    2005
    
    2004
    
    2003
    
    2002Restated(1)Income statement data:Revenues:Gross premiums written
    
    
    1,980.9
    
    
    
    1,955.0
    
    
    
    3,492.2
    
    
    
    3,044.4
    
    
    
    2,294.7Less ceded premiums written
    
    
    -128.9
    
    
    
    -171.9
    
    
    
    -236.3
    
    
    
    -371.0
    
    
    
    -128.1Net premiums written
    
    
    1,852.0
    
    
    
    1,783.1
    
    
    
    3,255.9
    
    
    
    2,673.4
    
    
    
    2,166.6Net change in unearned premiums
    
    
    -40.3
    
    
    
    471.7
    
    
    
    -157.4
    
    
    
    -89.3
    
    
    
    -112.7Net premiums earned
    
    
    1,811.7
    
    
    
    2,254.8
    
    
    
    3,098.5
    
    
    
    2,584.1
    
    
    
    2,053.9Net investment income
    
    
    260.4
    
    
    
    257.8
    
    
    
    227.5
    
    
    
    155.6
    
    
    
    128.8Net realized capital gains (losses)
    
    
    18.9
    
    
    
    31.3
    
    
    
    31.2
    
    
    
    -3.1
    
    
    
    -34.2Total revenues from continuing operations
    
    
    2,091.0
    
    
    
    2,543.9
    
    
    
    3,357.2
    
    
    
    2,736.6
    
    
    
    2,148.5Benefits, losses and expenses:Losses, loss expenses and life benefits
    
    
    -1,187.8
    
    
    
    -1,720.1
    
    
    
    -2,395.0
    
    
    
    -1,831.8
    
    
    
    -1,581.2Total costs and expenses
    
    
    -647.9
    
    
    
    -740.0
    
    
    
    -931.1
    
    
    
    -672.2
    
    
    
    -518.9Amortization of intangible assets
    
    
    
    
    
    
    -21.5
    
    
    
    -9.9
    
    
    
    -1.8
    
    
    
    Restructuring costs
    
    
    0.2
    
    
    
    -12.1
    
    
    
    -0.2
    
    
    
    
    
    
    
    Total benefits, losses and expenses
    
    
    -1,835.5
    
    
    
    -2,493.7
    
    
    
    -3,336.2
    
    
    
    -2,505.8
    
    
    
    -2,100.1
 5




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##### Table of Contents



Restated(1)
    
    For the year ended December 31,USD millions (except per share data)
    
    2006
    
    2005
    
    2004
    
    2003
    
    2002Restated(1)Income from continuing operations before taxes
    
    
    255.5
    
    
    
    50.2
    
    
    
    21.0
    
    
    
    230.8
    
    
    
    48.4Income tax (expense) benefit
    
    
    -40.5
    
    
    
    -16.1
    
    
    
    4.6
    
    
    
    -16.3
    
    
    
    -18.1Income from continuing operations
    
    
    215.0
    
    
    
    34.1
    
    
    
    25.6
    
    
    
    214.5
    
    
    
    30.3(Loss) income from discontinued operations, net of tax
    
    
    -157.9
    
    
    
    34.6
    
    
    
    -608.1
    
    
    
    -36.6
    
    
    
    64.1Net income (loss)
    
    
    57.1
    
    
    
    68.7
    
    
    
    -582.5
    
    
    
    177.9
    
    
    
    94.4Earnings (loss) per share(2):Average number of shares (millions)
    
    
    146.2
    
    
    
    146.4
    
    
    
    63.4
    
    
    
    39.8
    
    
    
    39.9Basic earnings (loss) per share:from continuing operations
    
    
    1.47
    
    
    
    0.23
    
    
    
    0.40
    
    
    
    2.71
    
    
    
    0.38from discontinued operations
    
    
    -1.08
    
    
    
    0.24
    
    
    
    -9.59
    
    
    
    -0.47
    
    
    
    0.81Total basic earnings (loss) per share
    
    
    0.39
    
    
    
    0.47
    
    
    
    -9.19
    
    
    
    2.24
    
    
    
    1.19Diluted earnings (loss) per share:from continuing operations
    
    
    1.45
    
    
    
    0.23
    
    
    
    0.40
    
    
    
    2.69
    
    
    
    0.38from discontinued operations
    
    
    -1.07
    
    
    
    0.23
    
    
    
    -9.49
    
    
    
    -0.46
    
    
    
    0.80Total diluted earnings (loss) per share
    
    
    0.38
    
    
    
    0.46
    
    
    
    -9.09
    
    
    
    2.23
    
    
    
    1.18Balance sheet data:Total invested assets
    
    
    5,765.3
    
    
    
    6,634.3
    
    
    
    7,786.2
    
    
    
    7,502.0
    
    
    
    6,117.3Total assets
    
    
    10,523.0
    
    
    
    11,825.9
    
    
    
    14,187.3
    
    
    
    13,126.9
    
    
    
    10,675.0Reinsurance liabilities
    
    
    7,036.9
    
    
    
    8,200.8
    
    
    
    9,898.9
    
    
    
    8,428.6
    
    
    
    6,986.7Debt
    
    
    194.1
    
    
    
    391.2
    
    
    
    391.1
    
    
    
    393.1
    
    
    
    392.9Total liabilities
    
    
    8,677.0
    
    
    
    10,172.5
    
    
    
    12,452.5
    
    
    
    11,198.9
    
    
    
    9,079.8Total shareholders equity
    
    
    1,846.0
    
    
    
    1,653.4
    
    
    
    1,734.8
    
    
    
    1,928.0
    
    
    
    1,595.2Book value per share
    
    
    12.63
    
    
    
    11.29
    
    
    
    11.86
    
    
    
    48.47
    
    
    
    39.97Other data:Net premiums written by segment:Standard Property & Casualty Reinsurance
    
    
    816.9
    
    
    
    739.0
    
    
    
    1,377.4
    
    
    
    1,299.9
    
    
    
    974.2Specialty Lines
    
    
    729.4
    
    
    
    737.7
    
    
    
    1,565.3
    
    
    
    1,119.0
    
    
    
    962.4Life & Health Reinsurance
    
    
    305.7
    
    
    
    306.4
    
    
    
    313.2
    
    
    
    254.5
    
    
    
    230.0Total net premiums written
    
    
    1,852.0
    
    
    
    1,783.1
    
    
    
    3,255.9
    
    
    
    2,673.4
    
    
    
    2,166.6Non-life combined ratio
    
    
    96.3
    %
    
    
    107.0
    %
    
    
    105.7
    %
    
    
    91.7
    %
    
    
    100.6
    %Ratio of earnings of continuing operations to fixed charges (3)
    
    
    13.6
    
    
    
    3.4
    
    
    
    1.9
    
    
    
    12.4
    
    
    
    11.3
 
 (1)
    
    The figures for the years ended December 31, 2002, 2003 and 2004 have been restated as set
out in the Companys 2004 Form 20-F/A filed with the SEC on February 28, 2006 and as discussed
in Note 1 to the financial statements (see page F-11), which
decreased 2002 Losses, Loss expenses and Life benefits by
USD 58.6 million resulting in an increase in net income.(2)
    
    For the periods 2002 and 2003, the earnings per share have been restated to reflect the
Rights Offering that occurred in October 2004.(3)
    
    The ratio of earnings to fixed charges is calculated by dividing income (loss) before taxes
plus fixed charges by fixed charges. Fixed charges consist of interest expense and the
interest portion of rental expense. 6




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OtherNet
    
    Net
    
    Losses
    
    
    
    
    
    operating and
    
    Loss
    
    Acquisition
    
    Administrationpremiums
    
    premiums
    
    and loss
    
    Acquisition
    
    administration
    
    ratio
    
    costs ratio
    
    expense ratio
    
    CombinedCombined Ratio
    
    written
    
    earned
    
    expenses
    
    costs
    
    expenses
    
    (1)
    
    (2)
    
    (3)
    
    ratio (4)Analysis
    
    (USD millions)
    
    (%)2006Standard Property &
Casualty
Reinsurance
    
    
    816.9
    
    
    
    775.6
    
    
    
    -441.1
    
    
    
    -195.6
    
    
    
    -43.9
    
    
    
    56.9
    
    
    
    25.2
    
    
    
    5.4
    
    
    
    87.5Specialty lines
    
    
    729.4
    
    
    
    723.7
    
    
    
    -534.3
    
    
    
    -192.4
    
    
    
    -38.6
    
    
    
    73.8
    
    
    
    26.6
    
    
    
    5.3
    
    
    
    105.7Total Non-life
consolidated
    
    
    1,546.3
    
    
    
    1,499.3
    
    
    
    -975.4
    
    
    
    -388.0
    
    
    
    -82.5
    
    
    
    65.1
    
    
    
    25.9
    
    
    
    5.3
    
    
    
    96.32005Standard Property &
Casualty
Reinsurance
    
    
    739.0
    
    
    
    880.8
    
    
    
    -729.6
    
    
    
    -181.3
    
    
    
    -43.9
    
    
    
    82.8
    
    
    
    20.6
    
    
    
    5.9
    
    
    
    109.3Specialty lines
    
    
    737.7
    
    
    
    1,059.2
    
    
    
    -772.5
    
    
    
    -263.8
    
    
    
    -54.5
    
    
    
    72.9
    
    
    
    24.9
    
    
    
    7.4
    
    
    
    105.2Total Non-life
consolidated
    
    
    1,476.7
    
    
    
    1,940.0
    
    
    
    -1,502.1
    
    
    
    -445.1
    
    
    
    -98.4
    
    
    
    77.4
    
    
    
    22.9
    
    
    
    6.7
    
    
    
    107.02004Standard Property &
Casualty
Reinsurance
    
    
    1,377.4
    
    
    
    1,392.2
    
    
    
    -1,003.0
    
    
    
    -353.3
    
    
    
    -52.0
    
    
    
    72.0
    
    
    
    25.4
    
    
    
    3.8
    
    
    
    101.2Specialty lines
    
    
    1,565.3
    
    
    
    1,387.6
    
    
    
    -1,154.7
    
    
    
    -328.1
    
    
    
    -53.3
    
    
    
    83.2
    
    
    
    23.6
    
    
    
    3.4
    
    
    
    110.2Total Non-life
consolidated
    
    
    2,942.7
    
    
    
    2,779.8
    
    
    
    -2,157.7
    
    
    
    -681.4
    
    
    
    -105.3
    
    
    
    77.6
    
    
    
    24.5
    
    
    
    3.6
    
    
    
    105.72003Standard Property &
Casualty
Reinsurance
    
    
    1,299.9
    
    
    
    1,285.2
    
    
    
    -838.8
    
    
    
    -266.4
    
    
    
    -48.0
    
    
    
    65.3
    
    
    
    20.7
    
    
    
    3.7
    
    
    
    89.7Specialty lines
    
    
    1,119.0
    
    
    
    1,038.1
    
    
    
    -713.0
    
    
    
    -228.0
    
    
    
    -39.6
    
    
    
    68.7
    
    
    
    22.0
    
    
    
    3.5
    
    
    
    94.2Total Non-life
consolidated
    
    
    2,418.9
    
    
    
    2,323.3
    
    
    
    -1,551.8
    
    
    
    -494.4
    
    
    
    -87.6
    
    
    
    66.8
    
    
    
    21.3
    
    
    
    3.6
    
    
    
    91.72002Standard Property &
Casualty
Reinsurance
    
    
    974.2
    
    
    
    942.1
    
    
    
    -668.4
    
    
    
    -234.2
    
    
    
    -38.5
    
    
    
    70.9
    
    
    
    24.9
    
    
    
    4.0
    
    
    
    99.8Specialty lines
    
    
    962.4
    
    
    
    885.5
    
    
    
    -709.6
    
    
    
    -157.4
    
    
    
    -34.3
    
    
    
    80.1
    
    
    
    17.8
    
    
    
    3.6
    
    
    
    101.5Total Non-life
consolidated
    
    
    1,936.6
    
    
    
    1,827.6
    
    
    
    -1,378.0
    
    
    
    -391.6
    
    
    
    -72.8
    
    
    
    75.4
    
    
    
    21.4
    
    
    
    3.8
    
    
    
    100.6
 
 (1)
    
    Losses divided by net premiums earned(2)
    
    Acquisition costs divided by net premiums earned(3)
    
    Other operating and administration expenses divided by net premiums written(4)
    
    Sum of the loss, acquisition costs and administration expense ratios Dividends
  B. CAPITALIZATION AND INDEBTEDNESS
  C. REASONS FOR THE OFFER AND USE OF PROCEEDS
  7




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D. RISK FACTORS
 Risks relating to Converium and the reinsurance industry
 If we do not successfully implement our strategy or if such strategy is not effective, it could
have a material adverse effect on our business, financial condition, results of operations and cash
flows
  
    
    Making investments in specialty lines: Based on the Companys track record and human capital
Converium is committed to further expanding its specialty portfolio, including Aviation &
Space, Engineering, Marine & Energy, Credit & Surety and Agribusiness.
 
    
    Maintaining and developing multiple distribution channels, including joint ventures: To
leverage Converiums proven skills at identifying and managing joint ventures and distribution
channels which provide direct access to business, the Company will continue to seek
opportunities in this field. This offers growth opportunities beyond organic business
development and outright acquisitions.
 
    
    Broadening the client base: In addition to expanding relationships with existing clients
Converium seeks to establish new relationships in the Companys preferred geographical markets
and lines of business.
 
    
    Expanding the knowledge base: Converium believes in the value of a knowledge-based business
model, offering clients insight and services beyond pure underwriting capacity. To this end,
the Company will continue to boost its intellectual capital.
 
    
    Further enhancing the risk management and control culture: These efforts will focus on
further implementing a state-of-the-art Enterprise Risk Management (ERM) framework.
 
    
    Advancing cost and capital efficiency: Converium is committed to further rationalize its
internal processes and setup in order to achieve a competitive administrative expense ratio.
In addition, Converium constantly seeks to maximize capital efficiency by exploring
opportunities for leveraging its balance sheet and transferring risks directly to the capital
markets.
  A ratings downgrade could have a material adverse effect on our business, financial condition,
result of operations or cash flows
     8




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Our loss reserves may not adequately cover future losses and benefits
      We may be unable to meet the collateral requirements necessary for our business
  9




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##### Table of Contents



We are subject to the cyclical nature of the reinsurance industry
  
    
    price competition and price setting mechanisms of clients;
    
    frequency of occurrence or severity of both natural and man-made catastrophic events;
    
    levels of capacity and demand;
    
    general economic conditions; and
    
    changes in legislation, case law and prevailing concepts of liability.
  Securitization trend could disadvantage medium-sized players
  We may face competitive disadvantages in the reinsurance industry
  
    
    Munich Reinsurance Company;
 
    
    Swiss Reinsurance Company;
 
    
    Hannover Re Group;
 
    
    SCOR;
 10




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##### Table of Contents




    
    PartnerRe Group; and
 
    
    Lloyds syndicates active in the London market.
  As a result of ongoing investigations of the insurance and reinsurance industry and non-traditional
insurance products, we conducted an internal review and analysis of certain of our reinsurance
transactions and have previously restated our financial statements, however the governmental
inquiries are ongoing
     We are a defendant in a class action lawsuit related to the Companys announcement on July 20, 2004
that second quarter 2004 results would fall short of expectations due to higher than modeled U.S.
casualty loss emergence primarily related to the underwriting years 1996 to 2001
  11




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##### Table of Contents



Regulatory or legal changes could adversely affect our business
     European Reinsurance Directive may disadvantage companies like us which are not established within
the European Union
  Our exposure to catastrophic events, both natural and man-made, may cause unexpected large losses
     12




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##### Table of Contents



Terrorist attacks, national security threats, military initiatives and political unrest could
result in the payment of material insurance claims and may have a negative effect on our business
   If we are unable to achieve our investment objectives, our investment results may be adversely
affected
    Capital market fluctuations may adversely impact the value of our investments and shareholders
equity
   13




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Foreign exchange rate fluctuations may impact our financial condition, results of operation and
cash flows
  
    
    80% of our net premiums written
 
    
    60% of our net investment income
 
    
    85% of our losses, loss expenses and life benefits, and
 
    
    72% of our operating expenses
  The loss of key employees and executive officers without suitable replacements being recruited
within a suitable period of time could adversely affect us
  14




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##### Table of Contents



Consolidation in the insurance industry could lead to lower margins for us and less demand for our
reinsurance products and services
   We purchase retrocessional reinsurance, which may become unavailable on acceptable terms and
subjects us to credit risk
   We are dependent on a small number of reinsurance brokers for a large portion of our revenue and
exposed to their credit risk
   We may be adversely affected if Zurich Financial Services or its subsidiaries fail to honor their
obligations to us or our clients
  15




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##### Table of Contents



We are dependent on a small number of relationships for a substantial proportion of our business;
the loss of a key business relationship could significantly reduce our premium volume and reduce
net income
  We may be restricted from consummating a change of control transaction, disposing of assets or
entering new lines of business
   We are potentially exposed to a significant loss of business in the event of a change of control
   We may require additional equity or debt financing in the future, which may only be available at
unfavourable terms
    Risks Related to SCORs Tender Offer for Converiums registered shares
  Regardless of whether or not the SCOR Tender Offer is completed, the announcement and pendency of the SCOR Tender Offer could cause disruptions in our business
  If SCOR is unsuccessful and the SCOR Tender Offer is not consummated, SCOR will control a substantial portion of our registered shares
  After completion of the SCOR Tender Offer, there may be substantial difficulty and costs associated with the integration of our operations with those of SCORs
  
 
 
   While we have no intention of doing so, the SCOR Transaction Agreement limits our ability to pursue alternatives to the SCOR Tender Offer
  The consideration offered in the SCOR Tender Offer is substantially share based which, if
taken up by shareholders, would expose them to any future SCOR share price fluctuations
  The
market for the Companys registered shares and ADSs may be less
liquid following completion of the SCOR Tender Offer, and the value
of registered shares and American Depository Shares may be lower
  The SCOR Tender Offer has not been extended in, or into, the United States or to holders of the Companys American Depositary Shares
  The failure of SCOR to consummate the SCOR Tender Offer could negatively affect the price of our registered shares and American Depositary Shares and our future business and financial prospects.
  
 ITEM 4. INFORMATION ON THE COMPANY
  16




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##### Table of Contents



A. HISTORY AND DEVELOPMENT OF THE COMPANY
   
    
    The transfer to us of the Zurich Re reinsurance business now conducted by Converium AG,
through a series of steps including:
 o
    
    Our reinsurance of this business through quota share retrocession agreements with two
units of Zurich Financial Services, (the Quota Share Retrocession Agreement);o
    
    The establishment of funds withheld balances in our favor by the applicable units of
Zurich Financial Services (the Funds Withheld Asset), on which we will be paid investment
returns by the Zurich Financial Services units;o
    
    The transfer of assets including cash, marketable securities and participations by
Zurich Financial Services and its subsidiaries to Converium, together with the assumption
of liabilities;
 
    
    The acquisition of the Cologne reinsurance business through the
transfer by a subsidiary of Zurich Financial Services to Converium AG
of its 98.63% interest in ZRK, which was renamed Converium
Rückversicherung (Deutschland) AG. Converiums interest in Converium
Rückversicherung (Deutschland) AG increased to 100% in January 2003;
    
    The acquisition of the North American reinsurance business through the
transfer by a subsidiary of Zurich Financial Services of all of the
voting securities of Zurich Reinsurance (North America) Inc. to CHNA
Inc., a wholly owned subsidiary of Converium AG. In conjunction with
this transfer, CHNA assumed USD 200 million of public debt from a
subsidiary of Zurich Financial Services, and Zurich Reinsurance (North
America), Inc. was renamed CRNA;
    
    The sale of 35,000,000 of our registered shares to the public by
Zurich Financial Services on December 11, 2001 in our initial public
offering and the subsequent sale of 5,000,000 of our registered shares
to the public by Zurich Financial Services on January 9, 2002 as a
result of the underwriters exercise of their over-allotment option,
which sales resulted in the public owning 100% of our shares; and
    
    After our initial public offering, Converium AG used cash transferred
to us by Zurich Financial Services to acquire from subsidiaries of
Zurich Financial Services approximately USD 140 million of residential
and commercial rental properties located in Switzerland.
  
    
    The shareholders equity of the legal entities comprising our operating businesses;
    
    The operating assets of the Zurich reinsurance business; and
    
    The balance of the assets transferred to us consisted of investments and cash, of which approximately USD 140 million was
used by Converium AG to acquire residential and commercial rental properties located in Switzerland from subsidiaries of
Zurich Financial Services
   17




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 
        18




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##### Table of Contents



B. BUSINESS OVERVIEW
 Overview
   19




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##### Table of Contents



Our vision
  Our mission
  
    
    sustainable value growth for our shareholders;
    
    excellent service for our customers and intermediaries; and
    
    a fulfilling work environment for our employees.
 Our strategy
  
    
    Making investments in specialty lines: Based on the Companys track record and human capital
Converium is committed to further expanding its specialty portfolio, including aviation &
space, engineering, marine & energy, credit & surety and agribusiness.
 20




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##### Table of Contents




    
    Maintaining and developing multiple distribution channels, including joint ventures: To
leverage Converiums proven skills at identifying and managing joint ventures and distribution
channels which provide direct access to business, the Company will continue to seek
opportunities in this field. This offers growth opportunities beyond organic business
development and outright acquisitions.
 
    
    Broadening the client base: In addition to expanding relationships with existing clients
Converium seeks to establish new relationships in the Companys preferred geographical markets
and lines of business.
 
    
    Expanding the knowledge base: Converium believes in the value of a knowledge-based business
model, offering clients insight and services beyond pure underwriting capacity. To this end,
the Company will continue to boost its intellectual capital.
 
    
    Further enhancing the risk management and control culture: These efforts will focus on
further implementing a state-of-the-art Enterprise Risk Management (ERM) framework.
 
    
    Advancing cost and capital efficiency: Converium is committed to further rationalise its
internal processes and setup in order to achieve a competitive administrative expense ratio.
In addition, Converium constantly seeks to maximize capital efficiency by exploring
opportunities for leveraging its balance sheet and transferring risks directly to capital
markets.
 Our core business
  Standard Property & Casualty Reinsurance
  Specialty Lines
   21




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##### Table of Contents



Life & Health Reinsurance
   Guiding principles for our business
  
    
    Our lead objective is to maximize economic value. The metrics we use to measure this are pre-tax operating income and
performance excess. Performance excess is the measure we use to implement economic value-based management at Converium
and is an internal key metric for measuring expected and actual underwriting performance. Performance excess represents the
economic value added attached to all reinsurance contracts in our portfolio and takes into account all expected benefits
and costs emanating from a contract or group of contracts, including expected premiums, expected losses and all other
internal and external costs including taxes and the costs of the allocated risk-based capital. Hence, performance excess
equals the expected net present value created for shareholders, in excess of the cost of capital;
    
    To optimize our overall risk profile, we balance and diversify our portfolio by line of business, by region and by duration;
    
    All contracts we underwrite should be profitable in expectation; that is, a performance excess target of at least equal
to zero.
    
    We seek to grow our business, but sustainable profitability is a prerequisite; and
    
    Assumed London market retrocession, financial guarantees and underwriting authorities for assumed reinsurance are outside
of our strategic scope.
  Cycle management.
 Risk management
 22




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##### Table of Contents



Operational excellence.
 Retention management.
 Investment policy.
 Capital management.
 
    
    a disciplined approach based on our state of the art Enterprise Risk Management (ERM)
approach, with excess capital being deployed for profitable growth and being returned to
shareholders;
    
    an optimized and appropriately leveraged balance sheet;
    
    a consistent dividend policy with a proposed sustainable pay-out ratio of 25-35%.
 Our business
  Gross premiums written
    
    Net premiums written
    
    Segment income (loss)(USD millions)
    
    (USD millions)
    
    (USD millions)For the year ended December 31
    
    2006
    
    2005
    
    2004
    
    2006
    
    2005
    
    2004
    
    2006
    
    2005
    
    2004Business Segment:Standard Property & Casualty Reinsurance
    
    
    890.6
    
    
    
    803.1
    
    
    
    1,509.0
    
    
    
    816.9
    
    
    
    739.0
    
    
    
    1,377.4
    
    
    
    204.6
    
    
    
    45.9
    
    
    
    88.3Specialty Lines
    
    
    777.0
    
    
    
    833.1
    
    
    
    1,655.3
    
    
    
    729.4
    
    
    
    737.7
    
    
    
    1,565.3
    
    
    
    98.9
    
    
    
    108.9
    
    
    
    -13.4Life & Health Reinsurance
    
    
    313.3
    
    
    
    318.8
    
    
    
    327.9
    
    
    
    305.7
    
    
    
    306.4
    
    
    
    313.2
    
    
    
    23.5
    
    
    
    17.6
    
    
    
    16.4Corporate Center
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    -54.5
    
    
    
    -49.5
    
    
    
    -36.8Total
    
    
    1,980.9
    
    
    
    1,955.0
    
    
    
    3,492.2
    
    
    
    1,852.0
    
    
    
    1,783.1
    
    
    
    3,255.9
    
    
    
    272.5
    
    
    
    122.9
    
    
    
    54.5Other loss
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    -0.5
    
    
    
    -21.9
    
    
    
    -4.7Interest expense
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    -16.7
    
    
    
    -17.2
    
    
    
    -18.7Amortization of intangible assets
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    -21.5
    
    
    
    -9.9Restructuring costs
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    0.2
    
    
    
    -12.1
    
    
    
    -0.2Income tax (expense) benefit
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    -40.5
    
    
    
    -16.1
    
    
    
    4.6Income from continuing operations
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    215.0
    
    
    
    34.1
    
    
    
    25.6(Loss) income from discontinuing
operations, net of tax
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    -157.9
    
    
    
    34.6
    
    
    
    -608.1Net income (loss)
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    57.1
    
    
    
    68.7
    
    
    
    -582.5
  For the year ended December 31,2006
    
    2005
    
    2004Change in
    
    
    
    
    
    
    
    
    
    Change in
    
    
    
    
    
    
    
    
    
    Change inReported
    
    Accrual
    
    Total
    
    Reported
    
    Accrual
    
    Total
    
    Reported
    
    Accrual
    
    Total(USD millions)
    
    (USD millions)
    
    (USD millions)Gross Premiums WrittenStandard Property &
Casualty
ReinsuranceGeneral Third Party
Liability
    
    
    241.4
    
    
    
    -1.3
    
    
    
    240.1
    
    
    
    260.1
    
    
    
    -75.9
    
    
    
    184.2
    
    
    
    376.2
    
    
    
    28.5
    
    
    
    404.7Motor
    
    
    160.8
    
    
    
    9.7
    
    
    
    170.5
    
    
    
    254.3
    
    
    
    -65.4
    
    
    
    188.9
    
    
    
    479.0
    
    
    
    -7.0
    
    
    
    472.0Personal Accident
(assumed from
non-life insurers)
    
    
    16.0
    
    
    
    -0.6
    
    
    
    15.4
    
    
    
    23.2
    
    
    
    -9.9
    
    
    
    13.3
    
    
    
    51.6
    
    
    
    -17.9
    
    
    
    33.7
 23




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##### Table of Contents



For the year ended December 31,2006
    
    2005
    
    2004Change in
    
    
    
    
    
    
    
    
    
    Change in
    
    
    
    
    
    
    
    
    
    Change inReported
    
    Accrual
    
    Total
    
    Reported
    
    Accrual
    
    Total
    
    Reported
    
    Accrual
    
    Total(USD millions)
    
    (USD millions)
    
    (USD millions)Gross Premiums WrittenProperty
    
    
    482.8
    
    
    
    -18.2
    
    
    
    464.6
    
    
    
    444.5
    
    
    
    -27.8
    
    
    
    416.7
    
    
    
    631.1
    
    
    
    -32.5
    
    
    
    598.6Total Standard
Property & Casualty
Reinsurance
    
    
    901.0
    
    
    
    -10.4
    
    
    
    890.6
    
    
    
    982.1
    
    
    
    -179.0
    
    
    
    803.1
    
    
    
    1537.9
    
    
    
    -28.9
    
    
    
    1,509.0Specialty LinesAgribusiness
    
    
    31.5
    
    
    
    5.6
    
    
    
    37.1
    
    
    
    16.0
    
    
    
    20.7
    
    
    
    36.7
    
    
    
    10.7
    
    
    
    0.7
    
    
    
    11.4Aviation & Space
    
    
    274.7
    
    
    
    -12.5
    
    
    
    262.2
    
    
    
    336.7
    
    
    
    -82.1
    
    
    
    254.6
    
    
    
    486.6
    
    
    
    -10.2
    
    
    
    476.4Credit & Surety
    
    
    72.5
    
    
    
    -30.4
    
    
    
    42.1
    
    
    
    161.8
    
    
    
    -103.4
    
    
    
    58.4
    
    
    
    175.9
    
    
    
    33.2
    
    
    
    209.1Engineering
    
    
    84.6
    
    
    
    -16.8
    
    
    
    67.8
    
    
    
    112.5
    
    
    
    -41.9
    
    
    
    70.6
    
    
    
    126.1
    
    
    
    -7.6
    
    
    
    118.5Marine & Energy
    
    
    62.5
    
    
    
    -3.5
    
    
    
    59.0
    
    
    
    77.9
    
    
    
    -13.0
    
    
    
    64.9
    
    
    
    86.5
    
    
    
    -0.7
    
    
    
    85.8Professional
Liability and other
Special Liability
    
    
    356.5
    
    
    
    -43.4
    
    
    
    313.1
    
    
    
    346.4
    
    
    
    13.0
    
    
    
    359.4
    
    
    
    422.0
    
    
    
    18.3
    
    
    
    440.3Workers
Compensation
    
    
    7.7
    
    
    
    -12.0
    
    
    
    -4.3
    
    
    
    84.7
    
    
    
    -96.2
    
    
    
    -11.5
    
    
    
    225.1
    
    
    
    88.7
    
    
    
    313.8Total Specialty
Lines
    
    
    890.0
    
    
    
    -113.0
    
    
    
    777.0
    
    
    
    1,136.0
    
    
    
    -302.9
    
    
    
    833.1
    
    
    
    1,532.9
    
    
    
    122.4
    
    
    
    1,655.3Life & Health
ReinsuranceLife & Disability
    
    
    257.2
    
    
    
    -2.0
    
    
    
    255.2
    
    
    
    233.5
    
    
    
    14.1
    
    
    
    247.6
    
    
    
    231.0
    
    
    
    16.8
    
    
    
    247.8Accident & Health
    
    
    65.6
    
    
    
    -7.5
    
    
    
    58.1
    
    
    
    67.0
    
    
    
    4.2
    
    
    
    71.2
    
    
    
    90.6
    
    
    
    -10.5
    
    
    
    80.1Total Life & Health
Reinsurance
    
    
    322.8
    
    
    
    -9.5
    
    
    
    313.3
    
    
    
    300.5
    
    
    
    18.3
    
    
    
    318.8
    
    
    
    321.6
    
    
    
    6.3
    
    
    
    327.9Total
    
    
    2,113.8
    
    
    
    -132.9
    
    
    
    1,980.9
    
    
    
    2,418.6
    
    
    
    -463.6
    
    
    
    1,955.0
    
    
    
    3,392.4
    
    
    
    99.8
    
    
    
    3,492.2
    For the year ended December 31,2006
    
    2005
    
    2004Change in
    
    
    
    
    
    
    
    
    
    Change in
    
    
    
    
    
    
    
    
    
    Change inReported
    
    Accrual
    
    Total
    
    Reported
    
    Accrual
    
    Total
    
    Reported
    
    Accrual
    
    Total(USD millions)
    
    (USD millions)
    
    (USD millions)Acquisition Costs, grossStandard Property &
Casualty
ReinsuranceGeneral Third Party
Liability
    
    
    46.1
    
    
    
    21.5
    
    
    
    67.6
    
    
    
    66.2
    
    
    
    -46.5
    
    
    
    19.7
    
    
    
    102.3
    
    
    
    2.7
    
    
    
    105.0Motor
    
    
    33.0
    
    
    
    5.0
    
    
    
    38.0
    
    
    
    27.0
    
    
    
    0.7
    
    
    
    27.7
    
    
    
    80.7
    
    
    
    4.1
    
    
    
    84.8Personal Accident
(assumed from
non-life insurers)
    
    
    4.7
    
    
    
    -0.3
    
    
    
    4.4
    
    
    
    6.2
    
    
    
    -2.7
    
    
    
    3.5
    
    
    
    16.2
    
    
    
    -0.6
    
    
    
    15.6Property
    
    
    102.9
    
    
    
    -0.4
    
    
    
    102.5
    
    
    
    116.4
    
    
    
    -21.1
    
    
    
    95.3
    
    
    
    136.0
    
    
    
    -0.4
    
    
    
    135.6Total Standard
Property & Casualty
Reinsurance
    
    
    186.7
    
    
    
    25.8
    
    
    
    212.5
    
    
    
    215.8
    
    
    
    -69.6
    
    
    
    146.2
    
    
    
    335.2
    
    
    
    5.8
    
    
    
    341.0Specialty LinesAgribusiness
    
    
    4.5
    
    
    
    1.9
    
    
    
    6.4
    
    
    
    2.6
    
    
    
    2.9
    
    
    
    5.5
    
    
    
    2.1
    
    
    
    0.4
    
    
    
    2.5Aviation & Space
    
    
    81.6
    
    
    
    3.5
    
    
    
    85.1
    
    
    
    79.6
    
    
    
    -0.8
    
    
    
    78.8
    
    
    
    86.5
    
    
    
    17.3
    
    
    
    103.8Credit & Surety
    
    
    25.1
    
    
    
    -2.5
    
    
    
    22.6
    
    
    
    54.5
    
    
    
    -29.7
    
    
    
    24.8
    
    
    
    59.0
    
    
    
    4.3
    
    
    
    63.3Engineering
    
    
    23.7
    
    
    
    -2.1
    
    
    
    21.6
    
    
    
    29.8
    
    
    
    -7.3
    
    
    
    22.5
    
    
    
    32.1
    
    
    
    -2.6
    
    
    
    29.5Marine & Energy
    
    
    14.4
    
    
    
    -1.3
    
    
    
    13.1
    
    
    
    17.0
    
    
    
    0.1
    
    
    
    17.1
    
    
    
    18.7
    
    
    
    -1.1
    
    
    
    17.6Professional
Liability and other
Special Liability
    
    
    41.8
    
    
    
    15.0
    
    
    
    56.8
    
    
    
    51.2
    
    
    
    -14.1
    
    
    
    37.1
    
    
    
    64.3
    
    
    
    22.6
    
    
    
    86.9
 24




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For the year ended December 31,2006
    
    2005
    
    2004Change in
    
    
    
    
    
    
    
    
    
    Change in
    
    
    
    
    
    
    
    
    
    Change inReported
    
    Accrual
    
    Total
    
    Reported
    
    Accrual
    
    Total
    
    Reported
    
    Accrual
    
    Total(USD millions)
    
    (USD millions)
    
    (USD millions)Acquisition Costs, grossWorkers
Compensation
    
    
    2.6
    
    
    
    -2.4
    
    
    
    0.2
    
    
    
    17.7
    
    
    
    -21.9
    
    
    
    -4.2
    
    
    
    34.1
    
    
    
    20.6
    
    
    
    54.7Total Specialty
Lines
    
    
    193.7
    
    
    
    12.1
    
    
    
    205.8
    
    
    
    252.4
    
    
    
    -70.8
    
    
    
    181.6
    
    
    
    296.8
    
    
    
    61.5
    
    
    
    358.3Life & Health
ReinsuranceLife & Disability
    
    
    77.6
    
    
    
    -12.1
    
    
    
    65.5
    
    
    
    163.8
    
    
    
    -94.9
    
    
    
    68.9
    
    
    
    169.0
    
    
    
    -128.0
    
    
    
    41.0Accident & Health
    
    
    17.6
    
    
    
    -6.0
    
    
    
    11.6
    
    
    
    20.4
    
    
    
    1.2
    
    
    
    21.6
    
    
    
    26.3
    
    
    
    -5.4
    
    
    
    20.9Total Life & Health
Reinsurance
    
    
    95.2
    
    
    
    -18.1
    
    
    
    77.1
    
    
    
    184.2
    
    
    
    -93.7
    
    
    
    90.5
    
    
    
    195.3
    
    
    
    -133.4
    
    
    
    61.9Total segments
    
    
    475.6
    
    
    
    19.8
    
    
    
    495.4
    
    
    
    652.4
    
    
    
    -234.1
    
    
    
    418.3
    
    
    
    827.3
    
    
    
    -66.1
    
    
    
    761.2Amortization of DAC
    
    
    
    
    
    
    
    
    
    
    -19.0
    
    
    
    
    
    
    
    
    
    
    
    113.8
    
    
    
    
    
    
    
    
    
    
    
    15.8Other costs
    
    
    
    
    
    
    
    
    
    
    10.3
    
    
    
    
    
    
    
    
    
    
    
    14.0
    
    
    
    
    
    
    
    
    
    
    
    22.0Total
    
    
    
    
    
    
    
    
    
    
    486.7
    
    
    
    
    
    
    
    
    
    
    
    546.1
    
    
    
    
    
    
    
    
    
    
    
    799.0
  For the year ended December 31,2006
    
    2005
    
    2004(USD millions)
    
    % of total
    
    (USD millions)
    
    % of total
    
    (USD millions)
    
    % of totalUnited Kingdom(1)
    
    
    539.3
    
    
    
    27.2
    
    
    
    481.2
    
    
    
    24.6
    
    
    
    1,156.9
    
    
    
    33.1Germany
    
    
    399.9
    
    
    
    20.2
    
    
    
    395.1
    
    
    
    20.2
    
    
    
    389.6
    
    
    
    11.1France
    
    
    71.1
    
    
    
    3.6
    
    
    
    86.1
    
    
    
    4.4
    
    
    
    158.2
    
    
    
    4.6Italy
    
    
    87.5
    
    
    
    4.4
    
    
    
    107.1
    
    
    
    5.5
    
    
    
    162.3
    
    
    
    4.6Rest of Europe
    
    
    298.2
    
    
    
    15.0
    
    
    
    251.1
    
    
    
    12.8
    
    
    
    379.7
    
    
    
    10.9Far East
    
    
    120.5
    
    
    
    6.1
    
    
    
    132.1
    
    
    
    6.8
    
    
    
    238.5
    
    
    
    6.8Near and Middle East
    
    
    132.2
    
    
    
    6.7
    
    
    
    103.1
    
    
    
    5.3
    
    
    
    124.3
    
    
    
    3.6North America
    
    
    235.7
    
    
    
    11.9
    
    
    
    306.7
    
    
    
    15.7
    
    
    
    752.7
    
    
    
    21.6Central and South America
    
    
    96.5
    
    
    
    4.9
    
    
    
    92.5
    
    
    
    4.7
    
    
    
    130.0
    
    
    
    3.7Total
    
    
    1,980.9
    
    
    
    100.0
    
    
    
    1,955.0
    
    
    
    100.0
    
    
    
    3,492.2
    
    
    
    100.0
 
 (1)
    
    Premiums from the United Kingdom include business assumed through GAUM and Lloyds syndicates
for such lines of business as Aviation & Space as well as marine, where the exposures are worldwide
in nature. Therefore, geographic location of the ceding company may not necessarily be indicative
of the location of risk.  For the year ended December 31,2006
    
    2005
    
    2004Net
    
    Net
    
    Net
    
    Net
    
    Net
    
    Netpremiums
    
    premiums
    
    premiums
    
    premiums
    
    premiums
    
    premiums(USD millions)
    
    written
    
    earned
    
    written
    
    earned
    
    written
    
    earnedStandard Property & Casualty ReinsuranceGeneral Third Party Liability
    
    
    229.7
    
    
    
    210.1
    
    
    
    146.7
    
    
    
    204.1
    
    
    
    379.1
    
    
    
    348.1Motor
    
    
    143.1
    
    
    
    138.1
    
    
    
    188.4
    
    
    
    256.8
    
    
    
    437.4
    
    
    
    450.8Personal Accident (assumed from non-life
insurers)
    
    
    12.4
    
    
    
    9.1
    
    
    
    13.3
    
    
    
    14.3
    
    
    
    34.5
    
    
    
    43.8Property
    
    
    431.7
    
    
    
    418.3
    
    
    
    390.6
    
    
    
    405.6
    
    
    
    526.4
    
    
    
    549.5Total Standard Property & Casualty
Reinsurance
    
    
    816.9
    
    
    
    775.6
    
    
    
    739.0
    
    
    
    880.8
    
    
    
    1,377.4
    
    
    
    1,392.2Specialty LinesAgribusiness
    
    
    37.1
    
    
    
    34.1
    
    
    
    36.7
    
    
    
    28.9
    
    
    
    11.4
    
    
    
    15.5Aviation & Space
    
    
    237.1
    
    
    
    237.8
    
    
    
    241.8
    
    
    
    352.4
    
    
    
    404.5
    
    
    
    327.3Credit & Surety
    
    
    42.2
    
    
    
    44.8
    
    
    
    58.4
    
    
    
    168.2
    
    
    
    204.3
    
    
    
    177.9Engineering
    
    
    61.7
    
    
    
    66.1
    
    
    
    65.5
    
    
    
    88.7
    
    
    
    112.2
    
    
    
    117.3Marine & Energy
    
    
    58.1
    
    
    
    53.4
    
    
    
    64.0
    
    
    
    71.7
    
    
    
    82.5
    
    
    
    85.1Professional Liability and other Special
Liability
    
    
    297.6
    
    
    
    291.9
    
    
    
    282.8
    
    
    
    295.6
    
    
    
    436.5
    
    
    
    410.6Workers Compensation
    
    
    -4.4
    
    
    
    -4.4
    
    
    
    -11.5
    
    
    
    53.7
    
    
    
    313.9
    
    
    
    253.9
 25




---



##### Table of Contents



For the year ended December 31,2006
    
    2005
    
    2004Net
    
    Net
    
    Net
    
    Net
    
    Net
    
    Netpremiums
    
    premiums
    
    premiums
    
    premiums
    
    premiums
    
    premiums(USD millions)
    
    written
    
    earned
    
    written
    
    earned
    
    written
    
    earnedTotal Specialty Lines
    
    
    729.4
    
    
    
    723.7
    
    
    
    737.7
    
    
    
    1,059.2
    
    
    
    1,565.3
    
    
    
    1,387.6Total non-life reinsurance
    
    
    1,546.3
    
    
    
    1,499.3
    
    
    
    1,476.7
    
    
    
    1,940.0
    
    
    
    2,942.7
    
    
    
    2,779.8Life & Health ReinsuranceLife & Disability
    
    
    247.5
    
    
    
    251.5
    
    
    
    235.2
    
    
    
    240.7
    
    
    
    234.9
    
    
    
    239.7Accident & Health
    
    
    58.2
    
    
    
    60.9
    
    
    
    71.2
    
    
    
    74.1
    
    
    
    78.3
    
    
    
    79.0Total Life & Health Reinsurance
    
    
    305.7
    
    
    
    312.4
    
    
    
    306.4
    
    
    
    314.8
    
    
    
    313.2
    
    
    
    318.7Total
    
    
    1,852.0
    
    
    
    1,811.7
    
    
    
    1,783.1
    
    
    
    2,254.8
    
    
    
    3,255.9
    
    
    
    3,098.5
 Types of reinsurance
      26




---



##### Table of Contents



Proportional and non-proportional
   Structured/finite
   Non-life operations
 Overview
  27




---



##### Table of Contents



Loss, Expense and Combined RatiosFor the year ended December 31,2006
    
    2005
    
    2004Loss
    
    Acq costs
    
    Combined
    
    Loss
    
    Acq costs
    
    Combined
    
    Loss
    
    Acq costs
    
    Combinedratio
    
    ratio
    
    ratio (1)
    
    ratio
    
    ratio
    
    ratio (1)
    
    ratio
    
    ratio
    
    ratio (1)General Third Party Liability
    
    
    55.4
    %
    
    
    26.1
    %
    
    
    81.5
    %
    
    
    91.4
    %
    
    
    13.7
    %
    
    
    105.1
    %
    
    
    67.1
    %
    
    
    30.0
    %
    
    
    97.1
    %Motor
    
    
    90.2
    %
    
    
    24.8
    %
    
    
    115.0
    %
    
    
    96.4
    %
    
    
    16.1
    %
    
    
    112.5
    %
    
    
    103.7
    %
    
    
    17.9
    %
    
    
    121.6
    %Personal Accident (assumed from
non-life insurers)
    
    
    70.3
    %
    
    
    36.3
    %
    
    
    106.6
    %
    
    
    27.3
    %
    
    
    25.9
    %
    
    
    53.2
    %
    
    
    54.1
    %
    
    
    38.4
    %
    
    
    92.5
    %Property
    
    
    46.4
    %
    
    
    24.7
    %
    
    
    71.1
    %
    
    
    71.9
    %
    
    
    26.7
    %
    
    
    98.6
    %
    
    
    50.6
    %
    
    
    27.6
    %
    
    
    78.2
    %Agribusiness
    
    
    73.3
    %
    
    
    15.5
    %
    
    
    88.8
    %
    
    
    78.9
    %
    
    
    17.3
    %
    
    
    96.2
    %
    
    
    94.8
    %
    
    
    21.9
    %
    
    
    116.7
    %Aviation & Space
    
    
    66.1
    %
    
    
    34.8
    %
    
    
    100.9
    %
    
    
    60.9
    %
    
    
    26.4
    %
    
    
    87.3
    %
    
    
    53.7
    %
    
    
    24.5
    %
    
    
    78.2
    %Credit & Surety
    
    
    47.3
    %
    
    
    52.2
    %
    
    
    99.5
    %
    
    
    59.2
    %
    
    
    34.3
    %
    
    
    93.5
    %
    
    
    50.1
    %
    
    
    30.0
    %
    
    
    80.1
    %Engineering
    
    
    42.2
    %
    
    
    31.9
    %
    
    
    74.1
    %
    
    
    71.4
    %
    
    
    31.2
    %
    
    
    102.6
    %
    
    
    76.6
    %
    
    
    25.5
    %
    
    
    102.1
    %Marine & Energy
    
    
    53.7
    %
    
    
    22.1
    %
    
    
    75.8
    %
    
    
    81.2
    %
    
    
    25.8
    %
    
    
    107.0
    %
    
    
    92.0
    %
    
    
    20.7
    %
    
    
    112.7
    %Professional Liability and other
Special Liability
    
    
    95.9
    %
    
    
    16.2
    %
    
    
    112.1
    %
    
    
    89.6
    %
    
    
    17.2
    %
    
    
    106.8
    %
    
    
    112.3
    %
    
    
    19.9
    %
    
    
    132.2
    %Workers Compensation
    
    
    129.5
    %
    
    
    -18.2
    %
    
    
    111.3
    %
    
    
    91.8
    %
    
    
    20.1
    %
    
    
    111.9
    %
    
    
    96.8
    %
    
    
    24.5
    %
    
    
    121.3
    %Total non-life
    
    
    65.1
    %
    
    
    25.9
    %
    
    
    91.0
    %
    
    
    77.4
    %
    
    
    22.9
    %
    
    
    100.3
    %
    
    
    77.6
    %
    
    
    24.5
    %
    
    
    102.1
    %
 
 (1)
    
    The combined ratios presented in this table exclude administration expenses. Loss ratio
and acquisition costs ratio are based on net premiums earned.  Standard Property & Casualty Reinsurance
   General Third Party Liability
  28




---



##### Table of Contents



Motor
  Personal Accident (assumed from non-life insurers)
  Property
   For the year ended December 31,2006
    
    2005
    
    2004Gross
    
    Net
    
    Net
    
    Gross
    
    Net
    
    Net
    
    Gross
    
    Net
    
    Netpremiums
    
    premiums
    
    premiums
    
    premiums
    
    premiums
    
    premiums
    
    premiums
    
    premiums
    
    premiums(USD millions)
    
    written
    
    written
    
    earned
    
    written
    
    written
    
    earned
    
    written
    
    written
    
    earnedGeneral Third
Party Liability
    
    
    240.2
    
    
    
    229.7
    
    
    
    210.1
    
    
    
    184.2
    
    
    
    146.7
    
    
    
    204.1
    
    
    
    404.7
    
    
    
    379.1
    
    
    
    348.1Motor
    
    
    170.6
    
    
    
    143.1
    
    
    
    138.1
    
    
    
    188.9
    
    
    
    188.4
    
    
    
    256.8
    
    
    
    472.0
    
    
    
    437.4
    
    
    
    450.8Personal Accident
(assumed from
non-life insurers)
    
    
    15.3
    
    
    
    12.4
    
    
    
    9.1
    
    
    
    13.3
    
    
    
    13.3
    
    
    
    14.3
    
    
    
    33.8
    
    
    
    34.5
    
    
    
    43.8Property
    
    
    464.5
    
    
    
    431.7
    
    
    
    418.3
    
    
    
    416.7
    
    
    
    390.6
    
    
    
    405.6
    
    
    
    598.5
    
    
    
    526.4
    
    
    
    549.5Total Standard
Property & Casualty
Reinsurance
    
    
    890.6
    
    
    
    816.9
    
    
    
    775.6
    
    
    
    803.1
    
    
    
    739.0
    
    
    
    880.8
    
    
    
    1,509.0
    
    
    
    1,377.4
    
    
    
    1,392.2
  Loss, Expense and Combined RatiosFor the year ended December 31,2006
    
    2005
    
    2004Acq costs
    
    Combined
    
    Loss
    
    Acq costs
    
    Combined
    
    Loss
    
    Acq costs
    
    CombinedLoss ratio
    
    ratio
    
    ratio (1)
    
    ratio
    
    ratio
    
    ratio (1)
    
    ratio
    
    ratio
    
    ratio (1)General Third Party Liability
    
    
    55.4
    %
    
    
    26.1
    %
    
    
    81.5
    %
    
    
    91.4
    %
    
    
    13.7
    %
    
    
    105.1
    %
    
    
    67.1
    %
    
    
    30.0
    %
    
    
    97.1
    %Motor
    
    
    90.2
    %
    
    
    24.8
    %
    
    
    115.0
    %
    
    
    96.4
    %
    
    
    16.1
    %
    
    
    112.5
    %
    
    
    103.7
    %
    
    
    17.9
    %
    
    
    121.6
    %Personal Accident (assumed
from non-life insurers)
    
    
    70.3
    %
    
    
    36.3
    %
    
    
    106.6
    %
    
    
    27.3
    %
    
    
    25.9
    %
    
    
    53.2
    %
    
    
    54.1
    %
    
    
    38.4
    %
    
    
    92.5
    %Property
    
    
    46.4
    %
    
    
    24.7
    %
    
    
    71.1
    %
    
    
    71.9
    %
    
    
    26.7
    %
    
    
    98.6
    %
    
    
    50.6
    %
    
    
    27.6
    %
    
    
    78.2
    %Total Standard Property &
Casualty Reinsurance
    
    
    56.9
    %
    
    
    25.2
    %
    
    
    82.1
    %
    
    
    82.8
    %
    
    
    20.6
    %
    
    
    103.4
    %
    
    
    72.0
    %
    
    
    25.4
    %
    
    
    97.4
    %
 29




---



##### Table of Contents



(1)
    
    The combined ratios presented in this table exclude administration expenses. Loss ratio
and acquisition costs ratio are based on net premiums earned.  Specialty Lines
       Agribusiness
  Aviation & Space
  Credit & Surety
  Engineering
  Marine & Energy
 30




---



##### Table of Contents



Professional Liability and other Special Liability
  Workers Compensation
   For the year ended December 31,2006
    
    2005
    
    2004Gross
    
    Net
    
    Net
    
    Gross
    
    Net
    
    Net
    
    Gross
    
    Net
    
    Netpremiums
    
    premiums
    
    premiums
    
    premiums
    
    premiums
    
    premiums
    
    premiums
    
    premiums
    
    premiums(USD millions)
    
    written
    
    written
    
    earned
    
    written
    
    written
    
    earned
    
    written
    
    written
    
    earnedAgribusiness
    
    
    37.1
    
    
    
    37.1
    
    
    
    34.1
    
    
    
    36.7
    
    
    
    36.7
    
    
    
    28.9
    
    
    
    11.4
    
    
    
    11.4
    
    
    
    15.5Aviation & Space
    
    
    262.2
    
    
    
    237.1
    
    
    
    237.8
    
    
    
    254.6
    
    
    
    241.8
    
    
    
    352.4
    
    
    
    476.5
    
    
    
    404.5
    
    
    
    327.3Credit & Surety
    
    
    42.2
    
    
    
    42.2
    
    
    
    44.8
    
    
    
    58.4
    
    
    
    58.4
    
    
    
    168.2
    
    
    
    209.1
    
    
    
    204.3
    
    
    
    177.9Engineering
    
    
    67.8
    
    
    
    61.7
    
    
    
    66.1
    
    
    
    70.6
    
    
    
    65.5
    
    
    
    88.7
    
    
    
    118.5
    
    
    
    112.2
    
    
    
    117.3Marine & Energy
    
    
    59.0
    
    
    
    58.1
    
    
    
    53.4
    
    
    
    64.9
    
    
    
    64.0
    
    
    
    71.7
    
    
    
    85.8
    
    
    
    82.5
    
    
    
    85.1Professional
Liability and other
Special Liability
    
    
    313.1
    
    
    
    297.6
    
    
    
    291.9
    
    
    
    359.4
    
    
    
    282.8
    
    
    
    295.6
    
    
    
    440.2
    
    
    
    436.5
    
    
    
    410.6Workers Compensation
    
    
    -4.4
    
    
    
    -4.4
    
    
    
    -4.4
    
    
    
    -11.5
    
    
    
    -11.5
    
    
    
    53.7
    
    
    
    313.8
    
    
    
    313.9
    
    
    
    253.9Total Specialty Lines
    
    
    777.0
    
    
    
    729.4
    
    
    
    723.7
    
    
    
    833.1
    
    
    
    737.7
    
    
    
    1,059.2
    
    
    
    1,655.3
    
    
    
    1,565.3
    
    
    
    1,387.6
  Loss, Expense and Combined RatiosFor the year ended December 31,2006
    
    2005
    
    2004Acq costs
    
    Combined
    
    
    
    
    
    Acq costs
    
    Combined
    
    
    
    
    
    Acq costs
    
    CombinedLoss ratio
    
    ratio
    
    ratio (1)
    
    Loss ratio
    
    Ratio
    
    ratio (1)
    
    Loss ratio
    
    ratio
    
    ratio (1)Agribusiness
    
    
    73.3
    %
    
    
    15.5
    %
    
    
    88.8
    %
    
    
    78.9
    %
    
    
    17.3
    %
    
    
    96.2
    %
    
    
    94.8
    %
    
    
    21.9
    %
    
    
    116.7
    %Aviation & Space
    
    
    66.1
    %
    
    
    34.8
    %
    
    
    100.9
    %
    
    
    60.9
    %
    
    
    26.4
    %
    
    
    87.3
    %
    
    
    53.7
    %
    
    
    24.5
    %
    
    
    78.2
    %Credit & Surety
    
    
    47.3
    %
    
    
    52.2
    %
    
    
    99.5
    %
    
    
    59.2
    %
    
    
    34.3
    %
    
    
    93.5
    %
    
    
    50.1
    %
    
    
    30.0
    %
    
    
    80.1
    %Engineering
    
    
    42.2
    %
    
    
    31.9
    %
    
    
    74.1
    %
    
    
    71.4
    %
    
    
    31.2
    %
    
    
    102.6
    %
    
    
    76.6
    %
    
    
    25.5
    %
    
    
    102.1
    %Marine & Energy
    
    
    53.7
    %
    
    
    22.1
    %
    
    
    75.8
    %
    
    
    81.2
    %
    
    
    25.8
    %
    
    
    107.0
    %
    
    
    92.0
    %
    
    
    20.7
    %
    
    
    112.7
    %Professional
Liability and other
Special Liability
    
    
    95.9
    %
    
    
    16.2
    %
    
    
    112.1
    %
    
    
    89.6
    %
    
    
    17.2
    %
    
    
    106.8
    %
    
    
    112.3
    %
    
    
    19.9
    %
    
    
    132.2
    %Workers Compensation
    
    
    129.5
    %
    
    
    -18.2
    %
    
    
    111.3
    %
    
    
    91.8
    %
    
    
    20.1
    %
    
    
    111.9
    %
    
    
    96.8
    %
    
    
    24.5
    %
    
    
    121.3
    %Total Specialty Lines
    
    
    73.8
    %
    
    
    26.6
    %
    
    
    100.4
    %
    
    
    72.9
    %
    
    
    24.9
    %
    
    
    97.8
    %
    
    
    83.2
    %
    
    
    23.6
    %
    
    
    106.8
    %
 
 (1)
    
    The combined ratios presented in this table exclude administration expenses. Loss ratio
and acquisition costs ratio are based on net premiums earned. 31




---



##### Table of Contents



Life & Health Reinsurance
  
    
    Life & Disability; and
    
    Accident & Health.
    
    
    maintaining underwriting discipline and pursuing business that is attractive on a risk-adjusted basis;
    
    pursuing growth in markets we believe offer attractive opportunities, such as Germany, Italy, France and the Middle East;
    
    maintaining a low expense ratio;
    
    selectively providing services in certain target markets to build loyalty and attract premiums;
    
    providing structured/finite solutions; and
    
    leveraging our capital markets expertise which, among other things, provides us with additional capacity to write business.
     
    
    demutualizations of life insurance companies;
    
    aging of the population;
    
    privatization of benefits that used to be provided by governments;
 32




---



##### Table of Contents




    
    deregulation and increased competition among primary insurance
companies from new entrants, such as banks and other financial
services companies; and
    
    the increasing need for products that reduce the volatility of
earnings following the increasing adoption of international accounting
standards in many of the markets we serve.
  Competition
  
    
    financial strength;
    
    expertise, reputation, experience and qualifications of employees;
    
    local presence;
    
    client relationships;
    
    products and services offered;
    
    premium levels; and
    
    contract terms and conditions.
  
    
    Munich Reinsurance Company;
    
    Swiss Reinsurance Company;
    
    Hannover Re Group;
    
    SCOR;
    
    PartnerRe Group; and
    
    Lloyds syndicates active in the London market.
 Non-life underwriting, pricing/structuring and accumulation control
  33




---



##### Table of Contents



34




---



##### Table of Contents



Non-life claims management
  . .
    35




---



##### Table of Contents



Life operations underwriting and claims
       Catastrophe risk management and protection
     36




---



##### Table of Contents




    
    Measuring, monitoring and managing natural hazard exposures:For measuring natural hazard
exposures, we use specially developed software and techniques. For example, we use third-party
models developed by specialized consultants to assist with catastrophe underwriting and
accumulation control. We also compare models for certain perils or regions where our models
indicate higher variability. In addition, we have developed fully proprietary
probability-based monitoring tools to enhance the utility of our models.Our central monitoring system models loss potentials for storm and earthquake scenarios to help
us measure our accumulation of risk by type of peril and geographic region. We continuously
perform accumulation analyses during renewal season. We believe that this centralized review
helps us monitor and manage our natural catastrophe loss potential and to take remedial action if
there is a risk that our accumulations will reach levels that are not acceptable under our
guidelines. In addition, our monitoring system serves as the basis for structuring our own
reinsurance protection.
    
    Assisting with optimal capacity utilization:We use return on risk
based capital considerations to help us to optimize expected profits
from our catastrophe portfolio and to seek to improve its performance.
We do this by dynamically adjusting capacity allocation during renewal
periods as business is written, thereby optimizing our worldwide
capacity and exploiting our diversification potential. We also review
pricing levels in several markets prior to renewal, in order to
incorporate this information in our business strategy.
    
    Supporting clients in all elements of natural hazards risk management:
The expertise developed by our catastrophe risk specialists in
understanding and managing catastrophe risk allows us to assist our
clients in assessing their own loss potential and in designing
efficient risk transfer mechanisms. Further, we utilize our expertise
to influence property catastrophe exposure reporting in the industry.
We believe that the use of data standards will improve data quality,
enable more accurate risk assessment and reduce costs.
    
    Following post-disaster loss developments:Our catastrophe risk
specialists produce estimates of our expected losses promptly after a
catastrophe event. This rapid review helps us assess our liquidity
needs and determine whether we need to take any remedial action.
     37




---



##### Table of Contents



Retrocessional reinsurance
   
    
    specific coverage for certain property, engineering, aviation, motor and liability exposures;
    
    catastrophe coverage for property business;
    
    property clash coverage for potential accumulation of liability from treaties and facultative agreements covering losses
arising from the same event or occurrence; and
 38




---



##### Table of Contents



Underwriting reservesand future life benefits
    
    
    
    
    
    S & P/A.M.Retrocessionaire
    
    Retrocessionaire Group
    
    (USD million)
    
    % of total
    
    Best RatingLloyds Syndicates
    
    Lloyds
    
    
    85.8
    
    
    
    13.3
    
    
    A/AICM Re S.A.
    
    ICM Re
    
    
    37.9
    
    
    
    5.8
    
    
    NRAIOI Insurance Co. Ltd
    
    AIOI Insurance Co. Ltd
    
    
    34.7
    
    
    
    5.4
    
    
    A+/ATransamerica Reinsurance
    
    AEGON Group
    
    
    33.6
    
    
    
    5.2
    
    
    AA/A+QBE
    
    QBE Insurance Group
    
    
    31.8
    
    
    
    4.9
    
    
    A+/AZurich Financial Services
    
    Zurich Financial Services
    
    
    27.3
    
    
    
    4.2
    
    
    A+/ASompo
    
    Sompo Japan Insurance Group
    
    
    18.5
    
    
    
    2.9
    
    
    AA-/A+AXA Re
    
    AXA Group
    
    
    17.5
    
    
    
    2.7
    
    
    AA-/AHannover Rückversicherung
    
    Hannover Re
    
    
    11.4
    
    
    
    1.8
    
    
    AA-/ARGA
    
    RGA Reinsurance Group
    
    
    10.8
    
    
    
    1.7
    
    
    AA-/A+Total underwriting
reserves and future life
benefits of top ten
retrocessionaires
    
    
    
    
    309.3
    
    
    
    49.3All other retrocessionaires
    
    
    
    
    337.9
    
    
    
    50.7Total underwriting
reserves and future life
benefits
    
    
    
    
    647.2
    
    
    
    100.0
   39




---



##### Table of Contents



Loss and loss expense reserves
 Establishment of loss and loss expense reserves
        40




---



##### Table of Contents



Core reserving methodology
 Expected loss/expected loss ratio
     
    
    underlying risk (e.g. line of business), geographic region or treaty type (i.e. proportional or non-proportional); and
    
    the time period at which losses are expected to be paid and reported (i.e. expected paid loss development factors and
expected reported development factors).
  
    
    statistics developed by pricing actuaries, or
    
    actual paid loss and reported loss (of the reinsurance contracts assigned to a given REC) aggregated into
underwriting year triangles.
   
    
    Expected Loss Method (normally derived from pricing as described above);
    
    Paid Loss Bornhuetter Ferguson Method;
    
    Incurred Loss Bornhuetter Ferguson Method;
    
    Paid Loss Development Method;
    
    Incurred Loss Development Method.
 41




---



##### Table of Contents




    
    select a different actuarial method (i.e. to be more responsive to actual loss experience);
    
    revise the expected loss (see expected loss / expected loss ratio above);
    
    revise the expected paid loss and / or expected reporting loss patterns.
    Adequacy of reserves
   Development of prior years reserves
  42




---



##### Table of Contents



Effects of currency fluctuations
  Loss reserve development
    43




---



##### Table of Contents



As of December 31,(USD millions, except percentages)
    
    1996
    
    1997
    
    1998
    
    1999
    
    2000
    
    2001
    
    2002
    
    2003
    
    2004
    
    2005
    
    2006Gross reserves for losses and loss expenses
    
    
    2,245.3
    
    
    
    2,636.4
    
    
    
    2,987.6
    
    
    
    3,482.3
    
    
    
    4,504.1
    
    
    
    5,642.3
    
    
    
    6,876.9
    
    
    
    7,879.7
    
    
    
    8,908.3
    
    
    
    7,568.9
    
    
    
    6,348.6Reinsurance recoverable
    
    
    106.9
    
    
    
    290.1
    
    
    
    457.3
    
    
    
    640.9
    
    
    
    892.3
    
    
    
    1,099.2
    
    
    
    1,085.7
    
    
    
    1,041.3
    
    
    
    914.5
    
    
    
    761.0
    
    
    
    604.9Initial net reserves for losses and loss expenses
    
    
    2,138.4
    
    
    
    2,346.3
    
    
    
    2,530.3
    
    
    
    2,841.4
    
    
    
    3,611.8
    
    
    
    4,543.1
    
    
    
    5,791.2
    
    
    
    6,838.4
    
    
    
    7,993.8
    
    
    
    6,807.9
    
    
    
    5,743.7Cumulative paid as of:One year later
    
    
    466.0
    
    
    
    514.5
    
    
    
    610.0
    
    
    
    850.6
    
    
    
    890.6
    
    
    
    1,171.0
    
    
    
    1,504.4
    
    
    
    1,938.9
    
    
    
    1,995.3
    
    
    
    2,303.7Two years later
    
    
    721.2
    
    
    
    843.0
    
    
    
    968.8
    
    
    
    1,339.2
    
    
    
    1,575.8
    
    
    
    2,119.4
    
    
    
    2,760.8
    
    
    
    3,321.3
    
    
    
    3,885.0Three years later
    
    
    921.7
    
    
    
    1,064.4
    
    
    
    1,250.7
    
    
    
    1,670.1
    
    
    
    2,180.9
    
    
    
    3,027.2
    
    
    
    3,755.0
    
    
    
    4,835.8Four years later
    
    
    1,062.2
    
    
    
    1,261.7
    
    
    
    1,438.6
    
    
    
    2,029.2
    
    
    
    2,749.6
    
    
    
    3,726.4
    
    
    
    4,974.5Five years later
    
    
    1,178.3
    
    
    
    1,336.5
    
    
    
    1,622.3
    
    
    
    2,312.8
    
    
    
    3,210.1
    
    
    
    4,719.3Six years later
    
    
    1,197.5
    
    
    
    1,436.7
    
    
    
    1,772.9
    
    
    
    2,594.4
    
    
    
    3,956.1Seven years later
    
    
    1,249.3
    
    
    
    1,545.8
    
    
    
    1,930.5
    
    
    
    3,085.5Eight years later
    
    
    1,319.4
    
    
    
    1,638.1
    
    
    
    2,243.1Nine years later
    
    
    1,374.0
    
    
    
    1,836.1Ten years later
    
    
    1,434.2Net reserves re-estimated as of:One year later
    
    
    1,901.5
    
    
    
    2,145.6
    
    
    
    2,292.6
    
    
    
    2,915.7
    
    
    
    3,727.5
    
    
    
    4,722.5
    
    
    
    5,995.3
    
    
    
    7,432.3
    
    
    
    7,407.9
    
    
    
    7,071.9Two years later
    
    
    1,853.5
    
    
    
    2,051.3
    
    
    
    2,276.7
    
    
    
    3,039.3
    
    
    
    3,932.6
    
    
    
    4,951.0
    
    
    
    6,490.6
    
    
    
    7,054.2
    
    
    
    7,453.6Three years later
    
    
    1,736.4
    
    
    
    1,970.4
    
    
    
    2,303.4
    
    
    
    3,039.2
    
    
    
    4,200.1
    
    
    
    5,441.2
    
    
    
    6,270.1
    
    
    
    7,067.3Four years later
    
    
    1,677.3
    
    
    
    1,989.1
    
    
    
    2,337.8
    
    
    
    3,189.2
    
    
    
    4,576.2
    
    
    
    5,323.5
    
    
    
    6,364.2Five years later
    
    
    1,661.2
    
    
    
    1,990.7
    
    
    
    2,414.7
    
    
    
    3,400.6
    
    
    
    4,519.8
    
    
    
    5,411.6Six years later
    
    
    1,645.9
    
    
    
    2,013.0
    
    
    
    2,504.1
    
    
    
    3,385.9
    
    
    
    4,552.1Seven years later
    
    
    1,649.3
    
    
    
    2,069.5
    
    
    
    2,493.1
    
    
    
    3,400.9Eight years later
    
    
    1,684.6
    
    
    
    2,049.1
    
    
    
    2,504.8Nine years later
    
    
    1,666.6
    
    
    
    2,052.0Ten years later
    
    
    1,674.4Reinsurance recoverable re-estimated as of December 31, 2006
    
    
    335.6
    
    
    
    421.5
    
    
    
    696.0
    
    
    
    1,220.4
    
    
    
    1,225.3
    
    
    
    1,131.8
    
    
    
    1,035.3
    
    
    
    840.7
    
    
    
    920.2
    
    
    
    876.3Gross reserves re-estimated as of December 31, 2006
    
    
    2,010.0
    
    
    
    2,473.5
    
    
    
    3,200.8
    
    
    
    4,621.3
    
    
    
    5,777.4
    
    
    
    6,543.4
    
    
    
    7,399.5
    
    
    
    7,908.0
    
    
    
    8,373.8
    
    
    
    7,948.2Cumulative net redundancy/(deficiency)
    
    
    464.0
    
    
    
    294.3
    
    
    
    25.5
    
    
    
    -559.5
    
    
    
    -940.3
    
    
    
    -868.5
    
    
    
    -573.0
    
    
    
    -228.9
    
    
    
    540.2
    
    
    
    -264.0Cumulative redundancy/(deficiency) as a percentage of initial net reserves
    
    
    21.7
    %
    
    
    12.5
    %
    
    
    1.0
    %
    
    
    -19.7
    %
    
    
    -26.0
    %
    
    
    -19.1
    %
    
    
    -9.9
    %
    
    
    -3.3
    %
    
    
    6.8
    %
    
    
    -3.9
    %Cumulative gross redundancy/(deficiency)
    
    
    235.3
    
    
    
    162.9
    
    
    
    -213.2
    
    
    
    -1,139.0
    
    
    
    -1,273.3
    
    
    
    -901.1
    
    
    
    -522.6
    
    
    
    -28.3
    
    
    
    534.5
    
    
    
    -379.3Cumulative redundancy/(deficiency) as a percentage of initial gross reserves
    
    
    10.5
    %
    
    
    6.2
    %
    
    
    -7.1
    %
    
    
    -32.7
    %
    
    
    -28.3
    %
    
    
    -16.0
    %
    
    
    -7.6
    %
    
    
    -0.4
    %
    
    
    6.0
    %
    
    
    -5.0
    %
   .
  As of December 31,(USD millions, except percentages)
    
    1996
    
    1997
    
    1998
    
    1999
    
    2000
    
    2001
    
    2002
    
    2003
    
    2004
    
    2005
    
    2006Initial net reserves for losses and loss expenses
    
    
    2,138.4
    
    
    
    2,346.3
    
    
    
    2,530.3
    
    
    
    2,841.4
    
    
    
    3,611.8
    
    
    
    4,543.1
    
    
    
    5,791.2
    
    
    
    6,838.4
    
    
    
    7,993.8
    
    
    
    6,807.9
    
    
    
    5743.7Net reserves re-estimated as of:One year later
    
    
    2,004.9
    
    
    
    2,108.6
    
    
    
    2,394.7
    
    
    
    3,008.1
    
    
    
    3,779.5
    
    
    
    4,698.3
    
    
    
    5,735.4
    
    
    
    7,185.8
    
    
    
    7,808.4
    
    
    
    6,641.7Two years later
    
    
    1,925.4
    
    
    
    2,078.8
    
    
    
    2,414.4
    
    
    
    3,152.5
    
    
    
    3,935.5
    
    
    
    4,836.4
    
    
    
    6,103.4
    
    
    
    7,079.0
    
    
    
    7,651.2Three years later
    
    
    1,865.4
    
    
    
    2,016.6
    
    
    
    2,465.6
    
    
    
    3,130.1
    
    
    
    4,132.7
    
    
    
    5,211.6
    
    
    
    6,051.5
    
    
    
    7,003.4Four years later
    
    
    1,819.3
    
    
    
    2,035.0
    
    
    
    2,474.0
    
    
    
    3,230.8
    
    
    
    4,442.4
    
    
    
    5,205.1
    
    
    
    6,018.3Five years later
    
    
    1,799.4
    
    
    
    2,023.7
    
    
    
    2,511.6
    
    
    
    3,415.0
    
    
    
    4,455.0
    
    
    
    5,202.9Six years later
    
    
    1,775.9
    
    
    
    2,017.9
    
    
    
    2,588.8
    
    
    
    3,441.4
    
    
    
    4,443.8Seven years later
    
    
    1,755.5
    
    
    
    2,065.5
    
    
    
    2,609.8
    
    
    
    3,427.8Eight years later
    
    
    1,782.5
    
    
    
    2,069.3
    
    
    
    2,600.2Nine years later
    
    
    1,782.0
    
    
    
    2,057.5Ten years later
    
    
    1,774.2Cumulative redundancy/(deficiency)
    
    
    364.2
    
    
    
    288.8
    
    
    
    -69.9
    
    
    
    -586.4
    
    
    
    -832.0
    
    
    
    -659.8
    
    
    
    -227.1
    
    
    
    -165.0
    
    
    
    342.6
    
    
    
    166.2Cumulative redundancy/(deficiency) as a percentage of initial net reserves
    
    
    17.0
    %
    
    
    12.3
    %
    
    
    -2.8
    %
    
    
    -20.6
    %
    
    
    -23.0
    %
    
    
    -14.5
    %
    
    
    -3.9
    %
    
    
    -2.4
    %
    
    
    4.3
    %
    
    
    2.4
    %
 44




---



##### Table of Contents



Reconciliation of beginning and ending loss and loss expense reserves
  2006
    
    2005
    
    2004(USD millions)As of January 1,Gross reserves for losses and loss expenses
    
    
    7,568.9
    
    
    
    8,908.3
    
    
    
    7,879.7Less reinsurance recoverable
    
    
    -761.0
    
    
    
    -914.5
    
    
    
    -1,041.3Less net reserves for losses and loss expenses for discontinued operations
    
    
    -1,309.7
    
    
    
    Net reserves for losses and loss expenses
    
    
    5,498.2
    
    
    
    7,993.8
    
    
    
    6,838.4Losses and loss expenses incurred (1),(2)
Current year
    
    
    1,234.2
    
    
    
    1,922.3
    
    
    
    2,881.9Prior years
    
    
    -145.2
    
    
    
    -186.1
    
    
    
    350.2Total
    
    
    1,089.0
    
    
    
    1,736.2
    
    
    
    3,232.1Losses and loss expenses paid(2)
Current year
    
    
    229.8
    
    
    
    451.0
    
    
    
    541.4Prior years
    
    
    1,016.7
    
    
    
    1,995.3
    
    
    
    1,938.9Total
    
    
    1,246.5
    
    
    
    2,446.3
    
    
    
    2,480.3Foreign currency translation effects
    
    
    403.0
    
    
    
    -475.8
    
    
    
    403.6As of December 31,Net reserves for losses and loss expenses
    
    
    5,743.7
    
    
    
    6,807.9
    
    
    
    7,993.8Reinsurance recoverable
    
    
    604.9
    
    
    
    761.0
    
    
    
    914.5Gross reserves for losses and loss expenses
    
    
    6,348.6
    
    
    
    7,568.9
    
    
    
    8,908.3
 
 (1)
    
    The loss and loss expenses incurred includes USD
114.2 million, USD 178.3 million and USD
128.0 million of loss and loss expenses included in the Life & Health reinsurance segment for the
years ended December 31, 2006, 2005 and 2004, respectively.(2)
    
    Figures for 2005 and 2004 are as originally reported. Loss and loss expenses incurred and loss
and loss expenses paid from discontinued operations were USD 55.8 million and USD 924.1 million and
USD 948.1 million and USD 1,066.3 million for 2005 and 2004, respectively.     Reserves for asbestos and environmental losses
  45




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Investments
       46




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##### Table of Contents



For the year ended December 31,2006
    
    2005
    
    2004USD
    
    % of
    
    USD
    
    % of
    
    USD
    
    % ofmillions
    
    total
    
    millions
    
    total
    
    millions
    
    totalFixed maturities securities
    
    
    3,840.8
    
    
    
    60.0
    
    
    
    4,963.4
    
    
    
    68.1
    
    
    
    5,685.2
    
    
    
    67.1Equity securities
    
    
    734.7
    
    
    
    11.5
    
    
    
    362.6
    
    
    
    5.0
    
    
    
    399.4
    
    
    
    4.7Funds Withheld Asset
    
    
    940.7
    
    
    
    14.7
    
    
    
    1,020.1
    
    
    
    14.0
    
    
    
    1,305.1
    
    
    
    15.4Short-term investments
    
    
    44.9
    
    
    
    0.7
    
    
    
    253.1
    
    
    
    3.5
    
    
    
    117.3
    
    
    
    1.4Other investments
    
    
    204.2
    
    
    
    3.2
    
    
    
    35.1
    
    
    
    0.5
    
    
    
    279.2
    
    
    
    3.3Total investments
    
    
    5,765.3
    
    
    
    90.1
    
    
    
    6,634.3
    
    
    
    91.1
    
    
    
    7,786.2
    
    
    
    91.9Cash and
cash equivalents
    
    
    633.1
    
    
    
    9.9
    
    
    
    647.3
    
    
    
    8.9
    
    
    
    680.9
    
    
    
    8.1Total
investments and cash and cash equivalents
    
    
    6,398.4
    
    
    
    100.0
    
    
    
    7,281.6
    
    
    
    100.0
    
    
    
    8,467.1
    
    
    
    100.0
  Fixed maturities
    (USD millions, except percentages)
    
    Estimated fair value
    
    % of total
    
    Carrying value
    
    % of totalAs of December 31, 2006
    
    Available-for-sale (AFS)
    
    AFS
    
    Held-to-maturity (HTM)
    
    HTMLess than one year
    
    
    249.9
    
    
    
    8.0
    
    
    
    
    
    
    
    One year through five years
    
    
    1,931.6
    
    
    
    61.8
    
    
    
    599.4
    
    
    
    83.4Five years through ten years
    
    
    689.6
    
    
    
    22.1
    
    
    
    118.9
    
    
    
    16.6Over ten years
    
    
    53.1
    
    
    
    1.7
    
    
    
    
    
    
    
    Subtotal
    
    
    2,924.2
    
    
    
    93.6
    
    
    
    718.3
    
    
    
    100.0Mortgage and asset-backed securities
    
    
    6.2
    
    
    
    0.2
    
    
    
    
    
    
    
    Unit trust bonds
    
    
    192.1
    
    
    
    6.2
    
    
    
    
    
    
    
    Total as of December 31, 2006
    
    
    3,122.5
    
    
    
    100.0
    
    
    
    718.3
    
    
    
    100.0
   (USD millions, except percentages)
    
    Estimated fair value
    
    % of total
    
    Carrying value
    
    % of totalAs of December 31, 2006
    
    Available-for-sale (AFS)
    
    AFS
    
    Held-to-maturity (HTM)
    
    HTMAAA/Aaa
    
    
    2,508.6
    
    
    
    80.4
    
    
    
    691.9
    
    
    
    96.3AA/Aa2
    
    
    100.3
    
    
    
    3.2
    
    
    
    7.8
    
    
    
    1.1
 47




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(USD millions, except percentages)
    
    Estimated fair value
    
    % of total
    
    Carrying value
    
    % of totalAs of December 31, 2006
    
    Available-for-sale (AFS)
    
    AFS
    
    Held-to-maturity (HTM)
    
    HTMA/A2
    
    
    313.5
    
    
    
    10.0
    
    
    
    18.6
    
    
    
    2.6BBB/Baa2
    
    
    94.1
    
    
    
    3.0
    
    
    
    
    
    
    
    BB
    
    
    11.5
    
    
    
    0.4
    
    
    
    
    
    
    
    B
    
    
    9.2
    
    
    
    0.3
    
    
    
    
    
    
    
    Not rated (1)
    
    
    85.3
    
    
    
    2.7
    
    
    
    
    
    
    
    Total as of December 31, 2006
    
    
    3,122.5
    
    
    
    100.0
    
    
    
    718.3
    
    
    
    100.0
 
 (1)
    
    Includes USD 77.1 million private collateralized loans issued by German banks with a credit
rating equivalent to S&P AAA Equity securities
      Funds Withheld Asset
    Short-term investments
 48




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##### Table of Contents



Real estate
  Other investments
  Premiums receivable
  Reinsurance assets
   Capital expenditures
  Ratings
 49




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##### Table of Contents



Regulation
 General
    Switzerland
   50




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##### Table of Contents



United States
 US reinsurance regulation of our non-US reinsurance subsidiaries
  Terrorism legislation
   51




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##### Table of Contents



Legislative and regulatory proposals
    European Union directives
   Germany
   52




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##### Table of Contents




    
    implementation of the principle of supervision in the member state of the companys head office;
 
    
    approval of the European stock corporation as a form of enterprise;
 
    
    additional supervision of reinsurers within an insurance group;
 
    
    introduction of regulations for finance reinsurance;
 
    
    supervision of special purpose vehicles; and
 
    
    introduction of the supervision of branches belonging to reinsurance companies in countries outside the EU-member countries.
  German Branch Office
  Asia
 Restrictions imposed by the Monetary Authority of Singapore
   C. ORGANIZATIONAL STRUCTURE
  53




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D. PROPERTY, PLANTS AND EQUIPMENT
   54




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##### Table of Contents



4A. UNRESOLVED STAFF COMMENTS
  
 ITEM 5. OPERATING AND FINANCIAL REVIEW AND PROSPECTS
 A. OPERATING RESULTS
 The following discussion and analysis should be read in conjunction with our 2006 consolidated
financial statements, including the related notes to those financial statements. This discussion
contains forward-looking statements that involve risks and uncertainties and actual results may
differ materially from the results described or implied by these forward-looking statements. See
Cautionary note regarding forward-looking statements.
 Overview
       
    
    premiums from our non-life and life reinsurance and insurance businesses;
    
    investment income and investment gains from our portfolio of invested assets, net of investment expenses; and
    
    interest on premium and loss deposits withheld by our clients.
  55




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##### Table of Contents




    
    losses and loss expenses, which include:
 
    
    non-life reinsurance and insurance losses and loss expenses;
    
    death and other life reinsurance benefits;
 
    
    operating and administration costs, which include:
 
    
    treaty and individual risk acquisition costs, commonly referred to as commissions;
    
    overhead costs, predominantly consisting of salaries and related costs;
 
    
    interest expenses; and
    
    income taxes.
  
    
    the quality of our underwriting and pricing;
    
    the level of incurred losses and commissions;
    
    the timing of loss and benefit payments;
    
    our ability to earn appropriate yields on our investment portfolio;
    
    our ability to manage operating and administration costs; and
    
    our ability to efficiently and effectively manage risk, including retrocessions.
  Critical accounting policies
  Non-life loss and loss expense reserves
  56




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Total gross non-life lossCase reserves
    
    IBNR
    
    reservesStandard Property & Casualty
    
    
    1,423.6
    
    
    
    1,141.9
    
    
    
    2,565.5Specialty Lines
    
    
    1,940.3
    
    
    
    1,558.0
    
    
    
    3,498.3Life & Health Reinsurance
    
    
    79.5
    
    
    
    205.3
    
    
    
    284.8Total
    
    
    3,443.4
    
    
    
    2,905.2
    
    
    
    6,348.6
       Favorable development ofprior years net lossNet loss reserves
    
    expenses incurred during
    
    Development on priorbeginning of year
    
    the year
    
    years' loss reserves (%)2004
    
    
    4,614.7
    
    
    
    101.5
    
    
    
    2.22005
    
    
    5,817.7
    
    
    
    111.2
    
    
    
    1.92006
    
    
    5,498.2
    
    
    
    145.2
    
    
    
    2.6
 57




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Premiums
  58




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##### Table of Contents



Deposit accounting
 Accounting and Reporting for Reinsurance of Short-Duration and
Long-Duration Contracts
  59




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##### Table of Contents



Deposit Accounting: Accounting
for Insurance and Reinsurance Contracts That Do Not Transfer Insurance Risk
  Reinsurance recoverables
   Foreign currency translation
  Invested assets
   Other- than- temporary impairment
 60




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##### Table of Contents



Income taxes
  Accounting for Income TaxesSpecial Areas,
 Accounting for Contingencies"
 Goodwill and other intangible assets
   61




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Investment results
    Net Investment Income and Net Realized and Unrealized Capital Gains (Losses)Year Ended December 31,2006
    
    2005
    
    2004Net
    
    
    
    
    
    Realized
    
    Net
    
    
    
    
    
    Realized
    
    Net
    
    
    
    
    
    Realizedinvestment
    
    Pre-tax
    
    gains
    
    investment
    
    Pre-tax
    
    gains
    
    investment
    
    Pre-tax
    
    gains(USD millions, except yields)
    
    income
    
    yield (%)
    
    (losses)
    
    income
    
    yield (%)
    
    (losses)
    
    income
    
    yield (%)
    
    (losses)Fixed maturity securities
    
    
    152.5
    
    
    
    4.0
    %
    
    
    -18.6
    
    
    
    153.8
    
    
    
    4.0
    %
    
    
    -4.8
    
    
    
    112.9
    
    
    
    3.4
    %
    
    
    1.9Equity securities
    
    
    5.6
    
    
    
    1.1
    %
    
    
    23.5
    
    
    
    5.8
    
    
    
    1.8
    %
    
    
    40.0
    
    
    
    13.2
    
    
    
    2.9
    %
    
    
    34.9Funds Withheld Asset
    
    
    52.1
    
    
    
    5.2
    %
    
    
    
    
    
    
    62.6
    
    
    
    5.3
    %
    
    
    
    
    
    
    75.1
    
    
    
    5.4
    %Short-term and other
investments
    
    
    60.5
    
    
    
    7.1
    %
    
    
    14.0
    
    
    
    44.7
    
    
    
    5.4
    %
    
    
    -3.9
    
    
    
    36.8
    
    
    
    5.9
    %
    
    
    -5.6Less investment expenses
    
    
    -10.3
    
    
    
    
    
    
    
    
    
    
    
    -9.1
    
    
    
    
    
    
    
    
    
    
    
    -10.5Total
    
    
    260.4
    
    
    
    4.2
    %
    
    
    
    
    
    
    257.8
    
    
    
    4.2
    %
    
    
    
    
    
    
    227.5
    
    
    
    3.9
    %Net realized capital gains
(losses)
    
    
    18.9
    
    
    
    
    
    
    
    
    
    
    
    31.3
    
    
    
    
    
    
    
    
    
    
    
    31.2Net investment income and net
realized capital gains
(losses)
    
    
    279.3
    
    
    
    4.5
    %
    
    
    
    
    
    
    289.1
    
    
    
    4.7
    %
    
    
    
    
    
    
    258.7
    
    
    
    4.5
    %Change in net unrealized
gains (losses)
    
    
    25.1
    
    
    
    
    
    
    
    
    
    
    
    -15.2
    
    
    
    
    
    
    
    
    
    
    
    8.0Total investment return
    
    
    304.4
    
    
    
    5.0
    %
    
    
    
    
    
    
    273.9
    
    
    
    4.5
    %
    
    
    
    
    
    
    266.7
    
    
    
    4.6
    %
 
 (1)
    
    In line with the income statement presentation for discontinued operations, yields have
been calculated by excluding the North American operations invested assets from the
average total invested assets sums for 2005 and 2004  62




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Restructuring costs
  Income tax
       Regulatory and legislative environment
 63




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Results of operations
  For the year ended December 31,2006
    
    2005
    
    2004(USD millions)Revenues:Gross premiums written
    
    
    1,980.9
    
    
    
    1,955.0
    
    
    
    3,492.2Net premiums written
    
    
    1,852.0
    
    
    
    1,783.1
    
    
    
    3,255.9Net premiums earned
    
    
    1,811.7
    
    
    
    2,254.8
    
    
    
    3,098.5Net investment income
    
    
    260.4
    
    
    
    257.8
    
    
    
    227.5Net realized capital gains (losses)
    
    
    18.9
    
    
    
    31.3
    
    
    
    31.2Total revenues
    
    
    2,091.0
    
    
    
    2,543.9
    
    
    
    3,357.2Benefits, losses and expenses:Losses, loss expenses and life benefits
    
    
    -1,187.8
    
    
    
    -1,720.1
    
    
    
    -2,395.0Acquisition costs
    
    
    -482.1
    
    
    
    -537.4
    
    
    
    -753.9Other operating and administration expenses
    
    
    -148.6
    
    
    
    -163.5
    
    
    
    -153.8Other loss
    
    
    -0.5
    
    
    
    -21.9
    
    
    
    -4.7Interest expense
    
    
    -16.7
    
    
    
    -17.2
    
    
    
    -18.7Amortization of other intangible assets
    
    
    
    
    
    
    -21.5
    
    
    
    -9.9Restructuring costs
    
    
    0.2
    
    
    
    -12.1
    
    
    
    -0.2Total benefits, losses and expenses
    
    
    -1,835.5
    
    
    
    -2,493.7
    
    
    
    -3,336.2Income from continuing operations before taxes
    
    
    255.5
    
    
    
    50.2
    
    
    
    21.0Income tax (expense) benefit
    
    
    -40.5
    
    
    
    -16.1
    
    
    
    4.6Income from continuing operations
    
    
    215.0
    
    
    
    34.1
    
    
    
    25.6(Loss) income from discontinued operations, net of tax
    
    
    -157.9
    
    
    
    34.6
    
    
    
    -608.1Net income (loss)
    
    
    57.1
    
    
    
    68.7
    
    
    
    -582.5
      64




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For the year ended December 31,2006
    
    2005
    
    2004(USD millions)Pre-tax operating income continuing operations
    
    
    236.4
    
    
    
    52.5
    
    
    
    -0.1Net realized capital gains
    
    
    18.9
    
    
    
    31.3
    
    
    
    31.2Amortization of other intangible assets
    
    
    
    
    
    
    -21.5
    
    
    
    -9.9Restructuring costs
    
    
    0.2
    
    
    
    -12.1
    
    
    
    -0.2Income from continuing operations before taxes
    
    
    255.5
    
    
    
    50.2
    
    
    
    21.0Income from continuing operations
    
    
    215.0
    
    
    
    34.1
    
    
    
    25.6(Loss) income from discontinued operations
    
    
    -157.9
    
    
    
    34.6
    
    
    
    -608.1Net income (loss)
    
    
    57.1
    
    
    
    68.7
    
    
    
    -582.5
 Year ended December 31, 2006 compared with year ended December 31, 2005
 Converium consolidated net income
  Converium consolidated income from continuing operations
    Converium consolidated (loss) income from discontinued operations
  65




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Converium consolidated premiums
   Converium consolidated net investment income and net realized capital gains (losses)
     Converium consolidated losses, loss expenses and life benefits
  66




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Development of prior years loss reserves:
  Impact of property catastrophe losses:
  (USD millions)Winter Storm Erwin
    
    
    32.5Continental European Floods
    
    
    24.8Hurricane Katrina
    
    
    33.2Hurricane Rita
    
    
    14.1Hurricane Wilma
    
    
    44.6Total
    
    
    149.2
  Guaranteed Minimum Death Benefit (GMDB) business
 September 11th terrorist attacks
 Asbestos and environmental exposures:
 Converium consolidated acquisition costs
 67




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Converium consolidated operating and administration expenses
  Converium consolidated other loss
  Converium consolidated interest expense, amortization of intangible assets and restructuring costs
 Interest expense
 Amortization of intangible assets:
 Restructuring costs:
 Converium consolidated income tax expense
   Converium consolidated combined ratios
 68




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##### Table of Contents



Year ended December 31, 2005 compared with year ended December 31, 2004
 Converium consolidated net income (loss)
  Converium consolidated income from continuing operations
    Converium consolidated income (loss) from discontinued operations
  Converium consolidated premiums
    Converium consolidated net investment income and net realized capital gains (losses)
  69




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Converium consolidated losses, loss expenses and life benefits
  Development of prior years loss reserves:
  Impact of property catastrophe losses:
 (USD millions)Winter Storm Erwin
    
    
    32.5Continental European Floods
    
    
    24.8Hurricane Katrina
    
    
    33.2Hurricane Rita
    
    
    14.1Hurricane Wilma
    
    
    44.6Total
    
    
    149.2
 70




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##### Table of Contents



Guaranteed Minimum Death Benefit (GMDB) business
 September 11th terrorist attacks
 Asbestos and environmental exposures:
 Converium consolidated acquisition costs
  Converium consolidated operating and administration expenses
  Converium consolidated other loss
  71




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##### Table of Contents



Converium consolidated interest expense, goodwill and other intangible assets and restructuring
costs
 Interest expense
 Amortization of intangible assets:
 Restructuring costs:
 Converium consolidated income tax (expense) benefit
  Converium consolidated combined ratios
  Results of Operations by Operating Segment
  Year ended December 31,2006
    
    2005
    
    2004(USD millions)Segment income (loss):Standard Property & Casualty Reinsurance
    
    
    204.6
    
    
    
    45.9
    
    
    
    88.3Specialty Lines
    
    
    98.9
    
    
    
    108.9
    
    
    
    -13.4Life & Health Reinsurance
    
    
    23.5
    
    
    
    17.6
    
    
    
    16.4Corporate Center
    
    
    -54.5
    
    
    
    -49.5
    
    
    
    -36.8Total segment income (loss)
    
    
    272.5
    
    
    
    122.9
    
    
    
    54.5Other loss
    
    
    -0.5
    
    
    
    -21.9
    
    
    
    -4.7Interest expense
    
    
    -16.7
    
    
    
    -17.2
    
    
    
    -18.7Amortization of other intangible assets
    
    
    
    
    
    
    -21.5
    
    
    
    -9.9Restructuring costs
    
    
    0.2
    
    
    
    -12.1
    
    
    
    -0.2Income (loss) from continuing operations before taxes
    
    
    255.5
    
    
    
    50.2
    
    
    
    21.0Income tax (expense) benefit
    
    
    -40.5
    
    
    
    -16.1
    
    
    
    4.6Income (loss) from continuing operations
    
    
    215.0
    
    
    
    34.1
    
    
    
    25.6(Loss) income from discontinuing operations, net of tax
    
    
    -157.9
    
    
    
    34.6
    
    
    
    -608.1Net income (loss)
    
    
    57.1
    
    
    
    68.7
    
    
    
    -582.5
 72




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##### Table of Contents



Non-life
  Year ended December 31,2006
    
    2005
    
    2004(USD millions, except ratios)Revenues:Gross premiums written
    
    
    1,667.6
    
    
    
    1,636.2
    
    
    
    3,164.3Net premiums written
    
    
    1,546.3
    
    
    
    1,476.7
    
    
    
    2,942.7Net premiums earned
    
    
    1,499.3
    
    
    
    1,940.0
    
    
    
    2,779.8Net investment income and net realized capital gains
    
    
    250.1
    
    
    
    260.4
    
    
    
    239.5Total revenues
    
    
    1,749.4
    
    
    
    2,200.4
    
    
    
    3,019.3Losses and expenses:Losses and loss expenses
    
    
    -975.4
    
    
    
    -1,502.1
    
    
    
    -2,157.7Acquisition costs
    
    
    -388.0
    
    
    
    -445.1
    
    
    
    -681.4Other operating and administration expenses
    
    
    -82.5
    
    
    
    -98.4
    
    
    
    -105.3Total losses and expenses
    
    
    -1,445.9
    
    
    
    -2,045.6
    
    
    
    -2,944.4Segment income
    
    
    303.5
    
    
    
    154.8
    
    
    
    74.9Ratios (%):Non-life loss ratio
    
    
    65.1
    
    
    
    77.4
    
    
    
    77.6Non-life acquisition costs ratio
    
    
    25.9
    
    
    
    22.9
    
    
    
    24.5Non-life administration expense ratio
    
    
    5.3
    
    
    
    6.7
    
    
    
    3.6Non-life combined ratio
    
    
    96.3
    
    
    
    107.0
    
    
    
    105.7
 Standard Property & Casualty Reinsurance
  Year ended December 31,2006
    
    2005
    
    2004(USD millions, except ratios)Revenues:Gross premiums written
    
    
    890.6
    
    
    
    803.1
    
    
    
    1,509.0Net premiums written
    
    
    816.9
    
    
    
    739.0
    
    
    
    1,377.4Net premiums earned
    
    
    775.6
    
    
    
    880.8
    
    
    
    1,392.2Net investment income and net realized capital gains (losses)
    
    
    109.6
    
    
    
    119.9
    
    
    
    104.4Total revenues
    
    
    885.2
    
    
    
    1,000.7
    
    
    
    1,496.6Losses and expenses:Losses and loss expenses
    
    
    -441.1
    
    
    
    -729.6
    
    
    
    -1,003.0Acquisition costs
    
    
    -195.6
    
    
    
    -181.3
    
    
    
    -353.3Other operating and administration expenses
    
    
    -43.9
    
    
    
    -43.9
    
    
    
    -52.0Total losses and expenses
    
    
    -680.6
    
    
    
    -954.8
    
    
    
    -1,408.3Segment income
    
    
    204.6
    
    
    
    45.9
    
    
    
    88.3Ratios (%):Loss ratio
    
    
    56.9
    
    
    
    82.8
    
    
    
    72.0Acquisition costs ratio
    
    
    25.2
    
    
    
    20.6
    
    
    
    25.4Administration expense ratio
    
    
    5.4
    
    
    
    5.9
    
    
    
    3.8Combined ratio
    
    
    87.5
    
    
    
    109.3
    
    
    
    101.2
 Year ended December 31, 2006 compared with year ended December 31, 2005
 Standard Property & Casualty Reinsurance segment income
  73




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##### Table of Contents




    
    The recognition of net favorable impact of prior accident years on the technical result of
USD 38.6 million in 2006, resulting from net positive development of prior years loss
reserves of USD 54.1 million, offset by reductions in premiums and other expenses of USD 15.5
million.The net favorable development of prior years loss reserves of USD 54.1 million in 2006 was
primarily related to the Property and General Third Party Liability lines of business of USD
45.1 million and USD 24.6 million, respectively, partially offset by net adverse development
of prior years loss reserves within the Motor line of business of USD 16.5 million.
    
    A strong underwriting result within the property catastrophe and
non-catastrophe book of business due to the absence of any major
catastrophe losses in 2006.
    
    In 2005, segment income was impacted by a number of large natural
catastrophes. The Standard Property & Casualty segment experienced
a total net impact of USD 78.4 million in losses from hurricanes
in the United States (Hurricane Katrina: USD 25.6 million,
Hurricane Rita: USD 11.2 million and Hurricane Wilma: USD 41.6
million).In addition, in 2005, the continental European floods in Switzerland, Germany, Austria and
Romania and Winter Storm Erwin resulted in net pre-tax losses of USD 24.8 million and USD 32.5
million, respectively. The overall pre-tax effect from the natural catastrophes mentioned
above was USD 135.7 million.
    
    In 2005, offsetting these catastrophes, we recorded a net favorable impact of prior
accident years on the technical result of USD 19.7 million, resulting from net favorable
development of prior accident years loss reserves of USD 30.7 million offset by reductions in
premiums and other expenses of USD 11.0 million.The net favorable development of prior years loss reserves of USD 30.7 million was primarily
related to the Property line of business of USD 73.3 million, partially offset by net adverse
development of prior years loss reserves within the Motor and General Third Party Liability
lines of business of USD 25.0 million and USD 23.4 million, respectively.
 Standard Property & Casualty Reinsurance premiums
   
    
    Property increased by 10.5% or USD 41.1 million to USD 431.7 million, primarily due to increased business; and
    
    General Third Party Liability increased by 56.6% or USD 83.0 million to USD 229.7 million, reflecting additional
Lloyds business as well as revisions of premium estimates in 2005.
  Standard Property & Casualty Reinsurance net investment income and net realized apital gains
(losses)
  Standard Property & Casualty Reinsurance losses and loss expenses
 74




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Standard Property & Casualty Reinsurance acquisition costs
  Standard Property & Casualty Reinsurance operating and administration expenses
  Standard Property & Casualty Reinsurance combined ratios
  Year ended December 31, 2005 compared with year ended December 31, 2004
 Standard Property & Casualty Reinsurance segment income
  
    
    The effect of large natural catastrophes that occurred in 2005 impacted the Standard &
Property & Casualty Reinsurance segment. The segment experienced a total net impact of USD
78.4 million in losses from hurricanes in the United States (Hurricane Katrina: USD 25.6
million, Hurricane Rita: USD 11.2 million and Hurricane Wilma: USD 41.6 million).In addition, in 2005, the Continental European floods in Switzerland, Germany, Austria and
Romania and Winter Storm Erwin resulted in net pre-tax losses of USD 24.8 million and USD 32.5
million, respectively. The overall pre-tax effect from the
 75




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##### Table of Contents



natural catastrophes mentioned above was USD 135.7 million. In 2004, pre-tax results within
the Standard Property & Casualty segment were impacted by USD 55.3 million related to natural
catastrophes.
    
    Slightly offsetting the aforementioned items was the recognition of a net favorable impact
of prior accident years on the technical result in the amount of USD 19.7 million, resulting
from net favorable development of prior accident years loss reserves of USD 30.7 million,
offset by reductions in premium, related losses and acquisition costs of net USD 11.0 million
for the year ended December 31, 2005.In 2004, we recorded a net adverse impact of prior accident years on the technical result in
the amount of USD 53.3 million, resulting from net adverse development of prior accident
years loss reserves of USD 11.3 million and reductions in premium, related losses and
acquisition costs of net USD 42.0 million for the year ended December 31, 2004.
 Standard Property & Casualty Reinsurance premiums
  
    
    Motor (decreased by 56.9% or USD 249.0 million to USD 188.4
million), largely reflecting reduced writings in the France and
United Kingdom books of business due to profitability
considerations as well as cancellation of business due to the
ratings downgrades in 2004;
    
    Property (decreased by 25.8% or USD 135.8 million to USD 390.6
million), primarily due to the rating downgrades in 2004;
    
    General Third Party Liability (decreased by 61.3% or USD 232.4
million to USD 146.7 million), due to rating downgrades and
revisions of premium estimates on our London Market North America
and United Kingdom books of business; and
    
    Personal accident (assumed from non-life insurers) (decreased by
61.4% or USD 21.2 million to USD 13.3 million), primarily as a
result of the cancellation or non-renewal of business and reduced
shares in current business due to the ratings downgrades in 2004.
 Standard Property & Casualty Reinsurance net investment income and net realized capital gains
(losses)
  Standard Property & Casualty Reinsurance losses and loss expenses
     76




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##### Table of Contents



Standard Property & Casualty Reinsurance acquisition costs
  Standard Property & Casualty Reinsurance operating and administration expenses
  Standard Property & Casualty Reinsurance combined ratios
  Specialty Lines
  Year ended December 31,2006
    
    2005
    
    2004(USD millions, except ratios)Revenues:Gross premiums written
    
    
    777.0
    
    
    
    833.1
    
    
    
    1,655.3Net premiums written
    
    
    729.4
    
    
    
    737.7
    
    
    
    1,565.3Net premiums earned
    
    
    723.7
    
    
    
    1,059.2
    
    
    
    1,387.6Net investment income and net realized capital gains (losses)
    
    
    140.5
    
    
    
    140.5
    
    
    
    135.1Total revenues
    
    
    864.2
    
    
    
    1,199.7
    
    
    
    1,522.7Losses and expenses:Losses and loss expenses
    
    
    -534.3
    
    
    
    -772.5
    
    
    
    -1,154.7Acquisition costs
    
    
    -192.4
    
    
    
    -263.8
    
    
    
    -328.1Other operating and administration expenses
    
    
    -38.6
    
    
    
    -54.5
    
    
    
    -53.3Total losses and expenses
    
    
    -765.3
    
    
    
    -1,090.8
    
    
    
    -1,536.1Segment income (loss)
    
    
    98.9
    
    
    
    108.9
    
    
    
    -13.4Ratios (%):Loss ratio
    
    
    73.8
    
    
    
    72.9
    
    
    
    83.2Acquisition costs ratio
    
    
    26.6
    
    
    
    24.9
    
    
    
    23.6Administration expense ratio
    
    
    5.3
    
    
    
    7.4
    
    
    
    3.4Combined ratio
    
    
    105.7
    
    
    
    105.2
    
    
    
    110.2
 Year ended December 31, 2006 compared with year ended December 31, 2005
 Specialty Lines segment income
  
 77




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##### Table of Contents




  
  Specialty Lines premiums
   
    
    Aviation & Space decreased by 1.9% or USD 4.7 million to USD 237.1 million;
    
    Credit & Surety decreased by 27.7% or USD 16.2 million to USD 42.2 million;
    
    Engineering decreased by 5.8% or USD 3.8 million to USD 61.7 million and;
    
    Marine & Energy decreased by 9.2% or USD 5.9 million to USD 58.1 million.
  Specialty Lines net investment income and net realized apital gains (losses)
  Specialty Lines losses and loss expenses
    78




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Specialty Lines acquisition costs
  Specialty Lines Operating and administration expenses
  Specialty Lines combined ratios
  Year ended December 31, 2005 compared with year ended December 31, 2004
 Specialty Lines segment income (loss)
  
    
    In 2005, the Specialty Lines segment recorded a net favorable impact of prior accident
years on the technical result of USD 23.1 million, resulting from net favorable development of
prior accident years loss reserves of USD 55.3 million offset by reductions in premiums and
other expenses of USD 32.2 million.
 The net favorable development of prior years loss reserves of USD 55.3 million primarily
related to the Aviation & Space line of business of USD 57.5 million.
 
    
    Slightly offsetting the increase in segment income in 2005 was the
net impact of losses arising from Hurricanes Katrina, Rita and
Wilma within the United States in the amount of USD 13.5 million.
 
    
    In 2004, we recorded a net adverse impact of prior accident years
on the technical results in the amount of USD 69.7 million,
resulting from net adverse development of prior accident years
loss reserves of USD 61.5 million, and reductions in premium,
related losses and acquisition costs of net USD 8.2 million for
the year ended December 31, 2004.
 The net adverse development of prior years loss reserves of USD 61.5 million primarily
related to adverse developments of the Professional Liability and other Special Liability and
Engineering lines of business of USD 116.1 million and USD 13.7 million, respectively,
partially offset by net favorable development of prior years loss reserves related to: Credit
& Surety (USD 30.2 million), Aviation & Space (USD 24.6 million) and Workers Compensation
(USD 16.4 million) lines of business.
 Specialty Lines premiums
  79




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##### Table of Contents




    
    Aviation & Space (decreased by 40.2% or USD 162.7 million to USD 241.8 million);
 
    
    Credit & Surety (decreased by 71.4% or USD 145.9 million to USD 58.4 million);
 
    
    Professional Liability and other Special Liability (decreased by 35.2% or USD 153.7 million to USD 282.8 million);
 
    
    Engineering (decreased by 41.6% or USD 46.7 million to USD 65.5 million);
 
    
    Marine & Energy (decreased by 22.4% or USD 18.5 million to USD 64.0 million); and
 
    
    Workers Compensation (decreased by 103.7% or USD 325.4 million to USD (11.5) million); which in addition to the
reduction caused by the ratings downgrades was further impacted by a reduction in premium estimates.
  Specialty Lines net investment income and net realized apital gains (losses)
  Specialty Lines losses and loss expenses
     Specialty Lines acquisition costs
  Specialty Lines operating and administration expenses
  80




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##### Table of Contents



Specialty Lines combined ratios
  Life & Health Reinsurance
  Year ended December 31,2006
    
    2005
    
    2004(USD millions, except ratios)Revenues:Gross premiums written
    
    
    313.3
    
    
    
    318.8
    
    
    
    327.9Net premiums written
    
    
    305.7
    
    
    
    306.4
    
    
    
    313.2Net premiums earned
    
    
    312.4
    
    
    
    314.8
    
    
    
    318.7Net investment income and net realized capital gains (losses)
    
    
    29.2
    
    
    
    28.7
    
    
    
    19.2Total revenues
    
    
    341.6
    
    
    
    343.5
    
    
    
    337.9Losses and expenses:Losses, loss expenses and life benefits
    
    
    -212.4
    
    
    
    -218.0
    
    
    
    -237.3Acquisition costs
    
    
    -94.1
    
    
    
    -92.3
    
    
    
    -72.5Other operating and administration expenses
    
    
    -11.6
    
    
    
    -15.6
    
    
    
    -11.7Total benefits, losses and expenses
    
    
    -318.1
    
    
    
    -325.9
    
    
    
    -321.5Segment income
    
    
    23.5
    
    
    
    17.6
    
    
    
    16.4Ratios (%):Acquisition costs ratio
    
    
    30.1
    
    
    
    29.3
    
    
    
    22.7Administration expense ratio
    
    
    3.8
    
    
    
    5.1
    
    
    
    3.7
 Year ended December 31, 2006 compared with year ended December 31, 2005
 Life & Health Reinsurance segment income
      Life & Health Reinsurance premiums
  81




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Life & Health Reinsurance net investment income and net realized apital gains (losses)
  Life & Health Reinsurance losses, loss expenses and life benefits
  Life & Health Reinsurance acquisition costs
  Life & Health Reinsurance operating and administration expenses
  Year ended December 31, 2005 compared with year ended December 31, 2004
 Life & Health Reinsurance segment income
      Life & Health Reinsurance premiums
  82




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Life & Health Reinsurance net investment income and net realized apital gains (losses)
  Life & Health Reinsurance losses, loss expenses and life benefits
  Life & Health Reinsurance acquisition costs
  Life & Health Reinsurance operating and administration expenses
  Corporate Center
  Year ended December 31,2006
    
    2005
    
    2004(USD millions)Other operating and administration expenses
    
    
    -54.5
    
    
    
    -49.5
    
    
    
    -36.8Segment loss
    
    
    -54.5
    
    
    
    -49.5
    
    
    
    -36.8
 Year ended December 31, 2006 compared with year ended December 31, 2005
 Corporate Center operating and administration expenses
  Year ended December 31, 2005 compared with year ended December 31, 2004
 Corporate Center operating and administration expenses
  83




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B. LIQUIDITY AND CAPITAL RESOURCES
   Liquidity requirements
  Letters of credit
  Letters of credit(USD million)
    
    Date of agreement
    
    Duration
    
    Capacity
    
    Utilized
    
    Assets pledgedSyndicated letter of
credit facility
    
    Nov 29, 2004
    
    3 years
    
    
    1,600.0
    
    
    
    1,053.2
    
    
    
    1,074.7Bilateral
letters of credit
    
    various
    
    various
    
    
    1,120.0
    
    
    
    844.8
    
    
    
    898.8Unsecured letters of credit
    
    Aug 11, 2006
    
    1 year
    
    
    250.0
    
    
    
    76.5
    
    
    
    Total letters of credit
    
    
    
    
    
    
    
    
    
    
    2,970.0
    
    
    
    1,974.5
    
    
    
    1,973.5Other pledgesDeposit account for cedents
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    282.5Internal trust
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    486.6Total other pledges
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    769.1
     Liquidity sources
 84




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##### Table of Contents



Asset/Liability Management
  Dividends from subsidiaries
  Debt outstanding
   Capital requirements
  85




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##### Table of Contents



Year ended December 31,2006
    
    2005
    
    2004(USD millions)Cash flow data:Cash provided by (used in) operating activities
    
    
    79.2
    
    
    
    -399.9
    
    
    
    358.7Net cash (used in) provided by investing activities
    
    
    -42.8
    
    
    
    363.8
    
    
    
    -315.4Net cash (used in) provided by financing activities
    
    
    -91.6
    
    
    
    -36.8
    
    
    
    347.8Effect of exchange rate changes on cash and cash equivalents
    
    
    41.0
    
    
    
    39.3
    
    
    
    9.0Change in cash and cash equivalents
    
    
    -14.2
    
    
    
    -33.6
    
    
    
    400.1Cash and cash equivalents, beginning of period
    
    
    647.3
    
    
    
    680.9
    
    
    
    280.8Cash and cash equivalents, end of period
    
    
    633.1
    
    
    
    647.3
    
    
    
    680.9
       New accounting standards
  SFAS 155, Accounting for Certain Hybrid Instruments
  86




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##### Table of Contents



SFAS 157 Fair Value Measurements
   SFAS 159, The Fair Value Option for Financial Assets and Financial Liabilities
  FASB Interpretation No. FIN 48,Accounting for Uncertainty in Income Taxesan interpretation of
FASB Statement No. 109
 Accounting for Income Taxes.
 FASB
Staff Position (FSP) SFAS 123(R)-5 Amendment of
FASB Staff Position SFAS 123(R)-1
  FASB Staff Position (FSP) FIN 46(R)-6 Determining the Variability to be Considered in Applying
FASB Interpretation No. 46(R)
 "
 SEC Staff Accounting Bulletin 108 (SAB 108)  Considering the Effects of Prior Year Misstatements
when Qualifying Misstatements in Current Year Financial Statements
 " .
 C. RESEARCH AND DEVELOPMENT, PATENTS, LICENSES
  D. TREND INFORMATION
  87




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##### Table of Contents



E. OFF-BALANCE SHEET ARRANGEMENTS
  F. TABULAR DISCLOSURE OF CONTRACTUAL OBLIGATIONS
 Payment due by periodContractual Obligations
    
    
    
    
    
    Less than 1
    
    
    
    
    
    
    
    
    
    More than(USD thousands)
    
    Total
    
    year
    
    1-3 years
    
    3-5 years
    
    5 yearsLong-Term Debt Obligations  Principal
    
    
    200,000
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    200,000Long-Term Debt Obligations Interest
    
    
    429,000
    
    
    
    16,500
    
    
    
    33,000
    
    
    
    33,000
    
    
    
    346,500Operating Lease Obligations
    
    
    45,000
    
    
    
    10,100
    
    
    
    18,800
    
    
    
    16,100
    
    
    
    Losses and loss expenses, gross (1)
    
    
    6,348,600
    
    
    
    1,523,400
    
    
    
    1,936,100
    
    
    
    1,142,500
    
    
    
    1,746,600Future life benefits, gross (1)
    
    
    510,700
    
    
    
    42,400
    
    
    
    124,600
    
    
    
    103,700
    
    
    
    240,000Total
    
    
    7,533,300
    
    
    
    1,592,400
    
    
    
    2,112,500
    
    
    
    1,295,300
    
    
    
    2,533,100
 
 (1)
    
    The Companys unpaid losses and loss expenses and future life benefits represent managements
best estimate of the cost to settle the ultimate liabilities based on information available as
of December 31, 2006 and are not fixed amounts payable pursuant to contractual commitments.
The timing and amounts of actual claims payments related to these reserves might vary
significantly based on many factors including large individual losses as well as general
market conditions.  
 ITEM 6. DIRECTORS, SENIOR MANAGEMENT AND EMPLOYEES
 A. DIRECTORS AND SENIOR MANAGEMENT
 Board of Directors
     88




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##### Table of Contents



Name
    
    Year of Birth
    
    Nationality
    
    Term Expires inMarkus Dennler (Chairman)(1)(3)
    
    1956
    
    Swiss
    
    2008Rudolf Kellenberger (Vice-Chairman)(2)(3)
    
    1945
    
    Swiss
    
    2008Lennart Blecher (1)(2)(3)
    
    1955
    
    Swedish
    
    2009Detlev Bremkamp (1)(2)
    
    1944
    
    German
    
    2009Derrell J.
Hendrix (2)(4)
    
    1953
    
    American
    
    2007Harald Wiedmann (1)(3)
    
    1945
    
    German
    
    2009
  (1)
    
    Member of the Nomination and Remuneration Committee(2)
    
    Member of the Finance and Risk Committee(3)
    
    Member of the Audit Committee(4)
    
    Term expired, did not stand for re-election at the Annual
General Meeting on May 10, 2007.
 Curricula Vitae of the Board members
 Markus Dennler
 Rudolf Kellenberger
 Lennart Blecher
 89




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##### Table of Contents



Detlev Bremkamp
 Derrell
J. Hendrix
 Harald Wiedmann
  Global Executive Committee
   Name
    
    Year of Birth
    
    Nationality
    
    Position HeldInga K. Beale
    
    1963
    
    British
    
    Chief Executive OfficerPaolo De Martin (3)
    
    1969
    
    Italian
    
    Chief Financial OfficerChristian Felderer
    
    1954
    
    Swiss
    
    General Legal CounselBenjamin Gentsch (4)
    
    1960
    
    Swiss
    
    Head of Specialty LinesMarkus Krall (1)
    
    1962
    
    German
    
    Chief Risk OfficerChristoph Ludemann (6)
    
    1956
    
    German
    
    Head of  Life & Health ReinsuranceFrank Schaar (6)
    
    1960
    
    German
    
    Head of Standard Property & Casualty ReinsuranceAndreas Zdrenyk (2)
    
    1959
    
    Swiss
    
    Chief Operating OfficerJakob Eugster (5)
    
    1952
    
    Swiss
    
    Head of Standard Property & Casualty Reinsurance
 90




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##### Table of Contents



(1)
    
    Appointment of Markus Krall as Chief Risk Officer and member of the Global Executive
Committee, replacing Hans-Peter Boller. Markus Krall will leave the
Company by June 30, 2007.
 (2)
    
    Appointment of Andreas Zdrenyk as Chief Operating Officer and member of the Global Executive
Committee.
 (3)
    
    Appointment of Paolo De Martin as Chief Financial Officer and member of the Global Executive
Committee, replacing Andreas Zdrenyk (interim Chief Financial Officer, February 28, 2005 until
June 30, 2006).
  (4)
    
    Benjamin Gentsch Head of Specialty Lines assumes additional responsibility for Life & Health
Reinsurance replacing Christoph Ludemann
 (5)
    
    Appointment of Jakob Eugster as Head of Standard Property & Casualty Reinsurance and member
of the Global Executive Committee replacing Frank Schaar.
 (6)
    
    Resigned from the Global Executive committee.
 Inga K. Beale
 Paolo De Martin
 Christian Felderer
 Benjamin Gentsch
 91




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##### Table of Contents



Markus Krall
 Christoph Ludemann
 Frank Schaar
 Andreas Zdrenyk
 Member of the GEC as of February 1, 2007 Curricula Vitae
 Jakob Eugster
   B. COMPENSATION
 92




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##### Table of Contents



Compensation of Directors
  Board remuneration
  
    
    CHF 4,000 (USD 3,194) for membership of a second Committee
    
    CHF 3,000 (USD 2,396) for membership of a third and any subsequent Committee and additionally,
    
    CHF 5,000 (USD 3,993) if the member holds one or more chairmanships in the Committees.
  
    
    CHF 5,000 (USD 3,993) for any additional meeting with physical presence by the member
    
    CHF 2,500 (USD 1,997) for a meeting with attendance by phone or video conference by a member
   Function
    
    CHF
    
    (USD)Ordinary Board Member  No Committee Chair
    
    
    106,667
    
    
    
    85,184Ordinary Board Member  With Committee Chair
    
    
    146,467
    
    
    
    116,968Vice Chairman of the Board
    
    
    220,000
    
    
    
    175,692Chairman of
the Board
    
    
    440,000
    
    
    
    351,384
 
   The Board of Directors has further authorized the payment of additional compensation in
recognition of the additional extraordinary work performed by the Chairman in connection with the
SCOR Tender Offer on an hourly/daily basis derived from the compensation for his regular work. As
Chairmans compensation is based on an assumption that he will spend 72 work days a year in his
capacity, the Board set the maximum amount of daily compensation for his work on the SCOR Tender
Offer by dividing his total annual compensation by 72. Additionally, members of the Board of
Directors (other than the Chairman) are entitled to receive additional compensation in connection
with their participation at special meetings of the Board of Directors, if any, related to the
SCOR Tender Offer (CHF 5,000 for attending in person and CHF 2,500 for attending by phone or
video conference). 93




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Cash
    
    Shares
    
    Shares held at
    
    Options
    
    Options heldCompensation (in
    
    allocated in
    
    December 31,
    
    allocated in
    
    at DecemberUSD)
    
    2006
    
    2006(1)
    
    2006(2)
    
    31, 2006(3)Board MemberMarkus Dennler
    
    
    336,211
    
    
    
    2,110
    
    
    
    2,111
    
    
    
    5,774
    
    
    
    5,774Rudolf Kellenberger
    
    
    190,466
    
    
    
    2,110
    
    
    
    2,111
    
    
    
    5,774
    
    
    
    5,774Lennart Blecher
    
    
    58,564
    
    
    
    1
    
    
    
    1
    
    
    
    
    
    
    
    Detlev Bremkamp
    
    
    58,564
    
    
    
    1
    
    
    
    1
    
    
    
    
    
    
    
    Derrell J. Hendrix(7)
    
    
    106,501
    
    
    
    2,110
    
    
    
    3,289
    
    
    
    5,774
    
    
    
    13,282Harald Wiedmann
    
    
    58,564
    
    
    
    1
    
    
    
    1
    
    
    
    
    
    
    
    Peter C. Colombo(6)
    
    
    296,281
    (4)
    
    
    3,165
    
    
    
    n.a.
    
    
    
    
    
    
    
    11,264Georg Mehl(6)
    
    
    114,200
    
    
    
    2,637
    
    
    
    n.a.
    
    
    
    3,217
    
    
    
    12,463Terry G. Clarke(6)
    
    
    708,311
    (5)
    
    
    2,110
    
    
    
    n.a.
    
    
    
    5,774
    
    
    
    13,026Georg G.C. Parker(6)
    
    
    73,471
    
    
    
    2,110
    
    
    
    n.a.
    
    
    
    5,774
    
    
    
    13,282Anton K. Schnyder(6)
    
    
    109,408
    
    
    
    2,110
    
    
    
    n.a.
    
    
    
    5,774
    
    
    
    13,282
 
 (1)
    
    Includes shares personally bought.(2)
    
    Options vest immediately, have a term of 10.5 years and an exercise price equal to fair
market value at the beginning of the period for which they were granted.(3)
    
    An adjustment to the exercise price of all options outstanding prior to the 2004 rights
offering was completed in 2005 in order to account for the dilution of the value of the
options as a result of the 2004 rights offering. The reduction in exercise price maintains the
same Black-Scholes-Merton value of the option before and after the 2004 rights offering. Upon
termination of their mandate, the Directors have to exercise any options within 24 months
otherwise they are forfeited.(4)
    
    Includes severance payment of CHF 100,000 (USD 79,860) following his resignation as Chairman
effective April 11, 2006.(5)
    
    Includes total compensation for services rendered as CEO and Director until February 1, 2006
and April 11, 2006 respectively as well as severance payments of CHF 300,000 (USD 239,580)
following his resignation as CEO and CHF 100,000 (USD 79,860) following his resignation as
Director.(6)
    
    Office ending at the Annual General Meeting of April 11, 2006(7)
    
    Term expired, did not stand for re-election at the Annual General Meeting on May 10, 2007.   94




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Compensation of senior management
 Global Executive Committee remuneration
         Employee incentive and benefit plans
   Share Plan
   95




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##### Table of Contents



Grants to Global Executive Committee
  Options vested ofShares held at
    
    
    
    
    
    Options held at
    
    options held atShares granted
    
    December 31,
    
    Options granted
    
    December 31,
    
    December 31,in 2006 (1)
    
    2006 (2)
    
    in 2006 (3)
    
    2006
    
    2006Global Executive
Committee memberInga Beale
    
    
    19,109
    
    
    
    
    
    
    
    56,105
    
    
    
    56,105
    
    
    
    14,027Paolo De Martin
    
    
    26,949
    
    
    
    18,726
    
    
    
    23,629
    
    
    
    23,629
    
    
    
    5,907Christian Felderer
    
    
    19,351
    
    
    
    22,119
    
    
    
    37,665
    
    
    
    110,484
    
    
    
    50,148Benjamin Gentsch
    
    
    35,706
    
    
    
    78,276
    
    
    
    53,202
    
    
    
    210,012
    
    
    
    123,123Markus Krall(6)
    
    
    9,046
    
    
    
    
    
    
    
    25,992
    
    
    
    25,992
    
    
    
    6,498Christoph Ludemann(4)
    
    
    19,733
    
    
    
    14,616
    
    
    
    40,937
    
    
    
    114,073
    
    
    
    47,443Frank Schaar(4)
    
    
    26,224
    
    
    
    23,107
    
    
    
    54,333
    
    
    
    219,046
    
    
    
    131,121Andreas Zdrenyk
    
    
    16,302
    
    
    
    18,643
    
    
    
    31,781
    
    
    
    88,177
    
    
    
    40,645Peter Boller(5)
    
    
    9,070
    
    
    
    34,699
    
    
    
    21,106
    
    
    
    153,907
    
    
    
    100,656
 
 (1)
    
    Shares granted in 2006 include shares awarded under the LTIP, which are subjected to various
vesting schedules, and shares purchased through the employee stock purchase plan. During the
vesting period there is a risk of forfeiture in case of any termination of the employment
relationship.(2)
    
    Includes only vested shares (includes shares held by closely related parties).(3)
    
    Options have an exercise price equal to the market value of the shares on date of grant, 25%
vest immediately on the grant date and 25% each year thereafter, and have a 10.5-year term.
The strike price of all options outstanding prior to the Rights Offering in 2004 was adjusted
in 2005 in order to account for the dilution of the value of the options as a result of the
Rights Offering. The reduction in the strike price maintains the same Black-Scholes-Merton
value of the option before and after the Rights Offering and does not reflect any other
decrease in the share price.(4)
    
    Resigned from the Global Executive committee on February 1, 2007.(5)
    
    Resigned from the Global Executive committee on July 1, 2006.(6)
    
    Will resign from the Global Executive committee by June 30, 2007.  Annual Incentive Plan
  96




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Employee Stock Purchase Plan
  Employee retention plan
  Long Term Incentive Plan (LTIP)
  Executive IPO Option Plan
   C. BOARD PRACTICES
 Board committees
 97




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##### Table of Contents



The Nomination and Remuneration Committee
   The Finance and Risk Committee
    The Audit Committee
   98




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##### Table of Contents




    
    To evaluate the reliability and controls for the financial and risk reporting systems
and to provide reasonable assurance that material errors and irregularities will be
detected and that corrective actions are implemented on a timely basis.
    
    To evaluate the reliability and integrity of financial and operational information.
    
    To evaluate compliance with policies, plans, procedures, regulations, laws and contracts.
    
    To safeguard the company assets.
    
    To evaluate and promote efficient use of resources.
    
    To review operations to ascertain whether results are consistent with established goals
and whether the operations are being carried out as planned.
    
    To review specific operations at the request of the Audit Committee (or management as
appropriate).
   Indemnification of officers and directors
   99




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##### Table of Contents



New committee structure
 (www.converium.com)
 D. EMPLOYEES
    As of December 31,2006
    
    
    2005
    
    
    2004Number of employees
    
    
    532
    
    
    
    594
    
    
    
    771Breakdown by geographic location:Switzerland
    
    
    319
    
    
    
    294
    
    
    
    369United States
    
    
    
    
    
    
    89
    
    
    
    138Germany
    
    
    142
    
    
    
    143
    
    
    
    169Asia-Pacific region
    
    
    29
    
    
    
    28
    
    
    
    33Other regions
    
    
    42
    
    
    
    40
    
    
    
    62Breakdown by main category of activity:Underwriting
    
    
    171
    
    
    
    195
    
    
    
    257Finance
    
    
    63
    (1)
    
    
    153
    
    
    
    212Actuarial
    
    
    57
    
    
    
    50
    
    
    
    67Other
    
    
    241
    
    
    
    196
    
    
    
    235
 
 (1)
    
    The substantial decrease in the Finance function results from the shift of employees
to the Chief Operating Officer function, which was established on July 1, 2006. E. SHARE OWNERSHIP
  
 ITEM 7. MAJOR SHAREHOLDERS AND RELATED PARTY TRANSACTIONS
 A. MAJOR SHAREHOLDERS
   100




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
    
    SCOR S.A., Paris, France: 32.9% (date of notification February 19,
2007). SCOR is a French reinsurer that operates in over 120
countries.
   B. RELATED PARTY TRANSACTIONS
  GAUM
         101




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##### Table of Contents



MDU
     SCOR
   C. INTERESTS OF EXPERTS AND COUNSEL
  
 ITEM 8. FINANCIAL INFORMATION
 A. CONSOLIDATED STATEMENTS AND OTHER FINANCIAL INFORMATION
 Financial statements
  Legal proceedings, claims and litigation
  Canada Life
  102




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Review of certain of Converiums reinsurance transactions
     Class action lawsuits
  103




---



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104




---



##### Table of Contents



Dividends and dividend policy
       B. SIGNIFICANT CHANGES
  
 ITEM 9. THE OFFER AND LISTING
 A. OFFER AND LISTING DETAILS
 Market price information
 Trading on the SWX Swiss Exchange
  High
    
    
    LowCHF
    
    
    CHFCalendar Year 2002
    
    
    89.75
    
    
    
    54.85Calendar Year 2003
    
    
    74.50
    
    
    
    49.60Calendar Year 2004 (1)
    
    
    73.75
    
    
    
    7.42Calendar Year 2005:
    
    
    14.60
    
    
    
    9.00First Quarter
    
    
    12.20
    
    
    
    10.05Second Quarter
    
    
    12.50
    
    
    
    9.00Third Quarter
    
    
    13.40
    
    
    
    9.90Fourth Quarter
    
    
    14.60
    
    
    
    12.05Calendar Year 2006:
    
    
    17.00
    
    
    
    11.75First Quarter
    
    
    16.55
    
    
    
    13.40Second Quarter
    
    
    16.40
    
    
    
    12.15Third Quarter
    
    
    15.70
    
    
    
    11.75
 105




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##### Table of Contents



High
    
    
    LowCHF
    
    
    CHFFourth Quarter
    
    
    17.00
    
    
    
    14.90Last 6 Months:December 2006
    
    
    16.60
    
    
    
    15.35January 2007
    
    
    18.70
    
    
    
    16.30February 2007
    
    
    22.35
    
    
    
    17.85March 2007
    
    
    21.50
    
    
    
    19.55April 2007
    
    
    23.25
    
    
    
    20.95May 2007
    
    
    23.05
    
    
    
    21.06
 
 (1)
    
    Includes the effect of the 2004 rights offering. Trading on the New York Stock Exchange
  High
    
    
    LowUSD
    
    
    USDCalendar Year 2002
    
    
    28.52
    
    
    
    18.30Calendar Year 2003
    
    
    26.63
    
    
    
    19.15Calendar Year 2004
    
    
    29.57
    
    
    
    3.15Calendar Year 2005:
    
    
    5.54
    
    
    
    3.59First Quarter
    
    
    5.18
    
    
    
    4.44Second Quarter
    
    
    5.20
    
    
    
    3.59Third Quarter
    
    
    5.09
    
    
    
    3.96Fourth Quarter
    
    
    5.54
    
    
    
    4.58Calendar Year 2006:
    
    
    6.79
    
    
    
    4.72First Quarter
    
    
    6.45
    
    
    
    5.23Second Quarter
    
    
    6.77
    
    
    
    4.85Third Quarter
    
    
    6.33
    
    
    
    4.72Fourth Quarter
    
    
    6.79
    
    
    
    6.00Last 6 Months:December 2006
    
    
    6.79
    
    
    
    6.40January 2007
    
    
    7.75
    
    
    
    6.62February 2007
    
    
    8.35
    
    
    
    7.05March 2007
    
    
    8.78
    
    
    
    7.99April 2007
    
    
    9.54
    
    
    
    8.67May 2007
    
    
    9.44
    
    
    
    8.48
 B. PLAN OF DISTRIBUTION
  C. MARKETS
   D. SELLING SHAREHOLDERS
  106




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E. DILUTION
  F. EXPENSES OF THE ISSUE
  
 ITEM 10. ADDITIONAL INFORMATION
 A. SHARE CAPITAL
  B. MEMORANDUM AND ARTICLES OF INCORPORATION
  Issued share capital
     Authorized share capital
    Contingent share capital
   107




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Information policy
  Statutory Quorums
   
    
    an alteration of the purpose of Converium
    
    the creation of super-voting shares
    
    restrictions on the transfer of registered shares and the removal of such restrictions as well as restrictions to vote and
the removal of such restrictions
    
    an authorized or contingent increase of share capital
    
    an increase of share capital by conversion of capital surplus, by contribution in kind or for the purpose of an acquisition
of assets and the grant of special rights
    
    a restriction or exclusion of the subscription right or advance subscription right
    
    a change of Converiums registered office
    
    the dissolution of Converium without liquidation
 Convocation of the General Meeting of the Shareholders
   Registration in the Share Register
  108




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Shareholder votes on equity-based compensation plans
  C. MATERIAL CONTRACTS
 The Master Agreement
  
    
    the separation of substantially all of the third party reinsurance business from the businesses of Zurich Financial Services; and
    
    the consolidation of this business under Converium Holding AG.
    
    
    to execute the agreements, and to cooperate and act in accordance with the arrangements described below; and
    
    not to, except for certain specified exceptions, disclose confidential information of the other party or an entity of such
partys group which is not known to third parties but which is known by the parties due to the fact that the parties were
previously part of the same group of companies or as a result of the Formation Transactions contemplated by the Master
Agreement.
  September 11th Coverage
  109




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Acquisition of the Converium AG business
   Quota Share Retrocession Agreement
       110




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##### Table of Contents



Acquisition of the Converium Rückversicherung (Deutschland) AG business
   GRI Retained business
   Other indemnity matters
   
    
    liabilities assumed by or transferred to us in the separation;
    
    liabilities incurred by Zurich Financial Services or its affiliates (other than us) while carrying on business on our behalf
pursuant to the terms of agreements entered into in connection with the Formation Transactions before and after the dates of
the separation of US and non-US business from Zurich Financial Services;
    
    liabilities incurred by us on our own behalf at any time, which are deemed to be or become a liability of Zurich Financial
Services or any of its affiliates (other than us); and
    
    losses suffered by Zurich Financial Services or any of its affiliates (other than us) that relate to any reasonable action to
avoid, resist or defend against liabilities assumed by or indemnified against by us.
  
    
    liabilities retained by Zurich Financial Services and its affiliates and not assumed by or transferred to us in the separation;
 111




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##### Table of Contents




    
    liabilities arising out of or relating to the assets not assumed by or transferred to us in the separation;
    
    liabilities arising out of specified contracts we have not assumed pursuant to the terms of the Quota Share Retrocession
Agreement; and
    
    losses suffered by us or any of our affiliates that relate to any reasonable action to avoid, resist or defend against
liabilities not relating to our business.
     Tax sharing agreements
  
    
    ZRCH, in respect of the US Converium entities, which we refer to as the US Tax Sharing Agreement; and
    
    Zurich Financial Services in respect of the non-US Converium entities, which we refer to as the Non-US Tax Sharing
Agreement.
    Swiss tax consequences to Converium of the Formation Transactions
 112




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##### Table of Contents



Continuing relationships with Zurich Financial Services
  Other agreements and arrangements
  Lease arrangements
   SCOR
Transaction Agreement
    D. EXCHANGE CONTROLS AND OTHER LIMITATIONS
   E. TAXATION
  113




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Swiss taxation
   Withholding tax on dividends and distributions
  Obtaining a refund of Swiss withholding tax for US residents
  Income tax on dividends
   Capital gains tax upon disposal of shares
  114




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##### Table of Contents



Stamp Duties upon transfer of shares
  United States federal income taxation
    Taxation of dividends
  115




---



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Sale or exchange
   PFIC rules
   116




---



##### Table of Contents



Backup withholding
  F. DIVIDENDS AND PAYING AGENTS
  G. STATEMENT BY EXPERTS
  H. DOCUMENTS ON DISPLAY
  
    I. SUBSIDIARY INFORMATION
  
 ITEM 11. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISKS
    117




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Sensitivity analyses for invested assets
   
    
    Interest rate risk We have based our computations of interest rate sensitivity on
numerous assumptions. Therefore they should not be relied on as indicative of future
results.Our investments are subject to interest rate risks. Fluctuations in interest rates have a
direct impact on the market valuation of our fixed income portfolio, such that market values
of fixed income securities fall as interest rates rise and vice versa. Our interest rate risk
is concentrated in the United States, United Kingdom and Europe and is highly sensitive to
many factors, including governmental monetary policies and domestic and international
economic and political conditions. The estimated potential exposure of our total fixed income
securities portfolio to a one percentage point increase of the corresponding government bond
yield curves would be an after-tax reduction in net assets of USD 86.8 million,
which represents approximately 4.7% of our total shareholders equity as of December 31,
2006. This reduction would be offset by higher investment income earned on newly invested
funds.The Company manages interest rate risk by constructing bond portfolios in which the economic
impact of a general interest rate shift is comparable to the impact on the related
liabilities. To protect our balance sheet from a possible rise of the yield curves, we
stabilized our modified duration of our bond portfolio, excluding held-to-maturity
securities, to 3.3. Additionally, our portfolio of held-to-maturity government bonds reduced
to USD 718.3 million (18.7% of our fixed maturities portfolio, excluding the Funds
Withheld Asset) attributable to the sale of our discontinued operations and maturing fixed
maturities securities. The duration of the held-to-maturity portfolio is 2.8. The Company
believes that this matching process mitigates the overall interest rate risk on an economic
basis.As of December 31, 2006, all of our debt outstanding was at fixed interest rates. Thus, an
increase in interest rates would currently have no effect on our annual interest expense or
reported shareholders equity, as we account for debt at amortized cost, not fair value.
    
    Equity market risk We hold approximately 11.5% (including our participation in PSP
Swiss Property AG and Real Estate Equity Securities) of our invested assets in equity
securities, which are subject to equity market risk. Our equity market risk is
 118




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##### Table of Contents



predominantly in developed markets and concentrated in the United States, United Kingdom and
Europe and is highly sensitive to general economic and stock market conditions. The equity
investment portfolio is invested in broad market indices in order to achieve desired
diversification and market performance. The estimated potential exposure of our consolidated
net assets to a 10% decline in all stock markets as of December 31, 2006 would be an
after-tax reduction in net assets of USD 62.4 million, which represents approximately 3.4% of
our total shareholders equity as of December 31, 2006.Our strategic asset allocation combines a large percentage of investments in high-quality
bonds with investments in equity securities. This allocation seeks to generate strong
positive returns with acceptable risks over the long term, while protecting against excessive
risks in periods of severe market distress.During a severe stock market correction associated with a weak economy, recession or
depression, losses in the fair market value of equity securities tend to be partially offset
by gains on high-quality bonds arising from falling interest rates. We seek to match our
investments with our underlying liabilities in the countries and territories in which we
operate. Consequently, we strive to keep our equity portfolio diversified so as to provide a
broad exposure across major sectors of individual stock markets. We restrict our maximum
investment in any one equity security or equity sector by reference to local benchmarks and
insurance regulations.
    
    Foreign exchange risk Our general practice is to invest in assets that match the
currency in which we expect related liabilities to be paid. We tend thus to invest our
assets with the same currency allocation as our technical liabilities. This results in the
same currency split for the assets backing our shareholders equity. This practice supports
sound currency asset/liability management, but if not properly matched, there is a
translation risk of currency rate changes against the US dollar that may adversely affect
our reported shareholders equity when expressed in US dollars.Shareholders equity held in local insurance units is primarily kept in local currencies to
the extent that shareholders equity is required to satisfy regulatory and self-imposed
capital requirements. This facilitates our efforts to ensure that capital held in local
insurance units will be able to support the local insurance business irrespective of currency
movements. In line with our functional currency concept, the differences resulting from the
currency rate changes are recorded in shareholders equity as cumulative currency translation
adjustments.
   Adverse exchange rate movement against
    
    Approximate declinethe US dollar
    
    in shareholders'equityEuro
    
    
    10
    %
    
    USD155.3 millionSwiss franc
    
    
    10
    %
    
    USD15.0 millionUK pound
    
    
    10
    %
    
    USD188.0 million
    US
    
    
    
    
    
    
    U.K
    
    
    Swiss
    
    
    JapaneseDollar
    
    
    Euro
    
    
    Pound
    
    
    franc
    
    
    yen
    
    
    Other
    
    
    TotalIncome statementNet premiums written
    
    
    20
    %
    
    
    34
    %
    
    
    26
    %
    
    
    2
    %
    
    
    3
    %
    
    
    15
    %
    
    
    100
    %
 119




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##### Table of Contents



US
    
    
    
    
    
    
    U.K
    
    
    Swiss
    
    
    JapaneseDollar
    
    
    Euro
    
    
    Pound
    
    
    franc
    
    
    yen
    
    
    Other
    
    
    TotalIncome statementNet investment income
    
    
    40
    %
    
    
    17
    %
    
    
    29
    %
    
    
    12
    %
    
    
    
    
    
    
    2
    %
    
    
    100
    %Losses, loss expenses and life benefits
    
    
    15
    %
    
    
    28
    %
    
    
    27
    %
    
    
    3
    %
    
    
    4
    %
    
    
    23
    %
    
    
    100
    %Acquisition costs
    
    
    23
    %
    
    
    38
    %
    
    
    21
    %
    
    
    1
    %
    
    
    3
    %
    
    
    14
    %
    
    
    100
    %Other operating and administration expenses
    
    
    28
    %
    
    
    14
    %
    
    
    4
    %
    
    
    52
    %
    
    
    
    
    
    
    2
    %
    
    
    100
    %Interest expense
    
    
    99
    %
    
    
    1
    %
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    100
    %Balance sheetTotal invested assets
    
    
    40
    %
    
    
    25
    %
    
    
    29
    %
    
    
    2
    %
    
    
    1
    %
    
    
    3
    %
    
    
    100
    %Reinsurance assets
    
    
    54
    %
    
    
    6
    %
    
    
    37
    %
    
    
    2
    %
    
    
    
    
    
    
    1
    %
    
    
    100
    %Losses and loss expenses, gross
    
    
    34
    %
    
    
    24
    %
    
    
    34
    %
    
    
    1
    %
    
    
    1
    %
    
    
    6
    %
    
    
    100
    %Unearned premiums, gross
    
    
    33
    %
    
    
    14
    %
    
    
    42
    %
    
    
    1
    %
    
    
    1
    %
    
    
    9
    %
    
    
    100
    %Future life benefits, gross
    
    
    32
    %
    
    
    68
    %
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    100
    %Debt
    
    
    100
    %
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    100
    %
 
 ITEM 12. DESCRIPTION OF SECURITIES OTHER THAN EQUITY SECURITIES
  
 PART II
 
 ITEM 13. DEFAULTS, DIVIDEND ARREARAGES AND DELINQUENCIES
  
 ITEM 14. MATERIAL MODIFICATION TO THE RIGHTS OF SECURITY HOLDERS AND USE OF PROCEEDS
  
 ITEM 15. CONTROLS AND PROCEDURES
 Disclosure Controls and Procedures
  Managements Annual Report on Internal Control over Financial Reporting
   120




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##### Table of Contents



Internal
ControlIntegrated Framework
  Report of the Registered Public Accounting Firm
  Formerly Reported Material Weaknesses and Changes in Internal Control over Financial Reporting
          Whistleblower Procedure
  
 ITEM 16. [RESERVED]
 
 Item 16A. AUDIT COMMITTEE FINANCIAL EXPERT
  
 Item 16B. CODE OF ETHICS
    
 Item 16C. PRINCIPAL ACCOUNTANT FEES AND SERVICES
 121




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##### Table of Contents



Duration of the Mandate and Terms of Office of the Independent Auditors
  Policy on Pre-Approval and Non-Audit Services of Independent Auditors
   Independent Auditor Fees
  (USD thousands)
    
    2006
    
    
    Approved (1)
    
    
    2005Audit fees
    
    
    7,994
    
    
    
    100
    %
    
    
    11,130Audit-related fees
    
    
    398
    
    
    
    100
    %
    
    
    666Tax fees
    
    
    138
    
    
    
    100
    %
    
    
    96All other fees
    
    
    18
    
    
    
    100
    %
    
    
    105Total fees
    
    
    8,548
    
    
    
    100
    %
    
    
    11,997
 
 (1)
    
    Represents percentage of fees approved by the Audit Committee. Audit fees
 Audit-related fees
 Tax fees
 All other fees
 
 Item 16D. EXEMPTIONS FROM THE LISTING STANDARDS FOR AUDIT COMMITTEES
 122




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##### Table of Contents



Item 16E. PURCHASES OF EQUITY SECURITIES BY THE ISSUER AND AFFILIATED PURCHASERS
 Total Number of Shares
    
    Maximum Number ofPurchased as Part of
    
    Shares that May Yet BeTotal Number of
    
    
    
    
    
    Publicly
    
    Purchased Under PlansShares
    
    Average Price Paid
    
    Announced Plans or
    
    orPurchased
    

Per
Share in USD (1)
    
    Programs
    
    ProgramsJanuary (repurchase on January 12, 2006)
    
    
    100,000
    
    
    
    11.5540
    
    
    
    n/a
    
    
    
    n/aFebruary
(repurchases from February 1, 2006 through February 10, 2006)
    
    
    600,000
    
    
    
    10.7129
    
    
    
    n/a
    
    
    
    n/aApril
(repurchase on April 5, 2006)
    
    
    100,000
    
    
    
    11.8641
    
    
    
    n/a
    
    
    
    n/aNovember (repurchases
from November 13, 2006 through November 20, 2006)
    
    
    540,000
    
    
    
    13.3734
    
    
    
    n/a
    
    
    
    n/aTotal
    
    
    1,340,000
    
    
    
    12.4273
 
 (1)
    
    Converium does not have a formal repurchase plan or program
in place. From time to time, however, Converium purchases shares on the open market in order to satisfy its
obligation to deliver shares upon exercise held by employees of Converium. 
 PART III
 
 ITEM 17. FINANCIAL STATEMENTS
  
 ITEM 18. FINANCIAL STATEMENTS
  
 ITEM 19. EXHIBITS
 123




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##### Table of Contents



Exhibit Number
    
    Description1.1
    
    Articles of Incorporation of Converium Holding AG, adopted November 8, 2001.*1.2
    
    Bylaws of Converium Holding AG, adopted November 16, 2001, revised March 1, 2007.1.3
    
    Articles of Incorporation of Converium Holding AG, revised May 10, 20071.4
    
    Bylaws of Converium Holding AG, revised April 11, 2005.\2.1
    
    Form of Deposit Agreement among Converium Holding AG, The Bank of New York, as Depositary, and all owners
and beneficial owners from time to time of ADSs issued thereunder (including the form of ADS),
incorporated by reference from the Registration Statement on Form F-6 of Converium Holding AG (File No.
333-14108), initially filed with the Commission on November 19, 2001.*2.2
    
    Form of Indenture between Converium Finance, S.A., as Issuer, Converium AG and Converium Holding AG as
Guarantors and JPMorgan Chase Bank as Trustee, Calculation Agent and Paying Agent.+2.3
    
    Form of the USD 200,000,000 principal amount of 8.25% Guaranteed Subordinated Notes Due 2032 (included in
Exhibit 2.4 hereto).+2.4
    
    Subordinated Guarantee by Converium Holding AG and Converium AG relating to USD 200,000,000 principal
amount of 8.25% Guaranteed Subordinated Notes Due 2032. ^2.5
    
    Indenture, dated December 23, 2002 between Converium Finance S.A., Converium Holding AG, Converium AG and
JP Morgan Chase Bank, as trustee, relating to USD 200,000,000 principal amount of 8.25% Guaranteed
Subordinated Notes Due 2032. ^4.1
    
    Master Agreement by and among Zurich Financial Services and Converium Holding AG, dated December 1, 2001.*4.2
    
    Stock Purchase Agreement between Zurich Reinsurance Centre Holdings, Inc. and Converium Holdings (North
America) Inc., dated as of October 1, 2001.*4.3
    
    Agreement for the Sale and Transfer of Shares in Zürich Rückversicherung (Köln) Aktiengesellschaft, dated
September 28, 2001.*4.4
    
    Quota Share Retrocession Agreement between Zurich Insurance Company (including its Singapore, Labuan and
Bermuda branches) and Converium AG, dated October 1, 2001.*4.5
    
    Quota Share Retrocession Agreement between Zurich International (Bermuda) Ltd. and Converium AG, dated
October 1, (and effective as of July 1, 2001).*4.6
    
    Asset purchase and Assumption of Liability Agreement between Zurich Insurance Company and Converium AG,
dated September 28, 2001.*4.7
    
    Indemnity Agreement (Unicover) between Zurich Reinsurance (North America), Inc. and Zurich Insurance
Company, dated as of October 1, 2001.*4.8
    
    Indemnity Agreement (September 11th Cessions) between Zurich Reinsurance (North America), Inc. and Zurich
Insurance Company, dated as of October 1, 2001.*4.9
    
    Indemnity Agreement (September 11th Losses) between Zürich Rückversicherung (Köln) Aktiengesellschaft and
Zurich Insurance Company, dated as of October 1, 2001.*4.10
    
    Partial Commutation Agreement between Zurich Reinsurance (North America), Inc. and Zurich Insurance
Company, dated as of October 1, 2001.*4.11
    
    Master Novation and Indemnity Reinsurance Agreement among Zurich Reinsurance (North America), Inc.,
Centre Insurance Company, Centre Solutions (U.S.) Limited and Zurich Insurance Company, Bermuda Branch,
dated as of October 1, 2001.*4.12
    
    Group Reinsurance Business Master Novation and Indemnity Reinsurance Agreement by and among Zurich
 124




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##### Table of Contents



Exhibit Number
    
    DescriptionReinsurance (North America), Inc., Zurich Insurance Company and Zurich International (Bermuda) Ltd.,
dated as of October 1, 2001.*4.13
    
    Commutation Agreement (covering the Aggregate Excess of Loss Reinsurance Agreement effective January 1,
1991 through December 31, 1993) between Zurich Reinsurance (North America), Inc. and Centre Reinsurance
Limited, dated as of October 1, 2001.*4.14
    
    Commutation Agreement (covering the Aggregate Excess of Loss Reinsurance Agreement effective January 1,
1994 through December 31, 1994) between Zurich Reinsurance (North America), Inc. and Centre Reinsurance
International Company, dated as of October 1, 2001.*4.15
    
    Commutation Agreement (covering the Aggregate Excess of Loss Reinsurance Agreement effective January 1,
1995) between Zurich Reinsurance (North America), Inc. and Centre Reinsurance Limited, dated as of
October 1, 2001.*4.16
    
    Commutation Agreement (covering the Obligatory Surplus Share Reinsurance Agreement effective October 1,
1995) between Zurich Reinsurance (North America), Inc. and Centre Reinsurance Limited, dated as of
October 1, 2001.*4.17
    
    Commutation Agreement (covering the Obligatory Surplus Share Reinsurance Agreement effective November 6,
1992) between Zurich Reinsurance (North America), Inc. and Centre Reinsurance International Company,
dated as of October 1, 2001.*4.18
    
    Agreement Amending and Terminating Centre Reinsurance Dublin Affiliated Group Tax Allocation Agreement
among Orange Stone Delaware Holdings Limited, Orange Stone Reinsurance, Centre Reinsurance Holdings
(Delaware) Limited, Centre Reinsurance (U.S.) Limited, Zurich Reinsurance Centre Holdings, Inc., Zurich
Reinsurance (North America), Inc., ZC Insurance Company, ZC Specialty Insurance Company, Centre Risk
Advisors, Inc., Constellation Reinsurance Company, Centre Re Services, Inc., Zurich Global Assets LLC,
formerly known as BDA/US Services Limited, ZC Management Corporation, ZC Resource LLC, ZC Property
Management, Inc. and Claims Solutions Group, dated October 1, 2001.*4.19
    
    Catastrophe Cover Retrocession Agreement by and between Converium AG and Zurich Insurance Company, dated
December 1, 2001.*4.20
    
    Stock Purchase Agreement between Zurich Reinsurance (North America), Inc. and Centre Strategic
Investments Holdings Limited, dated August 23, 2001.*4.21
    
    Run-off Services and Management Agreement between Zurich Insurance Company and Converium AG, dated
December 3, 2001.*4.22
    
    Tax Sharing and Indemnification Agreement among Zurich Reinsurance Centre Holdings, Inc., Orange Stone
Delaware Holdings Limited, Converium Holdings (North America) Inc., Zurich Reinsurance (North America),
Inc. and Zurich Insurance Company, dated as of October 1, 2001. *4.23
    
    Tax Sharing and Indemnification Agreement between Zurich Financial Services, Zurich Insurance Company,
Converium Holding AG and Converium AG dated December 3, 2001. *4.24
    
    Form of Converium Standard Stock Option Plan for Non-US Employees. *4.25
    
    Form of Converium Standard Stock Purchase Plan for Non-US Employees. *4.26
    
    Omnibus Share Plan for US Employees. *4.27
    
    Converium Employee Stock Purchase Plan for US Subsidiaries.*4.28
    
    Form of Converium Annual Incentive Deferral Plan.*4.29
    
    Lease, between Zurich Insurance Company and Converium AG, dated August 29, 2001.*4.30
    
    Sublease Support Agreement among Zurich Reinsurance (North America), Inc., Global Asset Holdings Limited
and Centre Insurance Company, dated as of October 1, 2001.*4.31
    
    Sublease between ZC Resource LLC and Zurich Reinsurance (North America), Inc., dated as of June 20, 2001.*
 125




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##### Table of Contents



Exhibit Number
    
    Description4.32
    
    Form of Letter Agreement between Converium Holding AG and The Bank of New York, relating to the
pre-release of the ADRs, incorporated by reference from the Registration Statement on Form F-6 of
Converium Holding AG (File No. 333-14108), initially filed with the Commission on November 19, 2001.*4.33
    
    Agreement dated September 2, 2002, between Converium AG and MDU Investments Ltd, regarding subscription
of up to 20 million shares at £1 each. ^4.34
    
    Share Purchase Agreement dated November 27, 2002, between Converium AG and Northern States Agency Inc.,
Munich Re, Aviva and Royal and Sun Alliance regarding Global Aerospace Underwriting Managers Limited
(GAUM). ^4.35
    
    Shareholders Agreement dated March 12, 2003, between Converium AG and Northern States Agency Inc.,
Munich Re, Aviva and Royal and Sun Alliance regarding Global Aerospace Underwriting Managers Limited
(GAUM). ^4.36
    
    Sale and Purchase Agreement and Assignment between Converium AG and Converium Finance S.A. regarding the
transfer of a USD 150 million loan granted to Converium Holding AG. ^4.37
    
    Amendment to Share Purchase Agreement dated November 27, 2002 between Converium AG and Northern States
Agency Inc., Munich Re, Aviva and Royal Sun Alliance regarding Global Aerospace Underwriting Managers
Limited (GAUM). ^4.38
    
    Agreement dated December 30, 2003, for the sale and purchase of 5.1% of Royal and Sun Alliance Insurance
PLCs shareholding in Global Aerospace Underwriting Managers Limited (GAUM). #4.39
    
    Agreement dated July 24, 2003 USD 900,000,000 Credit Facility for Converium AG, Zurich arranged by ABN
Amro Bank N.V., Barclays Capital and Commerzbank Aktiengesellschaft. #4.40
    
    Agreement dated November 29, 2004, USD 1,600,000,000 Credit Facility for Converium AG, arranged by ABN
AMRO Bank N.V., Barclays Capital, BNP Paribas, Commerzbank Aktiengesellschaft, Credit Suisse First
Boston and J.P. Morgan. \4.41
    
    Deed of Pledge, dated December 15, 2004, Converium Rückversicherung (Deutschland) AG as the Pledgor and
ABN Amro Mellon Global Securities Services as the Account Bank and ABN Amro Bank N.V. as the Pledgee. \4.42
    
    Deed of Pledge, dated December 15, 2004, Converium AG, Zürich, as the Pledgor, and ABN Amro Bank N.V. as
the Pledgee and ABN Amro Mello Global Securities Services as the Account Bank. \4.43
    
    Guarantee, dated October 21, 2004 between Converium AG, Zürich as the Guarantor, and Converium Insurance
(UK) Limited. \4.44
    
    Guarantee, dated October 21, 2004 between Converium AG, Zürich as the Guarantor, and Converium
Rückversicherung (Deutschland) AG. \4.45
    
    Fronting and Administration Agreement relating to the Global Aerospace Underwriters Pool, dated January
7, 2005, between Global Aerospace Underwriting Managers Limited, Global Aerospace, Inc., Münchener
Rückversicherungs-Gesellschaft Aktiengesellschaft in München, National Indemnity Company and Converium
AG. \4.46
    
    Amendment No. 1 to the Quota Share Retrocession Agreement between Zurich Insurance Company (Including its
Bermuda Branch) and Converium AG, dated as of October 1, 2001 and effective as of July 1, 2001.4.47
    
    Stock Purchase Agreement by and between National Indemnity Company and Converium AG dated as of October
16, 2006.4.48
    
    Guarantee Request and Reimbursement Agreement between Converium AG, Zurich, Switzerland and Bayerische
Hypo- und Vereinsbank Aktiengesellschaft, Munich, Germany4.49
    
    Fronting and Administration Agreement relating to the Global Aerospace Underwriters Pool, dated December
22, 2006, between Global Aerospace Underwriting Managers Limited, Global Aerospace, Inc., Münchener
Rückversicherungs-Gesellschaft Aktiengesellschaft in München, National Indemnity Company and Converium
AG.4.50
    
    Standard Stock Purchase Plan of Converium Holding AG, Zug, Switzerland December 2006
 126




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##### Table of Contents



Exhibit Number
    
    Description4.51
    
    Standard Stock Option Plan of Converium Holding AG, Zug, Switzerland December 20064.52
    
    Transaction Agreement, dated as of
May 9, 2007, by and between Converium Holding AG and SCOR S.A.4.53
    
    Fronting and Administration Agreement relating to the Global Aerospace Underwriters Pool,
dated April 25, 2007, between Global Aerospace Underwriting Managers Limited, Global
Aerospace, Inc., Münchener Rückversicherungs-Gesellschaft Aktiengesellschaft in München,
National Indemnity Company and Converium AG.7.1
    
    Computation of ratio of earnings to fixed charges.8.1
    
    Subsidiaries of the Registrant.12.1
    
    302 Certification of Chief Executive Officer.12.2
    
    302 Certification of Chief Financial Officer.13.0
    
    906 Certification of Chief Executive Officer and Chief Financial Officer.
 
 *
    
    Incorporated by reference to the Companys Registration Statement filed on Form F-1, on
December 10, 2001.+
    
    Incorporated by reference to the Companys Registration Statement filed on Form F-1, on December 18, 2002.^
    
    Incorporated by reference to the Companys Annual Report on Form 20-F for the year ended December 31, 2002, filed on April
18, 2003.#
    
    Incorporated by reference to the Companys Annual Report on Form 20-F for the year ended December 31, 2003, filed on April
5, 2003.\
    
    Incorporated by reference to the Companys Annual Report on Form 20-F for the year ended December 31, 2004, filed on June
30, 2005. 127




---



##### 



CONVERIUM
INDEX TO CONSOLIDATED FINANCIAL STATEMENTS AND SCHEDULES
 PageReport of the Group Auditors
    
    F-2Consolidated
Statements of Income for the years ended December 31, 2006, 2005
and 2004
    
    F-3Consolidated
Balance Sheets as of December 31, 2006 and 2005
    
    F-4Consolidated
Statements of Cash Flows for the years ended December 31, 2006,
2005 and 2004
    
    F-6Consolidated
Statements of Changes in Shareholders Equity for the years
ended December 31, 2006, 2005 and 2004
    
    F-8Notes
to the Consolidated Financial Statements
    
    F-9Schedules
    
    S-1Report
of the Group Auditors on the Financial Statement Schedules
    
    S-1I Summary of Investments Other than Investments in Related Parties as of December 31, 2006 and 2005
    
    S-2II
Condensed Financial Information of the RegistrantStatements of Income for the years ended December 31, 2006, 2005 and 2004
    
    S-3Balance Sheets as of December 31, 2006 and 2005
    
    S-4Statements of Cash Flows for the years ended December 31, 2006, 2005 and 2004
    
    S-5IV Reinsurance for the years ended December 31, 2006, 2005 and 2004
    
    S-6
   F-1




---



##### Table of Contents



Report
of Independent Registered Public Accounting Firm
 To the
Board of Directors and Shareholders of Converium Holding AG, Zurich
  Consolidated
financial statements
      Internal
control over financial reporting
         
 F-2




---



##### Table of Contents



(USD million, except per share information)Year ended December 31
    
    Notes
    
    
    2006
    
    
    2005
    
    
    2004RevenuesGross premiums written
    
    
    
    
    
    
    1,980.9
    
    
    
    1,955.0
    
    
    
    3,492.2Less ceded premiums written
    
    
    
    
    
    
    128.9
    
    
    
    171.9
    
    
    
    236.3Net premiums written
    
    
    10
    
    
    
    1,852.0
    
    
    
    1,783.1
    
    
    
    3,255.9Net change in unearned premiums
    
    
    
    
    
    
    40.3
    
    
    
    471.7
    
    
    
    157.4Net premiums earned
    
    
    10
    
    
    
    1,811.7
    
    
    
    2,254.8
    
    
    
    3,098.5Net investment income
    
    
    6
    
    
    
    260.4
    
    
    
    257.8
    
    
    
    227.5Net realized capital gains (losses)
    
    
    6
    
    
    
    18.9
    
    
    
    31.3
    
    
    
    31.2Total revenues from continuing operations
    
    
    
    
    
    
    2,091.0
    
    
    
    2,543.9
    
    
    
    3,357.2Benefits, losses and expensesLosses, loss expenses and life benefits
    
    
    8,10
    
    
    
    1,187.8
    
    
    
    1,720.1
    
    
    
    2,395.0Acquisition costs
    
    
    10
    
    
    
    482.1
    
    
    
    537.4
    
    
    
    753.9Other operating and administration expenses
    
    
    
    
    
    
    148.6
    
    
    
    163.5
    
    
    
    153.8Other loss
    
    
    
    
    
    
    0.5
    
    
    
    21.9
    
    
    
    4.7Interest expense
    
    
    11
    
    
    
    16.7
    
    
    
    17.2
    
    
    
    18.7Amortization of intangible assets
    
    
    7
    
    
    
    
    
    
    
    21.5
    
    
    
    9.9Restructuring costs
    
    
    3
    
    
    
    0.2
    
    
    
    12.1
    
    
    
    0.2Total benefits, losses and expenses from continuing operations
    
    
    
    
    
    
    1,835.5
    
    
    
    2,493.7
    
    
    
    3,336.2Income from continuing operations before taxes
    
    
    
    
    
    
    255.5
    
    
    
    50.2
    
    
    
    21.0Income tax (expense) benefit
    
    
    12
    
    
    
    40.5
    
    
    
    16.1
    
    
    
    4.6Income from continuing operations
    
    
    
    
    
    
    215.0
    
    
    
    34.1
    
    
    
    25.6(Loss) income from discontinued operations, net of tax
    
    
    2
    
    
    
    157.9
    
    
    
    34.6
    
    
    
    608.1Net income (loss)
    
    
    
    
    
    
    57.1
    
    
    
    68.7
    
    
    
    582.5Basic earnings (loss) per share:from continuing operations
    
    
    23
    
    
    
    1.47
    
    
    
    0.23
    
    
    
    0.40from discontinued operations
    
    
    23
    
    
    
    1.08
    
    
    
    0.24
    
    
    
    9.59Total basic earnings (loss) per share
    
    
    23
    
    
    
    0.39
    
    
    
    0.47
    
    
    
    9.19Diluted earnings (loss) per share:from continuing operations
    
    
    23
    
    
    
    1.45
    
    
    
    0.23
    
    
    
    0.40from discontinued operations
    
    
    23
    
    
    
    1.07
    
    
    
    0.23
    
    
    
    9.49Total diluted earnings (loss) per share
    
    
    23
    
    
    
    0.38
    
    
    
    0.46
    
    
    
    9.09
  F-3




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##### Table of Contents



(USD million, except per share information)
    
    
    
    
    
    
    
    
    
    2005As of December 31
    
    Notes
    
    
    2006
    
    
    RestatedAssetsInvested assetsHeld-to-maturity securities:Fixed maturities
    
    
    6
    
    
    
    718.3
    
    
    
    793.6Available-for-sale securities:Fixed maturities
    
    
    6
    
    
    
    3,122.5
    
    
    
    4,169.8Equity securities
    
    
    6
    
    
    
    734.7
    
    
    
    362.6Other investments
    
    
    
    
    
    
    204.2
    
    
    
    253.1Short-term investments
    
    
    
    
    
    
    44.9
    
    
    
    35.1Total investments
    
    
    
    
    
    
    4,824.6
    
    
    
    5,614.2Funds Withheld Asset
    
    
    6
    
    
    
    940.7
    
    
    
    1,020.1Total invested assets
    
    
    
    
    
    
    5,765.3
    
    
    
    6,634.3Other assetsCash and cash equivalents
    
    
    
    
    
    
    633.1
    
    
    
    647.3Premiums receivable:Current
    
    
    
    
    
    
    114.5
    
    
    
    193.7Accrued
    
    
    
    
    
    
    766.4
    
    
    
    865.6Reserves for unearned premiums, retro
    
    
    
    
    
    
    31.1
    
    
    
    37.8Reinsurance assets:Underwriting reserves
    
    
    10
    
    
    
    647.2
    
    
    
    805.1Insurance and reinsurance balances receivable
    
    
    
    
    
    
    34.1
    
    
    
    37.6Funds held by reinsureds
    
    
    
    
    
    
    1,940.1
    
    
    
    1,817.4Deposit assets
    
    
    
    
    
    
    2.5
    
    
    
    183.4Deferred policy acquisition costs
    
    
    
    
    
    
    349.6
    
    
    
    304.3Deferred income taxes
    
    
    12
    
    
    
    5.6
    
    
    
    1.0Other assets
    
    
    7
    
    
    
    233.5
    
    
    
    298.4Total assets
    
    
    
    
    
    
    10,523.0
    
    
    
    11,825.9
 F-4




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##### Table of Contents



(USD million, except per share information)
    
    
    
    
    
    
    
    
    
    2005As of December 31
    
    Notes
    
    
    2006
    
    
    RestatedLiabilities and shareholders equityLiabilitiesReinsurance liabilitiesUnpaid losses and loss expenses
    
    
    8
    
    
    
    6,348.6
    
    
    
    7,568.9Future life benefits, gross
    
    
    10
    
    
    
    510.7
    
    
    
    405.6Insurance and reinsurance balances payable
    
    
    
    
    
    
    177.6
    
    
    
    226.3Reserves for unearned premiums, gross
    
    
    10
    
    
    
    682.3
    
    
    
    610.8Other reinsurance liabilities
    
    
    
    
    
    
    103.7
    
    
    
    127.8Funds held under reinsurance contracts
    
    
    
    
    
    
    167.3
    
    
    
    332.9Deposit liabilities
    
    
    
    
    
    
    250.2
    
    
    
    300.6Deferred income taxes
    
    
    12
    
    
    
    46.5
    
    
    
    8.1Accrued expenses and other liabilities
    
    
    
    
    
    
    196.0
    
    
    
    200.3Debt
    
    
    11
    
    
    
    194.1
    
    
    
    391.2Total liabilities
    
    
    
    
    
    
    8,677.0
    
    
    
    10,172.5Shareholders equityCommon stock CHF 5 nominal value, 146,689,462 and 146,689,462 shares issued,
respectively (146,154,559 and 146,473,231 shares outstanding, respectively)
    
    
    15
    
    
    
    554.9
    
    
    
    554.9Additional paid-in capital
    
    
    
    
    
    
    1,297.1
    
    
    
    1,295.6Treasury stock (534,903 and 216,231 shares, respectively)
    
    
    
    
    
    
    6.7
    
    
    
    1.5Unearned stock compensation
    
    
    14
    
    
    
    0.9
    
    
    
    3.5Total accumulated other comprehensive income:Pension liabilities, net of taxes
    
    
    13
    
    
    
    8.7
    
    
    
    4.9Net unrealized gains on investments, net of taxes
    
    
    6
    
    
    
    98.0
    
    
    
    42.7Cumulative translation adjustments, net of taxes
    
    
    4
    
    
    
    191.9
    
    
    
    96.9Total accumulated other comprehensive income
    
    
    
    
    
    
    281.2
    
    
    
    134.7Retained deficit
    
    
    
    
    
    
    281.4
    
    
    
    326.8Total shareholders equity
    
    
    
    
    
    
    1,846.0
    
    
    
    1,653.4Total liabilities and shareholders equity
    
    
    
    
    
    
    10,523.0
    
    
    
    11,825.9
  F-5




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##### Table of Contents



(USD million)Year ended December 31
    
    2006
    
    
    2005
    
    
    2004Cash flows from operating activitiesNet income (loss)
    
    
    57.1
    
    
    
    68.7
    
    
    
    582.5Adjustments forLoss on disposal of investment in subsidiaries
    
    
    190.1
    
    
    
    
    
    
    
    Net realized capital losses (gains) on investments
    
    
    18.3
    
    
    
    25.5
    
    
    
    46.5Amortization of premium/discount
    
    
    37.2
    
    
    
    50.7
    
    
    
    59.1Depreciation and amortization
    
    
    7.4
    
    
    
    39.6
    
    
    
    34.2Deferred tax, net
    
    
    30.2
    
    
    
    4.4
    
    
    
    189.0Other, net
    
    
    7.9
    
    
    
    
    
    
    
    Impairment of goodwill
    
    
    
    
    
    
    
    
    
    
    94.0Total adjustments
    
    
    254.5
    
    
    
    69.2
    
    
    
    329.8Changes in operational assets and liabilitiesPremiums receivable
    
    
    213.0
    
    
    
    567.3
    
    
    
    106.7Reserves for unearned premiums, retro
    
    
    10.8
    
    
    
    13.1
    
    
    
    54.1Reinsurance assets
    
    
    53.7
    
    
    
    200.2
    
    
    
    129.6Funds held by reinsureds
    
    
    84.4
    
    
    
    180.2
    
    
    
    332.9Funds Withheld Asset
    
    
    148.8
    
    
    
    197.5
    
    
    
    283.8Deferred policy acquisition costs
    
    
    14.8
    
    
    
    149.3
    
    
    
    80.8Unpaid losses and loss expenses
    
    
    621.6
    
    
    
    1,053.3
    
    
    
    716.6Future life benefits, gross
    
    
    71.8
    
    
    
    4.9
    
    
    
    41.2Insurance and reinsurance balances payable
    
    
    5.0
    
    
    
    104.8
    
    
    
    378.9Reserves for unearned premiums, gross
    
    
    15.5
    
    
    
    596.3
    
    
    
    224.4Other reinsurance liabilities
    
    
    25.6
    
    
    
    50.2
    
    
    
    94.3Funds held under reinsurance contracts
    
    
    152.3
    
    
    
    161.8
    
    
    
    5.0Income taxes, net
    
    
    1.8
    
    
    
    11.2
    
    
    
    44.6Changes in all other operational assets and liabilities
    
    
    19.3
    
    
    
    51.1
    
    
    
    193.3Total net change in all other operational assets and liabilities
    
    
    232.4
    
    
    
    537.8
    
    
    
    611.4Cash provided by (used in) operating activities
    
    
    79.2
    
    
    
    399.9
    
    
    
    358.7
 F-6




---



##### Table of Contents



(USD million)Year ended December 31
    
    2006
    
    
    2005
    
    
    2004Cash flows from investing activitiesPurchases of fixed maturities held-to-maturity
    
    
    
    
    
    
    4.7
    
    
    
    228.2Proceeds from sales and maturities of fixed maturities
    
    
    2,002.7
    
    
    
    4,301.4
    
    
    
    4,116.0Purchases of fixed maturities available-for-sale
    
    
    1,743.4
    
    
    
    4,063.6
    
    
    
    4,420.2Cash flows fixed maturities securities
    
    
    259.3
    
    
    
    233.1
    
    
    
    532.4Proceeds from sales of equity securities
    
    
    160.1
    
    
    
    186.7
    
    
    
    983.1Purchases of equity securities
    
    
    451.5
    
    
    
    125.8
    
    
    
    537.5Cash flows equity securities
    
    
    291.4
    
    
    
    60.9
    
    
    
    445.6Proceeds from disposal of investments in subsidiaries, net of cash
    
    
    273.8
    
    
    
    
    
    
    
    Net (increase) decrease in short-term investments
    
    
    13.7
    
    
    
    73.4
    
    
    
    55.3Proceeds from sales of other assets
    
    
    173.4
    
    
    
    52.8
    
    
    
    82.3Purchases of other assets
    
    
    57.0
    
    
    
    43.4
    
    
    
    144.0Net decrease (increase) in deposit assets
    
    
    133.0
    
    
    
    13.0
    
    
    
    111.6Cash flows from other investing activities
    
    
    263.1
    
    
    
    69.8
    
    
    
    228.6Net cash (used in) provided by investing activities
    
    
    42.8
    
    
    
    363.8
    
    
    
    315.4Cash flows from financing activitiesNet purchases of common shares
    
    
    3.7
    
    
    
    1.5
    
    
    
    6.0Dividends to shareholders
    
    
    11.7
    
    
    
    
    
    
    
    47.8Proceeds from Rights Offering
    
    
    
    
    
    
    
    
    
    
    428.4Rights Offering issuance costs
    
    
    
    
    
    
    
    
    
    
    25.1Net (decrease) increase in deposit liabilities
    
    
    76.2
    
    
    
    35.3
    
    
    
    1.7Net cash (used in) provided by financing activities
    
    
    91.6
    
    
    
    36.8
    
    
    
    347.8Effect of exchange rate changes on cash and cash equivalents
    
    
    41.0
    
    
    
    39.3
    
    
    
    9.0Change in cash and cash equivalents
    
    
    14.2
    
    
    
    33.6
    
    
    
    400.1Cash and cash equivalents as of January 1
    
    
    647.3
    
    
    
    680.9
    
    
    
    280.8Cash and cash equivalents as of December 31
    
    
    633.1
    
    
    
    647.3
    
    
    
    680.9
  F-7




---



##### Table of Contents



AccumulatedAdditional
    
    
    
    
    
    
    Unearned
    
    
    other
    
    
    RetainedCommon
    
    
    paid-in
    
    
    Treasury
    
    
    stock
    
    
    comprehensive
    
    
    deficit /
    
    
    Total(USD million)
    
    stock
    
    
    capital
    
    
    stock
    
    
    compensation
    
    
    income
    
    
    surplus
    
    
    equityBalance, December 31, 2003 as reported
    
    
    253.0
    
    
    
    1,256.6
    
    
    
    10.0
    
    
    
    6.1
    
    
    
    254.4
    
    
    
    180.1
    
    
    
    1,928.0Restatement adjustment (see Note 1)
    
    
    
    
    
    
    58.6
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    58.6
    
    
    
    Balance, December 31, 2003 as restated
    
    
    253.0
    
    
    
    1,198.0
    
    
    
    10.0
    
    
    
    6.1
    
    
    
    254.4
    
    
    
    238.7
    
    
    
    1,928.0Net loss
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    582.5
    
    
    
    582.5Change in minimum pension liability,
net of taxes
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    6.5
    
    
    
    
    
    
    
    6.5Change in net unrealized gains (losses)
on investments, net of taxes
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    40.6
    
    
    
    
    
    
    
    40.6Translation adjustments
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    81.4
    
    
    
    
    
    
    
    81.4Other comprehensive income
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    34.3
    
    
    
    
    
    
    
    34.3Total comprehensive income (loss)
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    34.3
    
    
    
    582.5
    
    
    
    548.2Dividends to shareholders
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    47.8
    
    
    
    47.8Transfer to general legal reserve
    
    
    
    
    
    
    3.9
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    3.9
    
    
    
    Purchases of common shares
    
    
    
    
    
    
    
    
    
    
    6.0
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    6.0Releases of common shares from treasury
    
    
    
    
    
    
    8.2
    
    
    
    8.3
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    0.1Net amortization of stock compensation
    
    
    
    
    
    
    11.0
    
    
    
    
    
    
    
    1.4
    
    
    
    
    
    
    
    
    
    
    
    9.6Increase in capital due to rights offering
    
    
    428.4
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    428.4Decrease of nominal value
    
    
    126.5
    
    
    
    126.5
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    Rights offering issuance costs
    
    
    
    
    
    
    29.3
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    29.3Balance, December 31, 2004
    
    
    554.9
    
    
    
    1,301.9
    
    
    
    7.7
    
    
    
    7.5
    
    
    
    288.7
    
    
    
    395.5
    
    
    
    1,734.8Net income
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    68.7
    
    
    
    68.7Change in minimum pension liability
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    2.8
    
    
    
    
    
    
    
    2.8Change in net unrealized gains (losses)
on investments, net of taxes
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    62.5
    
    
    
    
    
    
    
    62.5Translation adjustments
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    94.3
    
    
    
    
    
    
    
    94.3Other comprehensive loss
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    154.0
    
    
    
    
    
    
    
    154.0Total comprehensive (loss) income
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    154.0
    
    
    
    68.7
    
    
    
    85.3Purchases of common shares
    
    
    
    
    
    
    
    
    
    
    1.5
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    1.5Releases of common shares from treasury
    
    
    
    
    
    
    7.7
    
    
    
    7.7
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    Net amortization of stock compensation
    
    
    
    
    
    
    1.4
    
    
    
    
    
    
    
    4.0
    
    
    
    
    
    
    
    
    
    
    
    5.4Balance, December 31, 2005
    
    
    554.9
    
    
    
    1,295.6
    
    
    
    1.5
    
    
    
    3.5
    
    
    
    134.7
    
    
    
    326.8
    
    
    
    1,653.4Net income
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    57.1
    
    
    
    57.1Change in minimum pension liability,
net of taxes
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    1.1
    
    
    
    
    
    
    
    1.1Change in net unrealized gains (losses)
on investments, net of taxes
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    55.3
    
    
    
    
    
    
    
    55.3Translation adjustments
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    95.0
    
    
    
    
    
    
    
    95.0Other comprehensive income
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    151.4
    
    
    
    
    
    
    
    151.4Total comprehensive income
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    151.4
    
    
    
    57.1
    
    
    
    208.5Recognition impact of SFAS 158, net of tax
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    4.9
    
    
    
    
    
    
    
    4.9Dividends to shareholders
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    11.7
    
    
    
    11.7Purchases of common shares
    
    
    
    
    
    
    
    
    
    
    16.1
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    16.1Releases of common shares from treasury
    
    
    
    
    
    
    10.9
    
    
    
    10.9
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    Stock compensation, net
    
    
    
    
    
    
    12.4
    
    
    
    
    
    
    
    4.4
    
    
    
    
    
    
    
    
    
    
    
    16.8Balance, December 31, 2006
    
    
    554.9
    
    
    
    1,297.1
    
    
    
    6.7
    
    
    
    0.9
    
    
    
    281.2
    
    
    
    281.4
    
    
    
    1,846.0
  F-8




---



##### Table of Contents



Schedule of segment data
 Standard Property &
    
    
    
    
    
    Total(USD million)
    
    Casualty Reinsurance
    
    
    Specialty Lines
    
    
    Non-life consolidatedYear ended December 31
    
    2006
    
    
    2005
    
    
    2004
    
    
    2006
    
    
    2005
    
    
    2004
    
    
    2006
    
    
    2005
    
    
    2004Gross premiums written
    
    
    890.6
    
    
    
    803.1
    
    
    
    1,509.0
    
    
    
    777.0
    
    
    
    833.1
    
    
    
    1,655.3
    
    
    
    1,667.6
    
    
    
    1,636.2
    
    
    
    3,164.3Less ceded premiums written
    
    
    73.7
    
    
    
    64.1
    
    
    
    131.6
    
    
    
    47.6
    
    
    
    95.4
    
    
    
    90.0
    
    
    
    121.3
    
    
    
    159.5
    
    
    
    221.6Net premiums written
    
    
    816.9
    
    
    
    739.0
    
    
    
    1,377.4
    
    
    
    729.4
    
    
    
    737.7
    
    
    
    1,565.3
    
    
    
    1,546.3
    
    
    
    1,476.7
    
    
    
    2,942.7Net change in unearned premiums
    
    
    41.3
    
    
    
    141.8
    
    
    
    14.8
    
    
    
    5.7
    
    
    
    321.5
    
    
    
    177.7
    
    
    
    47.0
    
    
    
    463.3
    
    
    
    162.9Net premiums earned
    
    
    775.6
    
    
    
    880.8
    
    
    
    1,392.2
    
    
    
    723.7
    
    
    
    1,059.2
    
    
    
    1,387.6
    
    
    
    1,499.3
    
    
    
    1,940.0
    
    
    
    2,779.8Total investment results
    
    
    109.6
    
    
    
    119.9
    
    
    
    104.4
    
    
    
    140.5
    
    
    
    140.5
    
    
    
    135.1
    
    
    
    250.1
    
    
    
    260.4
    
    
    
    239.5Revenues
    
    
    885.2
    
    
    
    1,000.7
    
    
    
    1,496.6
    
    
    
    864.2
    
    
    
    1,199.7
    
    
    
    1,522.7
    
    
    
    1,749.4
    
    
    
    2,200.4
    
    
    
    3,019.3Losses, loss expenses and life benefits
    
    
    441.1
    
    
    
    729.6
    
    
    
    1,003.0
    
    
    
    534.3
    
    
    
    772.5
    
    
    
    1,154.7
    
    
    
    975.4
    
    
    
    1,502.1
    
    
    
    2,157.7Acquisition costs
    
    
    195.6
    
    
    
    181.3
    
    
    
    353.3
    
    
    
    192.4
    
    
    
    263.8
    
    
    
    328.1
    
    
    
    388.0
    
    
    
    445.1
    
    
    
    681.4Other operating and administration expenses
    
    
    43.9
    
    
    
    43.9
    
    
    
    52.0
    
    
    
    38.6
    
    
    
    54.5
    
    
    
    53.3
    
    
    
    82.5
    
    
    
    98.4
    
    
    
    105.3Benefits, losses and expenses
    
    
    680.6
    
    
    
    954.8
    
    
    
    1,408.3
    
    
    
    765.3
    
    
    
    1,090.8
    
    
    
    1,536.1
    
    
    
    1,445.9
    
    
    
    2,045.6
    
    
    
    2,944.4Segment income (loss)
    
    
    204.6
    
    
    
    45.9
    
    
    
    88.3
    
    
    
    98.9
    
    
    
    108.9
    
    
    
    13.4
    
    
    
    303.5
    
    
    
    154.8
    
    
    
    74.9Other lossInterest expenseAmortization of intangible assetsRestructuring costsIncome from continuing operations before taxesIncome tax (expense) benefitIncome from continuing operations(Loss) income from discontinued operations, net of taxNet income (loss)As of December 31Reinsurance assets  underwriting reserves
    
    
    282.2
    
    
    
    265.7
    
    
    
    201.1
    
    
    
    299.5
    
    
    
    323.5
    
    
    
    312.7
    
    
    
    581.7
    
    
    
    589.2
    
    
    
    513.8Losses and loss expenses, gross
    
    
    2,565.5
    
    
    
    2,441.7
    
    
    
    2,881.4
    
    
    
    3,498.3
    
    
    
    3,371.7
    
    
    
    3,193.8
    
    
    
    6,063.8
    
    
    
    5,813.4
    
    
    
    6,075.2Future life benefits, gross
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    RatiosLoss ratio (Losses divided by net premiums earned)
    
    
    56.9
    %
    
    
    82.8
    %
    
    
    72.0
    %
    
    
    73.8
    %
    
    
    72.9
    %
    
    
    83.2
    %
    
    
    65.1
    %
    
    
    77.4
    %
    
    
    77.6
    %Acquisition costs ratio (Aquisition costs divided
by net premiums earned)
    
    
    25.2
    %
    
    
    20.6
    %
    
    
    25.4
    %
    
    
    26.6
    %
    
    
    24.9
    %
    
    
    23.6
    %
    
    
    25.9
    %
    
    
    22.9
    %
    
    
    24.5
    %Administration expense ratio (Other operating and
administration expenses divided by net premiums written)
    
    
    5.4
    %
    
    
    5.9
    %
    
    
    3.8
    %
    
    
    5.3
    %
    
    
    7.4
    %
    
    
    3.4
    %
    
    
    5.3
    %
    
    
    6.7
    %
    
    
    3.6
    %Combined ratio (Sum of the loss, underwriting expense
and administration expense ratios)
    
    
    87.5
    %
    
    
    109.3
    %
    
    
    101.2
    %
    
    
    105.7
    %
    
    
    105.2
    %
    
    
    110.2
    %
    
    
    96.3
    %
    
    
    107.0
    %
    
    
    105.7
    %
 
 1

    not included in the totals are USD 154.4 million and USD 384.7 million reflecting
discontinued operations for the year ended December 31, 2005 and 2004, respectively2

    not included in the totals are USD 1,464.1 million and USD 2,560.8 million reflecting
discontinued operations for the year ended December 31, 2005 and 2004, respectively F-9




---



##### Table of Contents



(USD million)
    
    Life & Health Reinsurance
    
    
    Corporate Center
    
    
    Total consolidatedYear ended December 31
    
    2006
    
    
    2005
    
    
    2004
    
    
    2006
    
    
    2005
    
    
    2004
    
    
    2006
    
    
    2005
    
    
    2004Gross premiums written
    
    
    313.3
    
    
    
    318.8
    
    
    
    327.9
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    1,980.9
    
    
    
    1,955.0
    
    
    
    3,492.2Less ceded premiums written
    
    
    7.6
    
    
    
    12.4
    
    
    
    14.7
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    128.9
    
    
    
    171.9
    
    
    
    236.3Net premiums written
    
    
    305.7
    
    
    
    306.4
    
    
    
    313.2
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    1,852.0
    
    
    
    1,783.1
    
    
    
    3,255.9Net change in unearned premiums
    
    
    6.7
    
    
    
    8.4
    
    
    
    5.5
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    40.3
    
    
    
    471.7
    
    
    
    157.4Net premiums earned
    
    
    312.4
    
    
    
    314.8
    
    
    
    318.7
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    1,811.7
    
    
    
    2,254.8
    
    
    
    3,098.5Total investment results
    
    
    29.2
    
    
    
    28.7
    
    
    
    19.2
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    279.3
    
    
    
    289.1
    
    
    
    258.7Revenues
    
    
    341.6
    
    
    
    343.5
    
    
    
    337.9
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    2,091.0
    
    
    
    2,543.9
    
    
    
    3,357.2Losses, loss expenses and life benefits
    
    
    212.4
    
    
    
    218.0
    
    
    
    237.3
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    1,187.8
    
    
    
    1,720.1
    
    
    
    2,395.0Acquisition costs
    
    
    94.1
    
    
    
    92.3
    
    
    
    72.5
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    482.1
    
    
    
    537.4
    
    
    
    753.9Other operating and administrationexpenses
    
    
    11.6
    
    
    
    15.6
    
    
    
    11.7
    
    
    
    54.5
    
    
    
    49.5
    
    
    
    36.8
    
    
    
    148.6
    
    
    
    163.5
    
    
    
    153.8Benefits, losses and expenses
    
    
    318.1
    
    
    
    325.9
    
    
    
    321.5
    
    
    
    54.5
    
    
    
    49.5
    
    
    
    36.8
    
    
    
    1,818.5
    
    
    
    2,421.0
    
    
    
    3,302.7Segment income (loss)
    
    
    23.5
    
    
    
    17.6
    
    
    
    16.4
    
    
    
    54.5
    
    
    
    49.5
    
    
    
    36.8
    
    
    
    272.5
    
    
    
    122.9
    
    
    
    54.5Other loss
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    0.5
    
    
    
    21.9
    
    
    
    4.7Interest expense
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    16.7
    
    
    
    17.2
    
    
    
    18.7Amortization of intangible assets
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    21.5
    
    
    
    9.9Restructuring costs
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    0.2
    
    
    
    12.1
    
    
    
    0.2Income from continuing operationsbefore taxes
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    255.5
    
    
    
    50.2
    
    
    
    21.0Income tax (expense) benefit
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    40.5
    
    
    
    16.1
    
    
    
    4.6Income from continuing operations
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    215.0
    
    
    
    34.1
    
    
    
    25.6(Loss) income from discontinuedoperations, net of tax
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    157.9
    
    
    
    34.6
    
    
    
    608.1Net income (loss)
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    57.1
    
    
    
    68.7
    
    
    
    582.5As of December 31Reinsurance assets  underwritingreserves
    
    
    65.5
    
    
    
    61.5
    
    
    
    39.4
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    647.2
    
    
    
    650.7
    1
    
    
    553.2
    1Losses and loss expenses, gross
    
    
    284.8
    
    
    
    291.4
    
    
    
    272.3
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    6,348.6
    
    
    
    6,104.8
    2
    
    
    6,347.5
    2Future life benefits, gross
    
    
    510.7
    
    
    
    405.6
    
    
    
    407.1
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    510.7
    
    
    
    405.6
    
    
    
    407.1RatiosLoss ratio (Losses divided by netpremiums earned)Acquisition costs ratio (Acquisition costsdivided by net premiums earned)
    
    
    30.1
    %
    
    
    29.3
    %
    
    
    22.7
    %Administration expense ratio (Otheroperating and
administrationexpenses divided by net premiumswritten)
    
    
    3.8
    %
    
    
    5.1
    %
    
    
    3.7
    %Combined ratio (Sum of the loss,underwriting expense
andadministration expense ratios)
 F-10




---



##### Table of Contents



1. Basis of preparation and significant accounting policies
 (a) Basis of preparation
    Discontinued operations
  Restatement
  Segment presentation
   (b) Use of estimates
   (c) Foreign currency
   (d) Non-life insurance and reinsurance
 Premiums:
 F-11




---



##### Table of Contents



Deferred policy acquisition costs:
 Losses:
  Deferred charges reinsurance assumed:
 Participations at Lloyds:
 (e) Life
reinsurance
 Recognition of reinsurance revenue and related expenses:
 Deferred policy acquisition costs:
 F-12




---



##### Table of Contents



Future life benefits reserves and contract deposits:
 (f) Retrocessions
   (g) Deposit
accounting transactions
  (h) Invested
assets
     F-13




---



##### Table of Contents



(i) Other-than-temporary
impairments
      (j) Derivative
instruments
   Accounting for
Derivative Instruments and Hedging Activities.
 F-14




---



##### Table of Contents



(k) Obligation
to repurchase securities
  (l) Cash and cash equivalents
  (m) Fixed assets
  (n) Goodwill and intangible assets
  (o) Recognition and measurement of long-lived assets
  (p) Income taxes
  Accounting for Income
Taxes (SFAS No.109)
 Accounting for Income Taxes  Special Areas
 F-15




---



##### Table of Contents



Accounting for Contingencies .
 (q) Employee benefits
  SFAS 158
Employers Accounting for Defined Benefit Pension and
Other Post Retirement Plans  (SFAS 158).
  (r) Stock option accounting
 Share-Based Payment 
 (s) Restructuring costs
  (t) Contingencies
 Accounting for
Contingencies,
 (u) New accounting pronouncements
  SFAS 155, Accounting for Certain Hybrid Instruments
  SFAS 157 Fair Value Measurements
   SFAS 159, The Fair Value Option for Financial Assets
and Financial Liabilities 
  F-16




---



##### Table of Contents



FASB Interpretation No. FIN 48, Accounting for
 Uncertainty in Income Taxes  an interpretation of
FASB Statement No.109
 Accounting for Income Taxes.
 FASB Staff Position (FSP) FAS 123(R)-5 Amendment
of FASB Staff Position SFAS 123(R)-1
  FASB Staff Position (FSP) FIN 46(R)-6 Determining
the Variability to be Considered in Applying FASB
Interpretation No. 46(R)
  SEC Staff Accounting Bulletin 108 (SAB 108) Considering the Effects of Prior Year Misstatements
when Qualifying Misstatements in Current Year
Financial Statements
  2. Discontinued operations
     F-17




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##### Table of Contents



Table 2.1
  Year ended December 31
    
    2006
    
    
    2005
    
    
    2004Income (loss) from operations of discontinued business
    
    
    32.2
    
    
    
    34.6
    
    
    
    608.1Loss on sale
    
    
    190.1
    
    
    
    
    
    
    
    (Loss) income from discontinued operations, net of tax
    
    
    157.9
    
    
    
    34.6
    
    
    
    608.1
  Table 2.2
  Year ended December 31
    
    2006Total consideration
    
    
    295.0Assumed Senior Note debt
    
    
    200.0Proceeds from sale received in cash
    
    
    95.0Interest receivable on Senior Note
    
    
    21.0Carrying value of North American operations
    
    
    51.2Transaction cost, and other items
    
    
    11.0Loss on sale of surplus note, including interest
    
    
    183.3Loss before realization of other comprehensive income (OCI) positions,
including taxes
    
    
    171.5Realization of OCI items (foreign exchange, net unrealized losses on
available-for-sale securities)
    
    
    2.6Tax impact, net (OCI)
    
    
    16.0Loss on sale
    
    
    190.1
  Table 2.3
  Year ended December 31
    
    2006
    
    
    2005
    
    
    2004Total revenue
    
    
    69.6
    
    
    
    198.2
    
    
    
    880.7Total expenses
    
    
    37.2
    
    
    
    164.1
    
    
    
    1,282.9Income (loss) before taxes from discontinued operations
    
    
    32.4
    
    
    
    34.1
    
    
    
    402.2Income tax (expense) benefit
    
    
    0.2
    
    
    
    0.5
    
    
    
    205.9Income (loss) from operations of discontinued business
    
    
    32.2
    
    
    
    34.6
    
    
    
    608.1
 F-18




---



##### Table of Contents



3. Restructuring costs
  4. Foreign currency translation and transactions
  Table 4.1
 Exchange rates against USD
    
    Balance Sheets
    
    
    Statements of income (loss)2006
    
    
    2005
    
    
    2006
    
    
    2005
    
    
    2004UK pound
    
    
    1.9579
    
    
    
    1.7167
    
    
    
    1.8436
    
    
    
    1.8195
    
    
    
    1.8324Euro
    
    
    1.3198
    
    
    
    1.1795
    
    
    
    1.2564
    
    
    
    1.2446
    
    
    
    1.2439100 Japanese yen
    
    
    0.8399
    
    
    
    0.8472
    
    
    
    0.8601
    
    
    
    0.9099
    
    
    
    0.9254Swiss franc
    
    
    0.8205
    
    
    
    0.7587
    
    
    
    0.7986
    
    
    
    0.8038
    
    
    
    0.8059
 5. Segment information
   Standard Property & Casualty Reinsurance:
 Specialty Lines:
 Life & Health Reinsurance:
   F-19




---



##### Table of Contents



Table 5.1
 Net premiums written by line of business
 (USD million)Year ended December 31
    
    2006
    
    
    2005
    
    
    2004Standard Property & Casualty ReinsuranceGeneral Third Party Liability
    
    
    229.7
    
    
    
    146.7
    
    
    
    379.1Motor
    
    
    143.1
    
    
    
    188.4
    
    
    
    437.4Personal Accident (assumed from non-life insurers)
    
    
    12.4
    
    
    
    13.3
    
    
    
    34.5Property
    
    
    431.7
    
    
    
    390.6
    
    
    
    526.4Total Standard Property & Casualty Reinsurance
    
    
    816.9
    
    
    
    739.0
    
    
    
    1,377.4Specialty LinesAgribusiness
    
    
    37.1
    
    
    
    36.7
    
    
    
    11.4Aviation & Space
    
    
    237.1
    
    
    
    241.8
    
    
    
    404.5Credit & Surety
    
    
    42.2
    
    
    
    58.4
    
    
    
    204.3Engineering
    
    
    61.7
    
    
    
    65.5
    
    
    
    112.2Marine & Energy
    
    
    58.1
    
    
    
    64.0
    
    
    
    82.5Professional Liability and other Special Liability
    
    
    297.6
    
    
    
    282.8
    
    
    
    436.5Workers Compensation
    
    
    4.4
    
    
    
    11.5
    
    
    
    313.9Total Specialty Lines
    
    
    729.4
    
    
    
    737.7
    
    
    
    1,565.3Total non-life reinsurance
    
    
    1,546.3
    
    
    
    1,476.7
    
    
    
    2,942.7Life & Health ReinsuranceLife & Disability
    
    
    247.5
    
    
    
    235.2
    
    
    
    234.9Accident & Health
    
    
    58.2
    
    
    
    71.2
    
    
    
    78.3Total Life & Health Reinsurance
    
    
    305.7
    
    
    
    306.4
    
    
    
    313.2Total
    
    
    1,852.0
    
    
    
    1,783.1
    
    
    
    3,255.9
  Table 5.2
Gross premiums written by geographic area of ceding company
 (USD million)Year ended December 31
    
    2006
    
    
    2005
    
    
    2004United Kingdom 1
    
    
    539.3
    
    
    
    481.2
    
    
    
    1,156.9Germany
    
    
    399.9
    
    
    
    395.1
    
    
    
    389.6France
    
    
    71.1
    
    
    
    86.1
    
    
    
    158.2Italy
    
    
    87.5
    
    
    
    107.1
    
    
    
    162.3Rest of Europe
    
    
    298.2
    
    
    
    251.1
    
    
    
    379.7Far East
    
    
    120.5
    
    
    
    132.1
    
    
    
    238.5Near and Middle East
    
    
    132.2
    
    
    
    103.1
    
    
    
    124.3North America
    
    
    235.7
    
    
    
    306.7
    
    
    
    752.7Central and South America
    
    
    96.5
    
    
    
    92.5
    
    
    
    130.0Total
    
    
    1,980.9
    
    
    
    1,955.0
    
    
    
    3,492.2
  1
    
    Premiums from the United Kingdom include business assumed through GAUM and Lloyds
syndicates for such lines of business as Aviation & Space as well as marine, where the
exposures are worldwide in nature. Therefore, geographic location of the ceding company
may not necessarily be indicative of the location of risk. F-20




---



##### Table of Contents



6. Invested assets and investment income
 Table 6.1
Net investment income
 (USD million)Year ended December 31
    
    2006
    
    
    2005
    
    
    2004Investment incomeFixed maturities
    
    
    152.5
    
    
    
    153.8
    
    
    
    112.9Equity securities
    
    
    5.6
    
    
    
    5.8
    
    
    
    13.2Short-term investments and cash and cash equivalents
    
    
    28.6
    
    
    
    11.6
    
    
    
    7.1Real estate
    
    
    6.7
    
    
    
    8.4
    
    
    
    9.4Other investments
    
    
    25.2
    
    
    
    24.7
    
    
    
    20.3Funds Withheld Asset
    
    
    52.1
    
    
    
    62.6
    
    
    
    75.1Total investment income
    
    
    270.7
    
    
    
    266.9
    
    
    
    238.0Investment expenses
    
    
    8.2
    
    
    
    6.9
    
    
    
    8.8Real estate expenses
    
    
    2.1
    
    
    
    2.2
    
    
    
    1.7Net investment income
    
    
    260.4
    
    
    
    257.8
    
    
    
    227.5
  Table 6.2
Net realized capital gains (losses)
 (USD million)Year ended December 31
    
    2006
    
    
    2005
    
    
    2004Fixed maturities:Realized capital gains
    
    
    4.1
    
    
    
    6.7
    
    
    
    11.5Realized capital losses
    
    
    14.4
    
    
    
    11.5
    
    
    
    9.5Equity securities:Realized capital gains
    
    
    24.3
    
    
    
    44.8
    
    
    
    43.7Realized capital losses
    
    
    0.1
    
    
    
    2.0
    
    
    
    6.0Write-down of impaired investments
    
    
    11.7
    
    
    
    9.2
    
    
    
    6.2Other
    
    
    16.7
    
    
    
    2.5
    
    
    
    2.3Net realized capital gains (losses)
    
    
    18.9
    
    
    
    31.3
    
    
    
    31.2
    F-21




---



##### Table of Contents



Table 6.3
Unrealized investment gains (losses) (included in other comprehensive income)
 Net change for the yearyear ended December 31
    
    
    Total as of December 31(USD million)
    
    2006
    
    
    2005
    
    
    2004
    
    
    2006
    
    
    2005Fixed maturities held-to-maturity
    
    
    2.5
    
    
    
    3.0
    
    
    
    4.3
    
    
    
    4.3
    
    
    
    6.8Fixed maturities available-for-sale
    
    
    21.8
    
    
    
    46.5
    
    
    
    0.9
    
    
    
    41.6
    
    
    
    19.8Equity securities available-for-sale
    
    
    45.2
    
    
    
    4.6
    
    
    
    24.2
    
    
    
    120.1
    
    
    
    74.9Hedge funds and others
    
    
    14.7
    
    
    
    6.5
    
    
    
    2.5
    
    
    
    23.7
    
    
    
    9.0Less amounts of net unrealized investment gains
(losses) attributable to:Net deferred income taxes
    
    
    19.7
    
    
    
    24.1
    
    
    
    15.3
    
    
    
    8.5
    
    
    
    28.2Total
    
    
    55.3
    
    
    
    62.5
    
    
    
    40.4
    
    
    
    98.0
    
    
    
    42.7
 Table 6.4
Investments in fixed maturities and equity securities
 Cost or
    
    
    Gross
    
    
    Gross
    
    
    Estimated(USD million)
    
    amortized cost
    
    
    unrealized gains
    
    
    unrealized losses
    
    
    fair valueYear ended December 31
    
    2006
    
    
    2005
    
    
    2006
    
    
    2005
    
    
    2006
    
    
    2005
    
    
    2006
    
    
    2005Held-to-maturityFixed maturities:US government
    
    
    288.5
    
    
    
    389.1
    
    
    
    17.1
    
    
    
    
    
    
    
    11.5
    
    
    
    16.7
    
    
    
    294.1
    
    
    
    372.4Other governments
    
    
    14.6
    
    
    
    13.1
    
    
    
    
    
    
    
    0.7
    
    
    
    
    
    
    
    
    
    
    
    14.6
    
    
    
    13.8Newly invested:US government
    
    
    167.9
    
    
    
    169.1
    
    
    
    
    
    
    
    
    
    
    
    22.6
    
    
    
    3.1
    
    
    
    145.3
    
    
    
    166.0Other governments
    
    
    247.3
    
    
    
    222.3
    
    
    
    0.1
    
    
    
    4.3
    
    
    
    2.1
    
    
    
    
    
    
    
    245.3
    
    
    
    226.6Total held-to-maturity
    
    
    718.3
    
    
    
    793.6
    
    
    
    17.2
    
    
    
    5.0
    
    
    
    36.2
    
    
    
    19.8
    
    
    
    699.3
    
    
    
    778.8Available-for-saleFixed maturities:US government
    
    
    852.1
    
    
    
    1,166.3
    
    
    
    0.4
    
    
    
    2.9
    
    
    
    12.3
    
    
    
    21.5
    
    
    
    840.2
    
    
    
    1,147.7Other governments
    
    
    1,548.0
    
    
    
    1,566.6
    
    
    
    0.7
    
    
    
    14.6
    
    
    
    16.8
    
    
    
    6.0
    
    
    
    1,531.9
    
    
    
    1,575.2Corporate and other debt securities
    
    
    757.7
    
    
    
    888.6
    
    
    
    1.3
    
    
    
    6.4
    
    
    
    14.8
    
    
    
    9.5
    
    
    
    744.2
    
    
    
    885.5Mortgage and asset-backed securities
    
    
    6.3
    
    
    
    568.1
    
    
    
    
    
    
    
    0.3
    
    
    
    0.1
    
    
    
    7.0
    
    
    
    6.2
    
    
    
    561.4Total
    
    
    3,164.1
    
    
    
    4,189.6
    
    
    
    2.4
    
    
    
    24.2
    
    
    
    44.0
    
    
    
    44.0
    
    
    
    3,122.5
    
    
    
    4,169.8Equity securities
    
    
    614.6
    
    
    
    287.7
    
    
    
    121.8
    
    
    
    76.0
    
    
    
    1.7
    
    
    
    1.1
    
    
    
    734.7
    
    
    
    362.6Total available-for-sale
    
    
    3,778.7
    
    
    
    4,477.3
    
    
    
    124.2
    
    
    
    100.2
    
    
    
    45.7
    
    
    
    45.1
    
    
    
    3,857.2
    
    
    
    4,532.4
 F-22




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##### Table of Contents



Table 6.5
Maturities of unrealized investment losses on fixed maturities and equity securities
 Gross unrealized lossesTotal gross(USD million)
    
    Estimated fair
    
    
    Less than
    
    
    Greater
    
    
    unrealizedAs of December 31
    
    value
    
    
    one year
    
    
    than one year
    
    
    lossesHeld-to-maturityFixed maturities
    
    
    620.2
    
    
    
    34.7
    
    
    
    1.5
    
    
    
    36.2Available-for-saleFixed maturities
    
    
    2,916.5
    
    
    
    23.1
    
    
    
    20.9
    
    
    
    44.0Equity securities
    
    
    58.3
    
    
    
    1.4
    
    
    
    0.3
    
    
    
    1.7Total available-for-sale
    
    
    2,974.8
    
    
    
    24.5
    
    
    
    21.2
    
    
    
    45.7
   Table 6.6
Fixed maturity schedule by maturity
 Carrying value(USD million)
    
    Estimated fair value
    
    
    % of total
    
    
    Held-to-maturity
    
    
    % of totalAs of December 31
    
    Available-for-sale (AFS)
    
    
    AFS
    
    
    (HTM)
    
    
    HTMLess than one year
    
    
    249.9
    
    
    
    8.0
    
    
    
    
    
    
    
    One year through five years
    
    
    1,931.6
    
    
    
    61.8
    
    
    
    599.4
    
    
    
    83.4Five years through ten years
    
    
    689.6
    
    
    
    22.1
    
    
    
    118.9
    
    
    
    16.6Over ten years
    
    
    53.1
    
    
    
    1.7
    
    
    
    
    
    
    
    Subtotal
    
    
    2,924.2
    
    
    
    93.6
    
    
    
    718.3
    
    
    
    100.0Mortgage and asset-backed securities
    
    
    6.2
    
    
    
    0.2
    
    
    
    
    
    
    
    Unit trust bonds
    
    
    192.1
    
    
    
    6.2
    
    
    
    
    
    
    
    Total
    
    
    3,122.5
    
    
    
    100.0
    
    
    
    718.3
    
    
    
    100.0
    F-23




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##### Table of Contents



7. Goodwill and other intangible assets
  Investment in GAUM
     MDUSL Investment
   F-24




---



##### Table of Contents



8. Losses and loss expenses
  Table 8.1
Reserves for losses and loss expenses
 (USD million)Year ended December 31
    
    2006
    
    
    2005
    
    
    2004As of January 1Gross reserves for losses and loss expenses
    
    
    7,568.9
    
    
    
    8,908.3
    
    
    
    7,879.7Less reinsurance recoverable
    
    
    761.0
    
    
    
    914.5
    
    
    
    1,041.3Less net reserves for losses and loss expenses for discontinued operations
    
    
    1,309.7
    
    
    
    
    
    
    
    Net reserves for losses and loss expenses
    
    
    5,498.2
    
    
    
    7,993.8
    
    
    
    6,838.4Loss and loss expenses incurred1, 2Current year
    
    
    1,234.2
    
    
    
    1,922.3
    
    
    
    2,881.9Prior years
    
    
    145.2
    
    
    
    186.1
    
    
    
    350.2Total
    
    
    1,089.0
    
    
    
    1,736.2
    
    
    
    3,232.1Losses and loss expenses paid2Current year
    
    
    229.8
    
    
    
    451.0
    
    
    
    541.4Prior years
    
    
    1,016.7
    
    
    
    1,995.3
    
    
    
    1,938.9Total
    
    
    1,246.5
    
    
    
    2,446.3
    
    
    
    2,480.3Foreign currency translation effects
    
    
    403.0
    
    
    
    475.8
    
    
    
    403.6As of December 31Net reserves for losses and loss expenses
    
    
    5,743.7
    
    
    
    6,807.9
    
    
    
    7,993.8Reinsurance recoverable
    
    
    604.9
    
    
    
    761.0
    
    
    
    914.5Gross reserves for losses and loss expenses
    
    
    6,348.6
    
    
    
    7,568.9
    
    
    
    8,908.3
 
 1
    
    The loss and loss expenses incurred includes USD 114.2 million, USD 178.3
million and USD 128.0 million of loss and loss expenses included in the Life & Health
Reinsurance segment for the years ended December 31, 2006, 2005 and 2004, respectively.2
    
    Figures for 2005 and 2004 are as originally reported. Loss and loss expenses incurred
and loss and loss expenses paid from discontinued operations were USD 55.8 million and USD 924.1
million and USD 948.1 million and USD 1,066.3 million for 2005 and 2004, respectively.    F-25




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##### Table of Contents



Impact of property catastrophe losses
   September 11 th terrorist attacks
 th th
 th
 Table 8.2
September 11 th incurred losses and loss expenses by segment
 RetrocessionalReinsurance(USD million)
    
    Gross losses
    
    
    recoveries
    
    
    Net lossesStandard Property & Casualty Reinsurance
    
    
    159.8
    
    
    
    112.4
    
    
    
    47.4Specialty Lines
    
    
    299.2
    
    
    
    127.6
    
    
    
    171.6Life & Health Reinsurance
    
    
    28.3
    
    
    
    16.3
    
    
    
    12.0Total
    
    
    487.3
    
    
    
    256.3
    
    
    
    231.0
 F-26




---



##### Table of Contents



th
 th th th
 th
 Asbestos and environmental exposures
  9. Guaranteed Minimum Death Benefit (GMDB)
   
    
    Return of premium: The GMDB is the amount of total deposits adjusted for partial
withdrawals, if any.
 
    
    Ratchet: After a given number of years, the GMDB is adjusted to the current account
balance, if greater. Most common is a 1-year ratchet, meaning that the GMDB is adjusted
annually on the policys anniversary date.
 
    
    Rollup: The GMDB increases each year from the initial premium adjusted for later
deposits and partial withdrawals by a fixed percentage. Rollup guarantees reinsured under
Converiums agreements grant an annual accumulation percentage between 3% and 7%. In many
products, especially for higher rollup percentages, an upper limit applies (e.g. 200% of
the paid policyholder premium adjusted for later deposits and partial withdrawals).
 
    
    Reset: After a given number of years, the GMDB is adjusted to the current account
balance. This means that the GMDB can be reduced but often not below the paid-up premium
(adjusted for later deposits and partial withdrawals).
 
    
    Combinations of the above.
     F-27




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##### Table of Contents



Table 9.1
 Gross(USD million)
    
    
    
    
    
    
    
    
    
    Account
    
    
    
    
    
    
    SOP 03-1Guarantee type
    
    Average age
    
    
    GMDB
    
    
    value
    
    
    NAR
    
    
    ReserveRatchet
    
    
    67.4
    
    
    
    1,520.4
    
    
    
    1,398.1
    
    
    
    193.3
    
    
    
    26.3Rollup
    
    
    72.3
    
    
    
    497.8
    
    
    
    357.2
    
    
    
    145.5
    
    
    
    28.0Rollup & ratchet
    
    
    67.9
    
    
    
    17.7
    
    
    
    14.6
    
    
    
    4.6
    
    
    
    0.6Return of premium
    
    
    64.2
    
    
    
    16.1
    
    
    
    19.0
    
    
    
    1.0
    
    
    
    0.1Reset
    
    
    61.3
    
    
    
    231.4
    
    
    
    280.1
    
    
    
    7.7
    
    
    
    1.2Reset & return of premium
    
    
    63.1
    
    
    
    95.9
    
    
    
    112.4
    
    
    
    1.8
    
    
    
    0.3Total
    
    
    69.2
    
    
    
    2,379.3
    
    
    
    2,181.4
    
    
    
    353.9
    
    
    
    56.5
  Table 9.2
 (USD million)Year ended December 31
    
    2006
    
    
    2005
    
    
    2004Received reinsurance premium, net of commission and brokerage
    
    
    4.0
    
    
    
    3.3
    
    
    
    5.1Paid losses
    
    
    10.4
    
    
    
    12.1
    
    
    
    13.3As of December 31
    
    
    2006
    
    
    
    2005Claim reserves (including case reserves and IBNR)
    
    
    4.0
    
    
    
    5.4
 10. Retrocessional reinsurance
and catastrophe protection
 Retrocessional reinsurance
   F-28




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##### Table of Contents



National Indemnity Cover
  Table 10.1
Underwriting reserves and reserves for unearned premium
 (USD million)
    
    Gross
    
    
    Reinsurance assets
    
    
    Net of reinsuranceYear ended December 31
    
    2006
    
    
    2005
    
    
    2006
    
    
    2005
    
    
    2006
    
    
    2005Non-life loss reserves
    
    
    6,348.6
    
    
    
    7,568.9
    
    
    
    604.9
    
    
    
    761.0
    
    
    
    5,743.7
    
    
    
    6,807.9Future life benefits
    
    
    510.7
    
    
    
    405.6
    
    
    
    42.3
    
    
    
    44.1
    
    
    
    468.4
    
    
    
    361.5Total loss reserves
    
    
    6,859.3
    
    
    
    7,974.5
    
    
    
    647.2
    
    
    
    805.1
    
    
    
    6,212.1
    
    
    
    7,169.4Unearned premiums
    
    
    682.3
    
    
    
    610.8
    
    
    
    31.1
    
    
    
    37.8
    
    
    
    651.2
    
    
    
    573.0
 Table 10.2
Net premiums written and earned
 (USD million)
    
    Net premiums written
    
    
    Net premiums earnedYear ended December 31
    
    2006
    
    
    2005
    
    
    2004
    
    
    2006
    
    
    2005
    
    
    2004Direct premiums
    
    
    520.8
    
    
    
    497.3
    
    
    
    476.4
    
    
    
    486.3
    
    
    
    544.2
    
    
    
    494.6Assumed premiums
    
    
    1,460.1
    
    
    
    1,457.7
    
    
    
    3,015.8
    
    
    
    1,465.4
    
    
    
    1,895.2
    
    
    
    2,896.1Ceded premiums
    
    
    128.9
    
    
    
    171.9
    
    
    
    236.3
    
    
    
    140.0
    
    
    
    184.6
    
    
    
    292.2Total
    
    
    1,852.0
    
    
    
    1,783.1
    
    
    
    3,255.9
    
    
    
    1,811.7
    
    
    
    2,254.8
    
    
    
    3,098.5
 Table 10.3
Benefits, losses and expenses
 (USD million)Year ended December 31
    
    2006
    
    
    2005
    
    
    2004Losses, loss expenses and life benefitsDirect
    
    
    -427.0
    
    
    
    -451.5
    
    
    
    -419.2Assumed
    
    
    -837.7
    
    
    
    -1,432.4
    
    
    
    -2,110.4Ceded
    
    
    76.9
    
    
    
    163.8
    
    
    
    134.6Total
    
    
    1,187.8
    
    
    
    1,720.1
    
    
    
    2,395.0Acquisition costsDirect
    
    
    -81.1
    
    
    
    -71.4
    
    
    
    -45.5Assumed
    
    
    -405.5
    
    
    
    -477.6
    
    
    
    -753.7Ceded
    
    
    4.5
    
    
    
    11.6
    
    
    
    45.3Total
    
    
    482.1
    
    
    
    537.4
    
    
    
    753.9
 F-29




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##### Table of Contents



Catastrophe protection
       11. Debt
    F-30




---



##### Table of Contents



12. Income taxes
  Table 12.1
 Current and deferred income tax expense (benefit)
 (USD million)Year ended December 31
    
    2006
    
    
    2005
    
    
    2004CurrentSwitzerland
    
    
    3.1
    
    
    
    1.1
    
    
    
    1.8Non-Switzerland
    
    
    7.2
    
    
    
    13.1
    
    
    
    13.0Total current
    
    
    10.3
    
    
    
    12.0
    
    
    
    11.2DeferredSwitzerland
    
    
    0.6
    
    
    
    0.1
    
    
    
    20.1Non-Switzerland
    
    
    29.6
    
    
    
    4.0
    
    
    
    4.3Total deferred
    
    
    30.2
    
    
    
    4.1
    
    
    
    15.8Total income tax expense (benefit)
    
    
    40.5
    
    
    
    16.1
    
    
    
    4.6
  Table 12.2
 Expected and actual income tax expense (benefit)
 (USD million)Year ended December 31
    
    2006
    
    
    2005
    
    
    2004Income from continuing operations before tax
    
    
    255.5
    
    
    
    50.2
    
    
    
    21.0Statutory average tax rate
    
    
    21.4
    %
    
    
    21.4
    %
    
    
    21.4
    %Expected income tax expense (benefit)
    
    
    54.7
    
    
    
    10.7
    
    
    
    4.5Increase (reduction) in taxes resulting from:Change in valuation allowance
    
    
    49.4
    
    
    
    0.6
    
    
    
    137.3Foreign tax-rate differential
    
    
    13.3
    
    
    
    21.0
    
    
    
    150.0Tax exempt realized gains (losses) from equity securities
    
    
    1.5
    
    
    
    5.2
    
    
    
    3.3Changes in applicable tax rate
    
    
    
    
    
    
    
    
    
    
    1.2Prior year adjustments
    
    
    3.1
    
    
    
    2.7
    
    
    
    3.0Change in net operating loss
    
    
    
    
    
    
    
    
    
    
    6.0Hedge agreement (permanent difference due to ruling with tax authorities)
    
    
    4.8
    
    
    
    6.1
    
    
    
    2.3Forgiveness of debt
    
    
    12.3
    
    
    
    
    
    
    
    Other reconciling items
    
    
    3.2
    
    
    
    2.2
    
    
    
    11.0Actual income tax expense (benefit)
    
    
    40.5
    
    
    
    16.1
    
    
    
    4.6Effective tax rate
    
    
    15.9
    %
    
    
    32.1
    %
    
    
    21.9
    %
  F-31




---



##### Table of Contents



Table 12.3
 Deferred income taxes
 (USD million)As of December 31, 2006
    
    2006
    
    
    2005Deferred income tax assetsLoss reserve discount
    
    
    3.1
    
    
    
    3.4Other technical adjustments
    
    
    8.6
    
    
    
    27.0Accruals not currently deductible
    
    
    14.2
    
    
    
    0.7Loss and benefits reserves
    
    
    8.9
    
    
    
    23.2Net operating loss carryforwards
    
    
    235.3
    
    
    
    219.7Goodwill
    
    
    
    
    
    
    4.9Investments
    
    
    12.5
    
    
    
    Unrealized currency losses
    
    
    17.6
    
    
    
    33.1Other
    
    
    0.1
    
    
    
    7.3Total deferred income tax assets
    
    
    300.3
    
    
    
    319.3Valuation allowance
    
    
    120.2
    
    
    
    157.0Net deferred income tax assets
    
    
    180.1
    
    
    
    162.3Deferred income tax liabilitiesEqualization reserves
    
    
    89.2
    
    
    
    59.4Deferred policy acquisition costs
    
    
    53.1
    
    
    
    38.6Unrealized appreciation of investments
    
    
    24.3
    
    
    
    35.1Unrealized currency gains
    
    
    45.1
    
    
    
    10.7Investments
    
    
    
    
    
    
    8.8Other technical adjustments
    
    
    
    
    
    
    10.5Other
    
    
    9.3
    
    
    
    6.3Total deferred income tax liabilities
    
    
    221.0
    
    
    
    169.4Net deferred income taxes as of December 31
    
    
    40.9
    
    
    
    7.1
 F-32




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##### Table of Contents



13. Employee benefits
  Defined benefit pension plans
          F-33




---



##### Table of Contents



Table 13.1
Weighted average assumptions
 2006
    
    
    2005
    
    
    2004Discount rate
    
    
    3.26
    %
    
    
    3.02
    %
    
    
    3.46
    %Expected long-term rate of return on assets
    
    
    5.00
    %
    
    
    5.50
    %
    
    
    5.50
    %Future salary increases
    
    
    2.00
    %
    
    
    2.00
    %
    
    
    2.00
    %Future pension increases
    
    
    0.70
    %
    
    
    0.65
    %
    
    
    0.89
    %
  Table 13.2
 (USD million)
    
    2006
    
    
    2005
    
    
    2004Change in projected benefit obligationProjected benefit obligation as of January 1
    
    
    89.0
    
    
    
    109.4
    
    
    
    80.3Service cost
    
    
    7.3
    
    
    
    7.3
    
    
    
    7.4Interest cost
    
    
    2.8
    
    
    
    3.1
    
    
    
    3.2Settlements/curtailments
    
    
    
    
    
    
    19.7
    
    
    
    Actuarial losses (gains)
    
    
    4.6
    
    
    
    5.2
    
    
    
    10.1Benefits paid
    
    
    1.7
    
    
    
    2.3
    
    
    
    0.9Foreign currency translation effects
    
    
    7.2
    
    
    
    14.0
    
    
    
    9.3Projected benefit obligation as of December 31
    
    
    100.0
    
    
    
    89.0
    
    
    
    109.4Change in fair value of plan assetsFair value of plan assets as of January 1
    
    
    55.5
    
    
    
    68.2
    
    
    
    50.6Actual return on plan assets
    
    
    2.0
    
    
    
    4.4
    
    
    
    2.5Employee contributions
    
    
    2.4
    
    
    
    2.6
    
    
    
    3.1Employer contributions
    
    
    3.8
    
    
    
    5.6
    
    
    
    7.1Settlements/curtailments
    
    
    
    
    
    
    13.8
    
    
    
    Benefits paid
    
    
    1.7
    
    
    
    2.3
    
    
    
    0.9Foreign currency translation effects
    
    
    4.7
    
    
    
    9.2
    
    
    
    5.8Fair value of plan assets as of December 31
    
    
    66.7
    
    
    
    55.5
    
    
    
    68.2Reconciliation of funded statusProjected benefit obligation
    
    
    100.0
    
    
    
    89.0
    
    
    
    109.4Fair value of plan assets as of December 31
    
    
    66.7
    
    
    
    55.5
    
    
    
    68.2Funded status
    
    
    33.3
    
    
    
    33.5
    
    
    
    41.2
 F-34




---



##### Table of Contents



Table 13.3
 (USD million)
    
    2006
    
    
    2005
    
    
    2004Amounts recognized in the consolidated balance sheetsAccrued benefit liability
    
    
    33.3
    
    
    
    26.3
    
    
    
    31.7Amounts recognized in Accumulated Other Comprehensive Income (AOCI)Actuarial loss(gain)
    
    
    9.0
    
    
    
    
    
    
    
    Past service cost
    
    
    0.8
    
    
    
    
    
    
    
    Additional minimum pension liability
    
    
    
    
    
    
    3.8
    
    
    
    7.7Total pension asset/liability recognized
    
    
    8.2
    
    
    
    3.8
    
    
    
    7.7Assets/liabilities recognized in the consolidated balance sheetsCurrent liabilities
    
    
    0.6Non-current liabilities
    
    
    32.7Total assets/liabilities recognized
    
    
    33.3
    Table 13.4
Net periodic benefit expense
 (USD million)Year ended December 31
    
    2006
    
    
    2005
    
    
    2004Service cost
    
    
    7.3
    
    
    
    7.3
    
    
    
    7.4Interest cost
    
    
    2.8
    
    
    
    3.1
    
    
    
    3.2Expected return on plan assets
    
    
    3.0
    
    
    
    3.6
    
    
    
    3.1Employee contributions
    
    
    2.4
    
    
    
    2.6
    
    
    
    3.1Amortization of transition obligation
    
    
    
    
    
    
    
    
    
    
    Amortization of actuarial (gains) losses
    
    
    0.2
    
    
    
    0.7
    
    
    
    Amortization of past service cost
    
    
    0.2
    
    
    
    0.2
    
    
    
    0.2Loss on settlements/curtailments
    
    
    
    
    
    
    2.2
    
    
    
    Net periodic benefit expense
    
    
    4.7
    
    
    
    6.9
    
    
    
    4.2
  Table 13.5
Accrued benefit liability
 (USD million)As of December 31
    
    2006
    
    
    2005
    
    
    2004Balance at January 1
    
    
    26.3
    
    
    
    31.7
    
    
    
    26.0Current year expense
    
    
    4.7
    
    
    
    6.9
    
    
    
    4.2Contributions paid
    
    
    3.8
    
    
    
    5.6
    
    
    
    7.1Change in additional liabilities
    
    
    4.1
    
    
    
    2.8
    
    
    
    6.5Foreign currency translation effects
    
    
    2.0
    
    
    
    3.9
    
    
    
    2.1Balance at December 31
    
    
    33.3
    
    
    
    26.3
    
    
    
    31.7
 F-35




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##### Table of Contents



Table 13.6
Expected future cash flows
 (USD million)Employer contributions2007 (estimate)
    
    
    4.9Expected future benefit payments2007
    
    
    3.72008
    
    
    3.82009
    
    
    3.82010
    
    
    3.92011
    
    
    3.920122016
    
    
    21.6
  Table 13.7
Weighted average assets allocation of defined benefit plans
 Year ended December 31
    
    Long-term target
    
    
    2006
    
    
    2005Equity securities
    
    
    19%33
    %
    
    
    32
    %
    
    
    24
    %Debt securities
    
    
    46%70
    %
    
    
    51
    %
    
    
    55
    %Real estate
    
    
    14%20
    %
    
    
    16
    %
    
    
    17
    %Cash and other investments
    
    
    0%8
    %
    
    
    1
    %
    
    
    4
    %Total
    
    
    
    
    
    
    100
    %
    
    
    100
    %
  Table 13.8
Initial adoption impact of SFAS 158
 Pre-FAS 158 with
    
    
    Adjustment to
    
    
    Post AML and FAS(USD million)
    
    AML adjustments
    
    
    initially apply FAS 158
    
    
    158 AdjustmentsOther liabilities
    
    
    26.7
    
    
    
    6.6
    
    
    
    33.3Accumulated other comprehensive income
    
    
    1.6
    
    
    
    6.6
    
    
    
    8.2Accumulated other comprehensive income, net of tax
    
    
    1.0
    
    
    
    4.9
    
    
    
    5.9
 14. Share compensation and incentive plans
  (a) Cash-based incentive plans
  F-36




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##### Table of Contents



Employee retention plan
  (b) Share-based incentive plans
  Employee Stock Purchase Plan
  Annual Incentive Share Plan
   Table 14.1
Status of unvested shares
 2006
    
    
    2005
    
    
    2004Unvested shares at beginning of year
    
    
    427,376
    
    
    
    457,182
    
    
    
    160,859Shares granted
    
    
    385,827
    
    
    
    262,158
    
    
    
    438,795Shares vested
    
    
    216,104
    
    
    
    220,109
    
    
    
    30,288Shares forfeited
    
    
    68,637
    
    
    
    71,855
    
    
    
    112,185Unvested shares at end of year
    
    
    528,462
    
    
    
    427,376
    
    
    
    457,181
  Long-Term Incentive Plan (LTIP)
  (c) Option-based incentive plans
  Executive IPO option plan
   F-37




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##### Table of Contents



Table 14.2
Outstanding stock options
 2006
    
    
    2005
    
    
    2004Weighted
    
    
    
    
    
    
    Weighted
    
    
    
    
    
    
    Weightedaverage
    
    
    
    
    
    
    average
    
    
    
    
    
    
    averageexercise
    
    
    
    
    
    
    exercise
    
    
    
    
    
    
    exerciseOptions
    
    
    price
    
    
    Options
    
    
    price
    
    
    Options
    
    
    priceOutstanding at beginning of year
    
    
    2,607,792
    
    
    CHF 14.95
    
    
    
    2,359,954
    
    
    CHF 45.88
    
    
    
    1,728,744
    
    
    CHF 71.17Granted
    
    
    786,495
    
    
    
    15.38
    
    
    
    760,325
    
    
    
    12.87
    
    
    
    1,238,640
    
    
    
    17.75Exercised
    
    
    541,296
    
    
    
    10.31
    
    
    
    123,637
    
    
    
    9.59
    
    
    
    39,806
    
    
    
    68.64Forfeited
    
    
    409,539
    
    
    
    19.63
    
    
    
    388,850
    
    
    
    14.59
    
    
    
    567,624
    
    
    
    59.90Outstanding at end of year
    
    
    2,443,452
    
    
    
    14.71
    
    
    
    2,607,792
    
    
    
    14.95
    
    
    
    2,359,954
    
    
    
    45.88Options exercisable at end of year
    
    
    1,432,933
    
    
    
    15.40
    
    
    
    1,709,400
    
    
    
    16.73
    
    
    
    1,311,491
    
    
    
    61.38
    Table 14.3
Weighted average
 2006
    
    
    2005
    
    
    2004Risk-free rate
    
    
    2.44
    %
    
    
    2.21
    %
    
    
    2.11
    %Expected life
    
    3 years
    
    
    3 years
    
    
    3 yearsExpected volatility
    
    
    28.66
    %
    
    
    31.08
    %
    
    
    31.79
    %Dividend yield
    
    
    1.50
    %
    
    
    1.50
    %
    
    
    2.05
    %Fair value of options granted
    
    USD 2.48
    
    
    USD 3.19
    
    
    USD 3.33
  Table 14.4
Weighted average
 2006
    
    
    2005
    
    
    2004Risk-free rate
    
    
    2.50
    %
    
    
    n/a
    
    
    
    n/aExpected life
    
    3 years
    
    
    n/a
    
    
    
    n/aExpected volatility
    
    
    28.00
    %
    
    
    n/a
    
    
    
    n/aDividend yield
    
    
    1.50
    %
    
    
    n/a
    
    
    
    n/aFair value of options granted
    
    USD 4.19
    
    
    
    n/a
    
    
    
    n/a
 F-38




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##### Table of Contents



Table 14.5
Weighted average
 2006
    
    
    2005
    
    
    2004Risk-free rate
    
    
    n/a
    
    
    
    2.00
    %
    
    
    1.17
    %Expected life
    
    
    n/a
    
    
    3 years
    
    3 yearsExpected volatility
    
    
    n/a
    
    
    
    32.00
    %
    
    
    21.84
    %Dividend yield
    
    
    n/a
    
    
    
    1.50
    %
    
    
    2.21
    %Fair value of options granted
    
    
    n/a
    
    
    USD 0.10
    
    
    USD 9.65
  Table 14.6
Weighted average of options outstanding/exercisable
 Options outstanding
    
    
    Options exercisableWeighted
    
    
    Weighted
    
    
    
    
    
    
    WeightedRange of
    
    Number
    
    
    average remaining
    
    
    average
    
    
    Number
    
    
    averageexercise prices
    
    outstanding
    
    
    contractual life
    
    
    exercise price
    
    
    exercisable
    
    
    exercise priceCHF 8.64 13.94
    
    
    1,116,708
    
    
    
    8.23
    
    
    CHF 11.36
    
    
    676,105
    
    
    CHF 11.40CHF 14.80 18.60
    
    
    1,151,946
    
    
    
    8.56
    
    
    CHF 16.00
    
    
    582,030
    
    
    CHF 16.37CHF 26.50 33.22
    
    
    174,798
    
    
    
    4.54
    
    
    CHF 27.61
    
    
    174,798
    
    
    CHF 27.61CHF 8.64 33.22
    
    
    2,443,452
    
    
    
    8.12
    
    
    CHF 14.71
    
    
    1,432,933
    
    
    CHF 15.40
 (d) Compensation expense
  (e) Cash used / received
  15. Shareholders equity
 (a) Issued share capital
   F-39




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##### Table of Contents



(b) Authorized share capital
    (c) Contingent share capital
    (d) Dividend restrictions, reductions in the
registered shares nominal value and capital and
solvency requirements
    16. Transactions with Zurich Financial Services
 Quota Share Retrocession Agreement
  F-40




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##### Table of Contents



th
   17. Related party transactions
 GAUM
     F-41




---



##### Table of Contents



MDU
      18. Supplemental cash flow disclosures
 Table 18.1
Supplemental cash flow disclosures
 (USD million)Year ended December 31
    
    2006
    
    
    2005
    
    
    2004Income taxes paid
    
    
    13.2
    
    
    
    6.2
    
    
    
    9.7Interest expense paid
    
    
    16.7
    
    
    
    17.2
    
    
    
    18.7
 F-42




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##### Table of Contents



19. Fair value of financial instruments
  
    
    Fixed maturities securities:fair values are generally based upon quoted market
prices. Where market prices are not readily available, fair values are estimated using
either values obtained from independent pricing services or quoted market prices of
comparable investments.
    
    Equity securities: fair values are based on quoted market prices.
    
    Funds Withheld Asset:carrying value of the Funds Withheld Asset approximates fair
value.
    
    Other investments:for which quoted market prices are not readily available are not
fair valued or are not significant to Converium.
    
    Cash and short-term investments:carrying amounts approximate fair value.
    
    Debt:fair values are generally based upon quoted market prices.
  Table 19.1
Fair value of financial instruments
 Total
    
    
    Total
    
    
    Total
    
    
    Total(USD million)
    
    fair value
    
    
    carrying value
    
    
    fair value
    
    
    carrying valueAs of December 31
    
    2006
    
    
    2006
    
    
    2005
    
    
    2005Fixed maturities
    
    
    3,821.8
    
    
    
    3,840.8
    
    
    
    4,948.6
    
    
    
    4,963.4Equity securities
    
    
    734.7
    
    
    
    734.7
    
    
    
    362.6
    
    
    
    362.6Other investments (excluding direct real estate)
    
    
    173.3
    
    
    
    173.3
    
    
    
    108.5
    
    
    
    108.5Short-term investments
    
    
    44.9
    
    
    
    44.9
    
    
    
    35.1
    
    
    
    35.1Funds Withheld Asset
    
    
    940.7
    
    
    
    940.7
    
    
    
    1,020.1
    
    
    
    1,020.1Cash and cash equivalents
    
    
    633.1
    
    
    
    633.1
    
    
    
    647.3
    
    
    
    647.3Debt
    
    
    202.9
    
    
    
    194.1
    
    
    
    377.0
    
    
    
    391.2
 20. Commitments and contingencies
 Letters of credit
  Table 20.1
Letters of credit
 Date of
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    Assets(USD million)
    
    agreement
    
    
    Duration
    
    
    Capacity
    
    
    Utilized
    
    
    pledgedSyndicated Letter of Credit Facility
    
    Nov 29, 2004
    
    
    3 years
    
    
    
    1,600.0
    
    
    
    1,053.2
    
    
    
    1,074.7Bilateral letters of credit
    
    various
    
    
    various
    
    
    
    1,120.0
    
    
    
    844.8
    
    
    
    898.8Unsecured letters of credit
    
    Aug 11, 2006
    
    
    1 year
    
    
    
    250.0
    
    
    
    76.5
    
    
    
    Total letters of credit
    
    
    
    
    
    
    
    
    
    
    2,970.0
    
    
    
    1,974.5
    
    
    
    1,973.5Other pledges:Deposit account for cedents
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    282.5Internal trust
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    486.6Total other pledges
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    769.1
 F-43




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##### Table of Contents



Operating leases
   Table 20.2
Minimum future payments under operating leases
 Rental(USD million)
    
    payments2007
    
    
    10.12008
    
    
    10.02009
    
    
    8.82010
    
    
    8.32011
    
    
    7.82012 and thereafter
    
    
    Total
    
    
    45.0
   Parental Guarantees
  MDU Put Option
  Converium legal proceedings, claims and litigation
  F-44




---



##### Table of Contents



Canada Life
 th
  th
 Review
of certain of Converiums reinsurance transactions
    F-45




---



##### Table of Contents



Class action lawsuits
         F-46




---



##### Table of Contents



Business Insurance Sector Inquiry by European Commission
  21. Regulation
  Switzerland
    Germany
    F-47




---



##### Table of Contents



22. Consolidated entities
  % of equityCountry of incorporation
    
    shares held
    
    
    Currency
    
    Share capitalConverium AG
    
    Switzerland/Zurich
    
    
    100
    
    
    CHF
    
    
    400,000,000Converium IP Management AG
    
    Switzerland/Zurich
    
    
    100
    
    
    CHF
    
    
    100,000Converium Rückversicherung (Deutschland) AG
    
    Germany/Cologne
    
    
    100
    
    
    EUR
    
    
    4,601,627Converium Holding (UK) Ltd
    
    United Kingdom/London
    
    
    100
    
    
    GBP
    
    
    101Converium Insurance (UK) Ltd
    
    United Kingdom/London
    
    
    100
    
    
    GBP
    
    
    60,000,000Converium London Management Ltd
    
    United Kingdom/London
    
    
    100
    
    
    GBP
    
    
    1,000Converium Underwriting Ltd
    
    United Kingdom/London
    
    
    100
    
    
    GBP
    
    
    2Converium Finance S.A.
    
    Luxembourg/Luxembourg
    
    
    100
    
    
    EUR
    
    
    31,000Converium Finance (Bermuda) Ltd
    
    Bermuda/Hamilton
    
    
    100
    
    
    USD
    
    
    12,000
 23. Earnings (loss) per share
   Table 23.1
 (in USD million, except per share information)For the years ended December 31
    
    2006
    
    
    2005
    
    
    2004Income (loss) from continuing operations
    
    
    215.0
    
    
    
    34.1
    
    
    
    25.6(Loss) income from discontinued operations
    
    
    157.9
    
    
    
    34.6
    
    
    
    608.1Average basic shares outstanding (millions)
    
    
    146.2
    
    
    
    146.4
    
    
    
    63.4Average diluted shares outstanding (millions)
    
    
    148.5
    
    
    
    148.4
    
    
    
    64.1Basic earnings (loss) per share:from continuing operations
    
    
    1.47
    
    
    
    0.23
    
    
    
    0.40from discontinued operations
    
    
    1.08
    
    
    
    0.24
    
    
    
    9.59Total basic earnings (loss) per share
    
    
    0.39
    
    
    
    0.47
    
    
    
    9.19Diluted earnings (loss) per share:from continuing operations
    
    
    1.45
    
    
    
    0.23
    
    
    
    0.40from discontinued operations
    
    
    1.07
    
    
    
    0.23
    
    
    
    9.49Total diluted earnings (loss) per share
    
    
    0.38
    
    
    
    0.46
    
    
    
    9.09
   F-48




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##### Table of Contents



24. Subsidiary issuer information
    Condensed consolidating statements of income
 Non-(USD million)
    
    Converium
    
    
    Converium
    
    
    Converium
    
    
    Guarantor
    
    
    ConsolidatingYear ended December 31, 2006
    
    Holding AG
    
    
    AG
    
    
    Finance S.A.
    
    
    Entities
    
    
    Adjustments
    
    
    ConsolidatedRevenuesNet premiums written
    
    
    
    
    
    
    1,436.1
    
    
    
    
    
    
    
    415.9
    
    
    
    
    
    
    
    1,852.0Net premiums earned
    
    
    
    
    
    
    1,398.4
    
    
    
    
    
    
    
    413.3
    
    
    
    
    
    
    
    1,811.7Net investment income
    
    
    12.8
    
    
    
    213.9
    
    
    
    13.5
    
    
    
    49.1
    
    
    
    28.9
    
    
    
    260.4Net realized capital gains (losses)
    
    
    
    
    
    
    16.1
    
    
    
    
    
    
    
    2.8
    
    
    
    
    
    
    
    18.9Total revenues
    
    
    12.8
    
    
    
    1,628.4
    
    
    
    13.5
    
    
    
    465.2
    
    
    
    28.9
    
    
    
    2,091.0Benefits, losses and expensesLosses, loss expenses and life benefits
    
    
    
    
    
    
    773.0
    
    
    
    
    
    
    
    414.8
    
    
    
    
    
    
    
    1,187.8Acquisition costs
    
    
    
    
    
    
    482.4
    
    
    
    
    
    
    
    0.8
    
    
    
    0.5
    
    
    
    482.1Other operating and
administration expenses
    
    
    13.4
    
    
    
    103.8
    
    
    
    0.1
    
    
    
    31.3
    
    
    
    
    
    
    
    148.6Other (loss) income
    
    
    10.0
    
    
    
    96.8
    
    
    
    25.8
    
    
    
    70.1
    
    
    
    10.4
    
    
    
    0.5Interest expense
    
    
    12.4
    
    
    
    0.4
    
    
    
    16.5
    
    
    
    6.2
    
    
    
    18.8
    
    
    
    16.7Restructuring costs
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    0.2
    
    
    
    
    
    
    
    0.2Total benefits, losses and expenses
    
    
    35.8
    
    
    
    1,456.4
    
    
    
    9.2
    
    
    
    381.2
    
    
    
    28.7
    
    
    
    1,835.5(Loss) income before taxes
    
    
    23.0
    
    
    
    172.0
    
    
    
    22.7
    
    
    
    84.0
    
    
    
    0.2
    
    
    
    255.5Income tax expense
    
    
    
    
    
    
    7.3
    
    
    
    0.1
    
    
    
    33.1
    
    
    
    
    
    
    
    40.5(Loss) income from continuing
operations
    
    
    23.0
    
    
    
    164.7
    
    
    
    22.6
    
    
    
    50.9
    
    
    
    0.2
    
    
    
    215.0(Loss) income from discontinued
operations
    
    
    190.8
    
    
    
    32.9
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    157.9(Loss) income before equity
in income (loss) of subsidiaries
    
    
    213.8
    
    
    
    197.6
    
    
    
    22.6
    
    
    
    50.9
    
    
    
    0.2
    
    
    
    57.1Equity in income (loss) of subsidiaries
    
    
    270.9
    
    
    
    66.1
    
    
    
    
    
    
    
    
    
    
    
    337.0
    
    
    
    Net income (loss)
    
    
    57.1
    
    
    
    263.7
    
    
    
    22.6
    
    
    
    50.9
    
    
    
    337.2
    
    
    
    57.1
 F-49




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##### Table of Contents



Consolidating balance sheets
 Non-(USD million)
    
    Converium
    
    
    Converium
    
    
    Converium
    
    
    Guarantor
    
    
    ConsolidatingAs of December 31, 2006
    
    Holding AG
    
    
    AG
    
    
    Finance S.A.
    
    
    Entities
    
    
    Adjustments
    
    
    ConsolidatedAssetsInvested assetsFixed maturities
    
    
    
    
    
    
    2,750.2
    
    
    
    14.1
    
    
    
    1,076.5
    
    
    
    
    
    
    
    3,840.8Equity securities
    
    
    
    
    
    
    578.9
    
    
    
    
    
    
    
    155.8
    
    
    
    
    
    
    
    734.7Investment in subsidiaries
    
    
    2,053.6
    
    
    
    583.6
    
    
    
    
    
    
    
    
    
    
    
    2,637.2
    
    
    
    Notes receivable
    
    
    
    
    
    
    
    
    
    
    175.0
    
    
    
    
    
    
    
    175.0
    
    
    
    Short-term and other investments
    
    
    
    
    
    
    222.9
    
    
    
    
    
    
    
    130.5
    
    
    
    104.3
    
    
    
    249.1Total investments
    
    
    2,053.6
    
    
    
    4,135.6
    
    
    
    189.1
    
    
    
    1,362.8
    
    
    
    2,916.5
    
    
    
    4,824.6Funds Withheld Asset
    
    
    
    
    
    
    940.7
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    940.7Total invested assets
    
    
    2,053.6
    
    
    
    5,076.3
    
    
    
    189.1
    
    
    
    1,362.8
    
    
    
    2,916.5
    
    
    
    5,765.3Other assetsCash and cash equivalents
    
    
    18.4
    
    
    
    550.0
    
    
    
    4.5
    
    
    
    126.3
    
    
    
    66.1
    
    
    
    633.1Premiums receivable
    
    
    
    
    
    
    638.8
    
    
    
    
    
    
    
    550.1
    
    
    
    308.0
    
    
    
    880.9Reserves for unearned premiums, retro
    
    
    
    
    
    
    12.7
    
    
    
    
    
    
    
    266.1
    
    
    
    247.7
    
    
    
    31.1Reinsurance assets
    
    
    
    
    
    
    449.9
    
    
    
    
    
    
    
    1,527.8
    
    
    
    1,296.4
    
    
    
    681.3Other reinsurance receivable
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    1.9
    
    
    
    1.9
    
    
    
    Funds held by reinsureds
    
    
    
    
    
    
    1,550.0
    
    
    
    
    
    
    
    1,053.3
    
    
    
    663.2
    
    
    
    1,940.1Deposit assets
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    2.5
    
    
    
    
    
    
    
    2.5Deferred policy acquisition costs
    
    
    
    
    
    
    281.8
    
    
    
    
    
    
    
    67.8
    
    
    
    
    
    
    
    349.6Deferred income taxes
    
    
    
    
    
    
    1.4
    
    
    
    
    
    
    
    4.2
    
    
    
    
    
    
    
    5.6Other assets
    
    
    4.4
    
    
    
    147.7
    
    
    
    57.8
    
    
    
    129.6
    
    
    
    106.0
    
    
    
    233.5Total assets
    
    
    2,076.4
    
    
    
    8,708.6
    
    
    
    251.4
    
    
    
    5,092.4
    
    
    
    5,605.8
    
    
    
    10,523.0Liabilities and equityLiabilitiesReinsurance liabilities
    
    
    
    
    
    
    5,359.0
    
    
    
    
    
    
    
    2,974.3
    
    
    
    1,296.4
    
    
    
    7,036.9Reserves for unearned premiums, gross
    
    
    
    
    
    
    559.7
    
    
    
    
    
    
    
    370.3
    
    
    
    247.7
    
    
    
    682.3Other reinsurance liabilities
    
    
    
    
    
    
    128.5
    
    
    
    
    
    
    
    280.9
    
    
    
    305.7
    
    
    
    103.7Funds held under reinsurance contracts
    
    
    
    
    
    
    224.5
    
    
    
    
    
    
    
    606.1
    
    
    
    663.3
    
    
    
    167.3Deposit liabilities
    
    
    
    
    
    
    239.3
    
    
    
    
    
    
    
    10.9
    
    
    
    
    
    
    
    250.2Deferred Income taxes
    
    
    
    
    
    
    1.1
    
    
    
    
    
    
    
    45.4
    
    
    
    
    
    
    
    46.5Accrued expenses and other liabilities
    
    
    76.0
    
    
    
    227.5
    
    
    
    0.9
    
    
    
    167.7
    
    
    
    276.1
    
    
    
    196.0Notes payable
    
    
    150.0
    
    
    
    
    
    
    
    
    
    
    
    25.0
    
    
    
    175.0
    
    
    
    Debt
    
    
    
    
    
    
    
    
    
    
    194.1
    
    
    
    
    
    
    
    
    
    
    
    194.1Total liabilities
    
    
    226.0
    
    
    
    6,739.6
    
    
    
    195.0
    
    
    
    4,480.6
    
    
    
    2,964.2
    
    
    
    8,677.0Shareholders equityCommon stock and
additional paid-in capital
    
    
    1,849.6
    
    
    
    1,873.8
    
    
    
    
    
    
    
    478.7
    
    
    
    2,356.8
    
    
    
    1,845.3Unearned stock compensation
    
    
    0.9
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    0.9Total accumulated other
comprehensive income (loss)
    
    
    281.3
    
    
    
    262.6
    
    
    
    6.5
    
    
    
    44.9
    
    
    
    314.1
    
    
    
    281.2Retained (deficit) earnings
    
    
    281.4
    
    
    
    167.4
    
    
    
    49.9
    
    
    
    88.2
    
    
    
    29.3
    
    
    
    281.4Total shareholders equity
    
    
    1,850.4
    
    
    
    1,969.0
    
    
    
    56.4
    
    
    
    611.8
    
    
    
    2.641.6
    
    
    
    1,846.0Total liabilities and
shareholders equity
    
    
    2,076.4
    
    
    
    8,708.6
    
    
    
    251.4
    
    
    
    5,092.4
    
    
    
    5,605.8
    
    
    
    10,523.0
 F-50




---



##### Table of Contents



Condensed consolidating statements of cash flows
 Non-(USD million)
    
    Converium
    
    
    Converium
    
    
    Converium
    
    
    Guarantor
    
    
    ConsolidatingYear ended December 31, 2006
    
    Holding AG
    
    
    AG
    
    
    Finance S.A.
    
    
    Entities
    
    
    Adjustments
    
    
    ConsolidatedCash (used in) provided by
operating activities
    
    
    9.3
    
    
    
    16.5
    
    
    
    1.2
    
    
    
    262.6
    
    
    
    366.4
    
    
    
    79.2Cash flows from investing activitiesProceeds from sales and maturities
of fixed maturities available-for-sale
    
    
    
    
    
    
    1,178.7
    
    
    
    
    
    
    
    824.0
    
    
    
    
    
    
    
    2,002.7Purchases of fixed maturities
available-for-sale
    
    
    
    
    
    
    1,047.9
    
    
    
    
    
    
    
    695.5
    
    
    
    
    
    
    
    1,743.4Proceeds from sales of equity securities
    
    
    
    
    
    
    48.6
    
    
    
    
    
    
    
    111.5
    
    
    
    
    
    
    
    160.1Purchases of equity securities
    
    
    
    
    
    
    395.3
    
    
    
    
    
    
    
    56.2
    
    
    
    
    
    
    
    451.5Net increase (decrease) in short-term
investments
    
    
    
    
    
    
    2.2
    
    
    
    
    
    
    
    2.7
    
    
    
    14.2
    
    
    
    13.7Proceeds from sales of other assets
    
    
    
    
    
    
    176.0
    
    
    
    
    
    
    
    2.6
    
    
    
    
    
    
    
    173.4Purchase of other assets
    
    
    
    
    
    
    56.8
    
    
    
    
    
    
    
    0.2
    
    
    
    
    
    
    
    57.0Net decrease in deposit assets
    
    
    
    
    
    
    133.0
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    133.0Proceeds from disposal of investment
in subsidiaries
    
    
    1.7
    
    
    
    74.0
    
    
    
    
    
    
    
    
    
    
    
    346.1
    
    
    
    273.8Net cash (used in) provided by
investing activities
    
    
    1.7
    
    
    
    112.5
    
    
    
    
    
    
    
    178.3
    
    
    
    331.9
    
    
    
    42.8Cash flows from financing activitiesNet purchases of common shares
    
    
    3.7
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    3.7Dividends paid to shareholders
    
    
    11.7
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    11.7Net decrease in deposit liabilities
    
    
    
    
    
    
    76.2
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    76.2Net cash used in financing activities
    
    
    15.4
    
    
    
    76.2
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    91.6Effect of exchange rate changes
on cash and cash equivalents
    
    
    2.9
    
    
    
    50.9
    
    
    
    0.1
    
    
    
    12.5
    
    
    
    25.4
    
    
    
    41.0Change in cash and cash equivalents
    
    
    23.5
    
    
    
    70.7
    
    
    
    1.3
    
    
    
    71.8
    
    
    
    9.1
    
    
    
    14.2Cash and cash equivalents
as of January 1
    
    
    41.9
    
    
    
    479.3
    
    
    
    3.2
    
    
    
    198.1
    
    
    
    75.2
    
    
    
    647.3Cash and cash equivalents
as of December 31
    
    
    18.4
    
    
    
    550.0
    
    
    
    4.5
    
    
    
    126.3
    
    
    
    66.1
    
    
    
    633.1
 F-51




---



##### Table of Contents



Condensed consolidating statements of income
 AdjustmentNon-
    
    
    Consoli-
    
    
    for dis-(USD million)
    
    Converium
    
    
    Converium
    
    
    Converium
    
    
    Guarantor
    
    
    dating
    
    
    continued
    
    
    Consoli-Year ended December 31, 2005
    
    Holding AG
    
    
    AG
    
    
    Finance S.A.
    
    
    Entities
    
    
    Adjustments
    
    
    operations
    
    
    datedRevenuesNet premiums written
    
    
    
    
    
    
    1,195.7
    
    
    
    
    
    
    
    620.0
    
    
    
    
    
    
    
    32.6
    
    
    
    1,783.1Net premiums earned
    
    
    
    
    
    
    1,700.3
    
    
    
    
    
    
    
    682.9
    
    
    
    
    
    
    
    128.4
    
    
    
    2,254.8Net investment income
    
    
    13.3
    
    
    
    217.3
    
    
    
    13.4
    
    
    
    111.8
    
    
    
    30.9
    
    
    
    67.1
    
    
    
    257.8Net realized capital gains (losses)
    
    
    
    
    
    
    42.6
    
    
    
    
    
    
    
    10.2
    
    
    
    57.9
    
    
    
    5.8
    
    
    
    31.3Total revenues
    
    
    13.3
    
    
    
    1,875.0
    
    
    
    13.4
    
    
    
    804.9
    
    
    
    27.0
    
    
    
    189.7
    
    
    
    2,543.9Benefits, losses and expensesLosses, loss expenses and life benefits
    
    
    
    
    
    
    1,323.4
    
    
    
    
    
    
    
    452.5
    
    
    
    
    
    
    
    55.8
    
    
    
    1,720.1Acquisition costs
    
    
    
    
    
    
    398.1
    
    
    
    
    
    
    
    177.5
    
    
    
    
    
    
    
    38.2
    
    
    
    537.4Other operating and administration
expenses
    
    
    19.2
    
    
    
    112.0
    
    
    
    0.1
    
    
    
    79.5
    
    
    
    
    
    
    
    47.3
    
    
    
    163.5Other income (loss)
    
    
    57.2
    
    
    
    8.7
    
    
    
    24.7
    
    
    
    3.3
    
    
    
    57.9
    
    
    
    8.5
    
    
    
    21.9Interest expense
    
    
    11.2
    
    
    
    0.5
    
    
    
    16.5
    
    
    
    34.4
    
    
    
    31.0
    
    
    
    14.4
    
    
    
    17.2Amortization/impairment of
intangible assets
    
    
    
    
    
    
    21.5
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    21.5Restructuring costs
    
    
    
    
    
    
    9.3
    
    
    
    
    
    
    
    11.2
    
    
    
    
    
    
    
    8.4
    
    
    
    12.1Total benefits, losses and expenses
    
    
    26.8
    
    
    
    1,856.1
    
    
    
    41.3
    
    
    
    751.8
    
    
    
    26.9
    
    
    
    155.6
    
    
    
    2,493.7Income (loss) before taxes
    
    
    40.1
    
    
    
    18.9
    
    
    
    27.9
    
    
    
    53.1
    
    
    
    0.1
    
    
    
    34.1
    
    
    
    50.2Income tax benefit (expense)
    
    
    1.5
    
    
    
    2.5
    
    
    
    0.1
    
    
    
    14.5
    
    
    
    
    
    
    
    0.5
    
    
    
    16.1Income (loss) from continuing
operations
    
    
    41.6
    
    
    
    16.4
    
    
    
    28.0
    
    
    
    38.6
    
    
    
    0.1
    
    
    
    34.6
    
    
    
    34.1Income from discontinued operations
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    34.6
    
    
    
    34.6Income (loss) before equity in
income (loss) of subsidiaries
    
    
    41.6
    
    
    
    16.4
    
    
    
    28.0
    
    
    
    38.6
    
    
    
    0.1
    
    
    
    
    
    
    
    68.7Equity in income (loss) of subsidiaries
    
    
    27.1
    
    
    
    10.6
    
    
    
    
    
    
    
    
    
    
    
    37.7
    
    
    
    
    
    
    
    Net income (loss)
    
    
    68.7
    
    
    
    27.0
    
    
    
    28.0
    
    
    
    38.6
    
    
    
    37.6
    
    
    
    
    
    
    
    68.7
 F-52




---



##### Table of Contents



Consolidating balance sheets
 Non-(USD million)
    
    Converium
    
    
    Converium
    
    
    Converium
    
    
    Guarantor
    
    
    ConsolidatingAs of December 31, 2005
    
    Holding AG
    
    
    AG
    
    
    Finance S.A.
    
    
    Entities
    
    
    Adjustments
    
    
    ConsolidatedAssetsInvested assetsFixed maturities
    
    
    
    
    
    
    2,773.7
    
    
    
    14.4
    
    
    
    2,175.3
    
    
    
    
    
    
    
    4,963.4Equity securities
    
    
    
    
    
    
    178.8
    
    
    
    
    
    
    
    183.8
    
    
    
    
    
    
    
    362.6Investment in subsidiaries
    
    
    1,624.5
    
    
    
    542.0
    
    
    
    
    
    
    
    
    
    
    
    2,166.5
    
    
    
    Notes receivable
    
    
    150.0
    
    
    
    
    
    
    
    175.0
    
    
    
    
    
    
    
    325.0
    
    
    
    Short-term and other investments
    
    
    
    
    
    
    280.3
    
    
    
    
    
    
    
    110.6
    
    
    
    102.7
    
    
    
    288.2Total investments
    
    
    1,774.5
    
    
    
    3,774.8
    
    
    
    189.4
    
    
    
    2,469.7
    
    
    
    2,594.2
    
    
    
    5,614.2Funds Withheld Asset
    
    
    
    
    
    
    1,020.1
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    1,020.1Total invested assets
    
    
    1,774.5
    
    
    
    4,794.9
    
    
    
    189.4
    
    
    
    2,469.7
    
    
    
    2,594.2
    
    
    
    6,634.3Other assetsCash and cash equivalents
    
    
    41.9
    
    
    
    479.3
    
    
    
    3.2
    
    
    
    198.1
    
    
    
    75.2
    
    
    
    647.3Premiums receivable
    
    
    
    
    
    
    707.8
    
    
    
    
    
    
    
    576.3
    
    
    
    224.8
    
    
    
    1,059.3Reserves for unearned premiums, retro
    
    
    
    
    
    
    12.7
    
    
    
    
    
    
    
    201.3
    
    
    
    176.2
    
    
    
    37.8Reinsurance assets
    
    
    
    
    
    
    551.7
    
    
    
    
    
    
    
    1,695.7
    
    
    
    1,404.7
    
    
    
    842.7Funds held by reinsureds
    
    
    
    
    
    
    1,400.5
    
    
    
    
    
    
    
    956.5
    
    
    
    539.6
    
    
    
    1,817.4Deposit assets
    
    
    
    
    
    
    132.8
    
    
    
    
    
    
    
    50.6
    
    
    
    
    
    
    
    183.4Deferred policy acquisition costs
    
    
    
    
    
    
    251.3
    
    
    
    
    
    
    
    53.0
    
    
    
    
    
    
    
    304.3Deferred income taxes
    
    
    
    
    
    
    1.1
    
    
    
    
    
    
    
    0.1
    
    
    
    
    
    
    
    1.0Other assets
    
    
    43.0
    
    
    
    107.0
    
    
    
    31.6
    
    
    
    204.5
    
    
    
    87.7
    
    
    
    298.4Total assets
    
    
    1,859.4
    
    
    
    8,439.1
    
    
    
    224.2
    
    
    
    6,405.6
    
    
    
    5,102.4
    
    
    
    11,825.9Liabilities and equityLiabilitiesReinsurance liabilities
    
    
    
    
    
    
    5,683.7
    
    
    
    
    
    
    
    3,921.9
    
    
    
    1,404.8
    
    
    
    8,200.8Reserves for unearned premiums, gross
    
    
    
    
    
    
    487.5
    
    
    
    
    
    
    
    299.3
    
    
    
    176.0
    
    
    
    610.8Other reinsurance liabilities
    
    
    
    
    
    
    96.6
    
    
    
    
    
    
    
    257.9
    
    
    
    226.7
    
    
    
    127.8Funds held under reinsurance contracts
    
    
    
    
    
    
    162.0
    
    
    
    
    
    
    
    710.5
    
    
    
    539.6
    
    
    
    332.9Deposit liabilities
    
    
    
    
    
    
    276.6
    
    
    
    
    
    
    
    24.0
    
    
    
    
    
    
    
    300.6Deferred income taxes
    
    
    
    
    
    
    0.2
    
    
    
    
    
    
    
    7.9
    
    
    
    
    
    
    
    8.1Accrued expenses and other liabilities
    
    
    51.9
    
    
    
    178.0
    
    
    
    1.0
    
    
    
    229.1
    
    
    
    259.7
    
    
    
    200.3Notes payable
    
    
    150.0
    
    
    
    
    
    
    
    
    
    
    
    175.0
    
    
    
    325.0
    
    
    
    Debt
    
    
    
    
    
    
    
    
    
    
    193.8
    
    
    
    197.4
    
    
    
    
    
    
    
    391.2Total liabilities
    
    
    201.9
    
    
    
    6,884.6
    
    
    
    194.8
    
    
    
    5,823.0
    
    
    
    2,931.8
    
    
    
    10,172.5Shareholders equityCommon stock and
additional paid-in capital
    
    
    1,854.6
    
    
    
    1,874.0
    
    
    
    
    
    
    
    1,372.7
    
    
    
    3,250.8
    
    
    
    1,850.5Treasury stock
    
    
    1.5
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    1.5Unearned stock compensation
    
    
    3.5
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    3.5Total accumulated other
comprehensive income (loss)
    
    
    134.7
    
    
    
    111.6
    
    
    
    2.1
    
    
    
    22.8
    
    
    
    90.9
    
    
    
    134.7Retained (deficit) earnings
    
    
    326.8
    
    
    
    431.1
    
    
    
    27.3
    
    
    
    767.3
    
    
    
    1,171.1
    
    
    
    326.8Total shareholders equity
    
    
    1,657.5
    
    
    
    1,554.5
    
    
    
    29.4
    
    
    
    582.6
    
    
    
    2,170.6
    
    
    
    1,653.4Total liabilities and
shareholders equity
    
    
    1,859.4
    
    
    
    8,439.1
    
    
    
    224.2
    
    
    
    6,405.6
    
    
    
    5,102.4
    
    
    
    11,825.9
 F-53




---



##### Table of Contents



Condensed consolidating statements of cash flows
 Non-(USD million)
    
    Converium
    
    
    Converium
    
    
    Converium
    
    
    Guarantor
    
    
    ConsolidatingYear ended December 31, 2005
    
    Holding AG
    
    
    AG
    
    
    Finance S.A.
    
    
    Entities
    
    
    Adjustments
    
    
    ConsolidatedCash provided by (used in)
operating activities
    
    
    68.7
    
    
    
    415.0
    
    
    
    1.3
    
    
    
    761.1
    
    
    
    121.2
    
    
    
    399.9Cash flows from investing activitiesPurchases of fixed maturities
held-to-maturity
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    4.7
    
    
    
    
    
    
    
    4.7Proceeds from sales and maturities
of fixed maturities
    
    
    
    
    
    
    929.3
    
    
    
    
    
    
    
    3,372.1
    
    
    
    
    
    
    
    4,301.4Purchases of fixed maturities
available-for-sale
    
    
    
    
    
    
    999.3
    
    
    
    
    
    
    
    3,064.3
    
    
    
    
    
    
    
    4,063.6Proceeds from sales of equity securities
    
    
    
    
    
    
    96.1
    
    
    
    
    
    
    
    90.6
    
    
    
    
    
    
    
    186.7Purchases of equity securities
    
    
    
    
    
    
    8.2
    
    
    
    
    
    
    
    117.6
    
    
    
    
    
    
    
    125.8Net increase in short-term investments
    
    
    41.5
    
    
    
    292.5
    
    
    
    
    
    
    
    127.2
    
    
    
    197.2
    
    
    
    73.4Proceeds from sales of other assets
    
    
    
    
    
    
    48.2
    
    
    
    
    
    
    
    154.0
    
    
    
    149.4
    
    
    
    52.8Purchase of other assets
    
    
    
    
    
    
    13.1
    
    
    
    
    
    
    
    30.3
    
    
    
    
    
    
    
    43.4Net increase in deposit assets
    
    
    
    
    
    
    10.6
    
    
    
    
    
    
    
    2.4
    
    
    
    
    
    
    
    13.0Investment in subsidiaries
    
    
    70.0
    
    
    
    14.2
    
    
    
    
    
    
    
    
    
    
    
    84.2
    
    
    
    Net cash (used in) provided by
investing activities
    
    
    28.5
    
    
    
    264.3
    
    
    
    
    
    
    
    524.6
    
    
    
    132.0
    
    
    
    363.8Cash flows from financing activitiesCapital contribution
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    77.1
    
    
    
    77.1
    
    
    
    Net purchases of common shares
    
    
    1.5
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    1.5Net (increase) decrease in
deposit liabilities
    
    
    
    
    
    
    37.7
    
    
    
    
    
    
    
    2.4
    
    
    
    
    
    
    
    35.3Net cash (used in) provided by
financing activities
    
    
    1.5
    
    
    
    37.7
    
    
    
    
    
    
    
    79.5
    
    
    
    77.1
    
    
    
    36.8Effect of exchange rate changes
on cash and cash equivalents
    
    
    1.1
    
    
    
    21.2
    
    
    
    0.3
    
    
    
    25.6
    
    
    
    8.9
    
    
    
    39.3Change in cash and cash equivalents
    
    
    39.8
    
    
    
    134.2
    
    
    
    1.0
    
    
    
    131.4
    
    
    
    75.2
    
    
    
    33.6Cash and cash equivalents
as of January 1
    
    
    2.1
    
    
    
    345.1
    
    
    
    4.2
    
    
    
    329.5
    
    
    
    
    
    
    
    680.9Cash and cash equivalents
as of December 31
    
    
    41.9
    
    
    
    479.3
    
    
    
    3.2
    
    
    
    198.1
    
    
    
    75.2
    
    
    
    647.3
 F-54




---



##### Table of Contents



Condensed consolidating statements of income
 AdjustmentNon-
    
    
    Consoli-
    
    
    for dis-(USD million)
    
    Converium
    
    
    Converium
    
    
    Converium
    
    
    Guarantor
    
    
    dating
    
    
    continued
    
    
    Consoli-Year ended December 31, 2004
    
    Holding AG
    
    
    AG
    
    
    Finance S.A.
    
    
    Entities
    
    
    Adjustments
    
    
    operations
    
    
    datedRevenuesNet premiums written
    
    
    
    
    
    
    2,683.4
    
    
    
    
    
    
    
    1,042.7
    
    
    
    
    
    
    
    470.2
    
    
    
    3,255.9Net premiums earned
    
    
    
    
    
    
    2,599.8
    
    
    
    
    
    
    
    1,282.4
    
    
    
    
    
    
    
    783.7
    
    
    
    3,098.5Net investment income
    
    
    13.4
    
    
    
    189.4
    
    
    
    13.4
    
    
    
    123.2
    
    
    
    26.7
    
    
    
    85.2
    
    
    
    227.5Net realized capital gains (losses)
    
    
    
    
    
    
    12.6
    
    
    
    
    
    
    
    33.9
    
    
    
    
    
    
    
    15.3
    
    
    
    31.2Total revenues
    
    
    13.4
    
    
    
    2,801.8
    
    
    
    13.4
    
    
    
    1,439.5
    
    
    
    26.7
    
    
    
    884.2
    
    
    
    3,357.2Benefits, losses and expensesLosses, loss expenses and life benefits
    
    
    
    
    
    
    1,988.2
    
    
    
    
    
    
    
    1,354.3
    
    
    
    
    
    
    
    947.5
    
    
    
    2,395.0Acquisition costs
    
    
    
    
    
    
    651.0
    
    
    
    
    
    
    
    261.4
    
    
    
    
    
    
    
    158.5
    
    
    
    753.9Other operating and administration
expenses
    
    
    11.7
    
    
    
    105.0
    
    
    
    0.1
    
    
    
    103.0
    
    
    
    
    
    
    
    66.0
    
    
    
    153.8Other income (loss)
    
    
    23.7
    
    
    
    29.5
    
    
    
    19.0
    
    
    
    21.4
    
    
    
    
    
    
    
    3.5
    
    
    
    4.7Interest expense
    
    
    10.6
    
    
    
    0.4
    
    
    
    16.5
    
    
    
    32.3
    
    
    
    26.7
    
    
    
    14.4
    
    
    
    18.7Impairment of goodwill
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    94.0
    
    
    
    
    
    
    
    94.0
    
    
    
    Amortization/impairment of
intangible assets
    
    
    
    
    
    
    9.9
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    9.9Restructuring costs
    
    
    
    
    
    
    0.2
    
    
    
    
    
    
    
    2.5
    
    
    
    
    
    
    
    2.5
    
    
    
    0.2Total benefits, losses and expenses
    
    
    1.4
    
    
    
    2,784.2
    
    
    
    2.4
    
    
    
    1,868.9
    
    
    
    26.7
    
    
    
    1,286.4
    
    
    
    3,336.2Income (loss) before taxes
    
    
    14.8
    
    
    
    17.6
    
    
    
    15.8
    
    
    
    429.4
    
    
    
    
    
    
    
    402.2
    
    
    
    21.0Income tax benefit (expense)
    
    
    2.5
    
    
    
    6.6
    
    
    
    0.1
    
    
    
    210.3
    
    
    
    
    
    
    
    205.9
    
    
    
    4.6Income (loss) from continuing
operations
    
    
    17.3
    
    
    
    24.2
    
    
    
    15.7
    
    
    
    639.7
    
    
    
    
    
    
    
    608.1
    
    
    
    25.6Loss from discontinued operations
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    608.1
    
    
    
    608.1Income (loss) before equity
in (loss) income of subsidiaries
    
    
    17.3
    
    
    
    24.2
    
    
    
    15.7
    
    
    
    639.7
    
    
    
    
    
    
    
    
    
    
    
    582.5Equity in (loss) income of subsidiaries
    
    
    599.8
    
    
    
    624.1
    
    
    
    
    
    
    
    
    
    
    
    1,223.9
    
    
    
    
    
    
    
    Net (loss) income
    
    
    582.5
    
    
    
    599.9
    
    
    
    15.7
    
    
    
    639.7
    
    
    
    1,223.9
    
    
    
    
    
    
    
    582.5
 F-55




---



##### Table of Contents



Condensed consolidating statements of cash flows
 Non-(USD million)
    
    Converium
    
    
    Converium
    
    
    Converium
    
    
    Guarantor
    
    
    ConsolidatingYear ended December 31, 2004
    
    Holding AG
    
    
    AG
    
    
    Finance S.A.
    
    
    Entities
    
    
    Adjustments
    
    
    ConsolidatedCash provided by (used in)
operating activities
    
    
    41.6
    
    
    
    698.9
    
    
    
    2.1
    
    
    
    383.9
    
    
    
    
    
    
    
    358.7Cash flows from investing activitiesPurchases of fixed maturities
held-to-maturity
    
    
    
    
    
    
    214.9
    
    
    
    
    
    
    
    13.3
    
    
    
    
    
    
    
    228.2Proceeds from sales and maturities
of fixed maturities
    
    
    
    
    
    
    936.3
    
    
    
    
    
    
    
    3,179.7
    
    
    
    
    
    
    
    4,116.0Purchases of fixed maturities
available-for-sale
    
    
    
    
    
    
    1,663.5
    
    
    
    
    
    
    
    2,756.7
    
    
    
    
    
    
    
    4,420.2Proceeds from sales of equity securities
    
    
    
    
    
    
    279.6
    
    
    
    
    
    
    
    703.5
    
    
    
    
    
    
    
    983.1Purchases of equity securities
    
    
    
    
    
    
    67.0
    
    
    
    
    
    
    
    470.5
    
    
    
    
    
    
    
    537.5Net increase in short-term investments
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    55.3
    
    
    
    
    
    
    
    55.3Proceeds from sales of other assets
    
    
    
    
    
    
    54.2
    
    
    
    
    
    
    
    28.1
    
    
    
    
    
    
    
    82.3Purchase of other assets
    
    
    
    
    
    
    152.0
    
    
    
    
    
    
    
    8.0
    
    
    
    
    
    
    
    144.0Net increase in deposit assets
    
    
    
    
    
    
    73.3
    
    
    
    
    
    
    
    38.3
    
    
    
    
    
    
    
    111.6Notes receivable
    
    
    46.7
    
    
    
    49.2
    
    
    
    
    
    
    
    135.9
    
    
    
    231.8
    
    
    
    Investment in subsidiaries
    
    
    355.1
    
    
    
    108.7
    
    
    
    
    
    
    
    
    
    
    
    463.8
    
    
    
    Net cash (used in) provided by
investing activities
    
    
    401.8
    
    
    
    1,058.5
    
    
    
    
    
    
    
    449.3
    
    
    
    695.6
    
    
    
    315.4Cash flows from financing activitiesCapital contribution
    
    
    
    
    
    
    402.9
    
    
    
    
    
    
    
    108.7
    
    
    
    511.6
    
    
    
    Issuance of notes payable
    
    
    22.0
    
    
    
    182.6
    
    
    
    
    
    
    
    27.2
    
    
    
    231.8
    
    
    
    Net purchases of common shares
    
    
    6.0
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    6.0Dividends to shareholders
    
    
    47.8
    
    
    
    47.8
    
    
    
    
    
    
    
    
    
    
    
    47.8
    
    
    
    47.8Proceeds from Rights Offering
    
    
    428.4
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    428.4Rights Offering issuance costs
    
    
    25.1
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    25.1Net decrease (increase)
in deposit liabilities
    
    
    
    
    
    
    29.7
    
    
    
    
    
    
    
    31.4
    
    
    
    
    
    
    
    1.7Net cash provided by (used in)
financing activities
    
    
    371.5
    
    
    
    567.4
    
    
    
    
    
    
    
    104.5
    
    
    
    695.6
    
    
    
    347.8Effect of exchange rate changes
on cash and cash equivalents
    
    
    10.4
    
    
    
    15.4
    
    
    
    
    
    
    
    4.0
    
    
    
    
    
    
    
    9.0Change in cash and cash equivalents
    
    
    0.9
    
    
    
    223.2
    
    
    
    2.1
    
    
    
    173.9
    
    
    
    
    
    
    
    400.1Cash and cash equivalents
as of January 1
    
    
    1.2
    
    
    
    121.9
    
    
    
    2.1
    
    
    
    155.6
    
    
    
    
    
    
    
    280.8Cash and cash equivalents
as of December 31
    
    
    2.1
    
    
    
    345.1
    
    
    
    4.2
    
    
    
    329.5
    
    
    
    
    
    
    
    680.9
 F-56




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##### Table of Contents



25. Subsequent events
 SCOR ownership
   A rating up grade
  GAUM sales agreement
  F-57




---



##### Table of Contents



To the
Board of Directors and Shareholders of Converium Holding AG, Zurich
     
 S-1




---



##### Table of Contents



Schedule I
 Converium Holding AG and Subsidiaries
 
 Summary of investments other than investments in related parties as of December 31, 2006
 Amount at whichCost or
    
    
    
    
    
    
    shown in theamortized cost
    
    
    Fair value
    
    
    balance sheet(USD millions)Fixed maturities:Bonds held-to-maturity:US government
    
    
    456.4
    
    
    
    439.4
    
    
    
    456.4Other government
    
    
    261.9
    
    
    
    259.9
    
    
    
    261.9Total fixed maturities held-to-maturity
    
    
    718.3
    
    
    
    699.3
    
    
    
    718.3Bonds available-for-sale:US government
    
    
    852.1
    
    
    
    840.2
    
    
    
    840.2Other government
    
    
    1,548.1
    
    
    
    1,531.9
    
    
    
    1,531.9Public utilities
    
    
    21.0
    
    
    
    20.6
    
    
    
    20.6Other corporate debt securities
    
    
    540.6
    
    
    
    531.5
    
    
    
    531.5Unit trust
    
    
    196.1
    
    
    
    192.1
    
    
    
    192.1Mortgage and asset-backed securities
    
    
    6.3
    
    
    
    6.2
    
    
    
    6.2Total fixed maturities available-for-sale
    
    
    3,164.2
    
    
    
    3,122.5
    
    
    
    3,122.5Total fixed maturities
    
    
    3,882.5
    
    
    
    3,821.8
    
    
    
    3,840.8Equity securities:Common stocks: Public utilities
    
    
    12.7
    
    
    
    16.7
    
    
    
    16.7Banks, trusts, and insurance companies
    
    
    99.8
    
    
    
    118.3
    
    
    
    118.3Industrial, miscellaneous and all other
    
    
    285.8
    
    
    
    359.1
    
    
    
    359.1Unit trust
    
    
    216.0
    
    
    
    240.1
    
    
    
    240.1Non-redeemable preferred stocks
    
    
    0.3
    
    
    
    0.5
    
    
    
    0.5Total equity securities
    
    
    614.6
    
    
    
    734.7
    
    
    
    734.7Real estate
    
    
    39.5
    
    
    
    44.7
    
    
    
    44.7Policyholder, collateral and other loans
    
    
    0.3
    
    
    
    0.3
    
    
    
    0.3Other investments
    
    
    150.6
    
    
    
    169.0
    
    
    
    169.0Short-term investments
    
    
    44.9
    
    
    
    44.9
    
    
    
    44.9Total investments
    
    
    4,732.4
    
    
    
    4,815.4
    
    
    
    4,834.4Funds Withheld Asset
    
    
    940.7
    
    
    
    940.7
    
    
    
    940.7Total invested assets
    
    
    5,673.1
    
    
    
    5,756.1
    
    
    
    5,775.1
 S-2




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##### Table of Contents



Schedule II
 Converium Holding AG
 
 Statements of income
 Year ended December 31,(USD millions)
    
    2006
    
    
    2005
    
    
    2004IncomeNet investment income
    
    
    12.8
    
    
    
    13.3
    
    
    
    13.4Total revenues
    
    
    12.8
    
    
    
    13.3
    
    
    
    13.4ExpensesOther operating and administration expenses
    
    
    -13.4
    
    
    
    -19.2
    
    
    
    -11.7Other (loss) income
    
    
    -10.0
    
    
    
    57.2
    
    
    
    23.7Interest expense
    
    
    -12.4
    
    
    
    -11.2
    
    
    
    -10.6Total expenses
    
    
    -35.8
    
    
    
    26.8
    
    
    
    1.4(Loss) income before taxes
    
    
    -23.0
    
    
    
    40.1
    
    
    
    14.8Income tax benefit
    
    
    
    
    
    
    1.5
    
    
    
    2.5(Loss) income from continuing operations
    
    
    -23.0
    
    
    
    41.6
    
    
    
    17.3(Loss) from discontinued operations
    
    
    -190.8
    
    
    
    
    
    
    
    (Loss) income before equity in income (loss) of subsidiaries
    
    
    -213.8
    
    
    
    41.6
    
    
    
    17.3Equity in income (loss) of subsidiaries
    
    
    270.9
    
    
    
    27.1
    
    
    
    -599.8Net income (loss)
    
    
    57.1
    
    
    
    68.7
    
    
    
    -582.5
  S-3




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##### Table of Contents



Converium Holding AG
 
 Balance sheets
 December 31,(USD millions)
    
    2006
    
    
    2005AssetsInvested assetsInvestment in subsidiaries
    
    
    2,053.6
    
    
    
    1,624.5Notes receivable
    
    
    
    
    
    
    150.0Short-term and other investments
    
    
    
    
    
    
    Total invested assets
    
    
    2,053.6
    
    
    
    1,774.5Other assetsCash and cash equivalents
    
    
    18.4
    
    
    
    41.9Other assets
    
    
    4.4
    
    
    
    43.0Total assets
    
    
    2,076.4
    
    
    
    1,859.4Liabilities and shareholders equityLiabilitiesAccrued expenses and other liabilities
    
    
    76.0
    
    
    
    51.9Notes payable
    
    
    150.0
    
    
    
    150.0Total liabilities
    
    
    226.0
    
    
    
    201.9Shareholders equityCommon stock
and additional paid-in capital
    
    
    1,849.6
    
    
    
    1,853.1Unearned stock compensation
    
    
    0.9
    
    
    
    -3.5Total accumulated other comprehensive income
    
    
    281.3
    
    
    
    134.7Retained deficit
    
    
    -281.4
    
    
    
    -326.8Total shareholders equity
    
    
    1,850.4
    
    
    
    1,657.5Total liabilities and shareholders equity
    
    
    2,076.4
    
    
    
    1,859.4
  S-4




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##### Table of Contents



Schedule II
 Converium Holding AG
 
 Statements of cash flows
 Year ended December 31,(USD millions)
    
    2006
    
    
    2005
    
    
    2004Cash flows from operating activitiesCash
(used in) provided by operating activities
    
    
    -9.3
    
    
    
    68.7
    
    
    
    41.6Cash flows from investing activitiesNotes receivable
    
    
    
    
    
    
    
    
    
    
    -46.7Investment
in subsidiaries
    
    
    
    
    
    
    -70.0
    
    
    
    -355.1Proceeds
from disposal of investments in subsidiaries
    
    
    -1.7
    
    
    
    
    
    
    
    Net increase in short-term investments
    
    
    
    
    
    
    41.5
    
    
    
    Net cash used in investing activities
    
    
    -1.7
    
    
    
    -28.5
    
    
    
    -401.8Cash flows from financing activitiesIssuance of note payable
    
    
    
    
    
    
    
    
    
    
    22.0Net purchases of common shares
    
    
    -3.7
    
    
    
    -1.5
    
    
    
    -6.0Dividends
paid to shareholders
    
    
    -11.7
    
    
    
    
    
    
    
    -47.8Proceeds
from 2004 Rights Offering
    
    
    
    
    
    
    
    
    
    
    428.42004 Rights Offering issuance costs
    
    
    
    
    
    
    
    
    
    
    -25.1Net cash (used in) provided by financing activities
    
    
    -15.4
    
    
    
    -1.5
    
    
    
    371.5Effect of exchange rate changes in cash and cash equivalents
    
    
    2.9
    
    
    
    1.1
    
    
    
    -10.4Change in cash and cash equivalents
    
    
    -23.5
    
    
    
    39.8
    
    
    
    0.9Cash and
cash equivalents as of January 1
    
    
    41.9
    
    
    
    2.1
    
    
    
    1.2Cash and
cash equivalents as of December 31
    
    
    18.4
    
    
    
    41.9
    
    
    
    2.1
  S-5




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##### Table of Contents



Schedule IV
 Converium
Holding AG and subsidiaries
 
 reinsurance and insurance premiums and other considerations
 Gross
    
    
    Ceded to other
    
    
    Assumed from other
    
    
    
    
    
    
    % of amount(USD millions)
    

amount
    
    

companies
    
    
    companies
    
    

Net amount
    
    
    assumed to net2006
    
    
    544.9
    
    
    
    -128.9
    
    
    
    1,436.0
    
    
    
    1,852.0
    
    
    
    77.5
    %2005
    
    
    518.8
    
    
    
    -171.9
    
    
    
    1,436.2
    
    
    
    1,783.1
    
    
    
    80.5
    %2004
    
    
    478.5
    
    
    
    -236.3
    
    
    
    3,013.7
    
    
    
    3,255.9
    
    
    
    92.6
    %
 S-6




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##### Table of Contents



Accident and Health:
 Agribusiness:
 Annuity:
 Aviation & Space:
 Branch Office:
 Cede, Ceding Insurer, Cession:
 Combined Ratio:
 Credit & Surety:
 Cycle Management:
 Engineering:
 Expense Ratio:
 Facultative Reinsurance:
 Fronting:
  General Third Party Liability / Casualty:
 Global Business Segments:
 Gross Premiums Written:
 G-1




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##### Table of Contents



Incurred But Not Reported (IBNR) Reserves:
 Liability:
 Life and Disability:
 Life & Health Reinsurance:
 Loss:
 Loss Adjustment Expenses (LAE):
 Loss Ratio:
 Loss Reserves:
 Marine & Energy:
 Motor:
 Net Premiums Written:
 Non-Proportional Reinsurance:
 Personal Accident:
 Premiums Earned:
 Professional Liability and other Special Liability:
 Property:
 Proportional Reinsurance:
 Reinsurance:
 Representative Office:
 G-2




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##### Table of Contents



Reserves:
 Retention:
 Retrocessional Reinsurance:
 Specialty Lines:
 Standard Property & Casualty Reinsurance:
 Survival Ratio:
 Tail:
 Term Life Insurance:
 Treaty Reinsurance:
 Underwriting:
 Underwriting Results:
 Universal Life Insurance:
 Whole Life Insurance:
 Workers Compensation:
 G-3




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##### Table of Contents



SIGNATURES
  Converium Holding AG
 By:
    
    /s/ Inga K. BealeName: Inga K. BealeTitle: Chief Executive Officer, Converium Holding AGBy:
    
    /s/ Paolo De MartinName: Paolo De MartinTitle: Chief Financial Officer, Converium Holding AG
  Sig-1




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##### Table of Contents



INDEX TO EXHIBITS
 Exhibit Number
    
    Description1.1
    
    Articles of Incorporation of Converium Holding AG, adopted November 8, 2001.*1.2
    
    Bylaws of Converium Holding AG, adopted November 16, 2001, revised March 1, 2007.1.3
    
    Articles of Incorporation of Converium Holding AG, revised May 10, 20071.4
    
    Bylaws of Converium Holding AG, revised April 11, 2005.\2.1
    
    Form of Deposit Agreement among Converium Holding AG, The Bank of New York, as
Depositary, and all owners and beneficial owners from time to time of ADSs issued
thereunder (including the form of ADS), incorporated by reference from the
Registration Statement on Form F-6 of Converium Holding AG (File No. 333-14108),
initially filed with the Commission on November 19, 2001.*2.2
    
    Form of Indenture between Converium Finance, S.A., as Issuer, Converium AG and
Converium Holding AG as Guarantors and JPMorgan Chase Bank as Trustee, Calculation
Agent and Paying Agent.+2.3
    
    Form of the USD 200,000,000 principal amount of 8.25% Guaranteed Subordinated Notes
Due 2032 (included in Exhibit 2.4 hereto).+2.4
    
    Subordinated Guarantee by Converium Holding AG and Converium AG relating to USD
200,000,000 principal amount of 8.25% Guaranteed Subordinated Notes Due 2032. ^2.5
    
    Indenture, dated December 23, 2002 between Converium Finance S.A., Converium
Holding AG, Converium AG and JP Morgan Chase Bank, as trustee, relating to USD
200,000,000 principal amount of 8.25% Guaranteed Subordinated Notes Due 2032. ^4.1
    
    Master Agreement by and among Zurich Financial Services and Converium Holding AG,
dated December 1, 2001.*4.2
    
    Stock Purchase Agreement between Zurich Reinsurance Centre Holdings, Inc. and
Converium Holdings (North America) Inc., dated as of October 1, 2001.*4.3
    
    Agreement for the Sale and Transfer of Shares in Zürich Rückversicherung (Köln)
Aktiengesellschaft, dated September 28, 2001.*4.4
    
    Quota Share Retrocession Agreement between Zurich Insurance Company (including its
Singapore, Labuan and Bermuda branches) and Converium AG, dated October 1, 2001.*4.5
    
    Quota Share Retrocession Agreement between Zurich International (Bermuda) Ltd. and
Converium AG, dated October 1, (and effective as of July 1, 2001).*4.6
    
    Asset purchase and Assumption of Liability Agreement between Zurich Insurance
Company and Converium AG, dated September 28, 2001.*4.7
    
    Indemnity Agreement (Unicover) between Zurich Reinsurance (North America), Inc. and
Zurich Insurance Company, dated as of October 1, 2001.*4.8
    
    Indemnity Agreement (September 11th Cessions) between Zurich Reinsurance (North
America), Inc. and Zurich Insurance Company, dated as of October 1, 2001.*4.9
    
    Indemnity Agreement (September 11th Losses) between Zürich Rückversicherung (Köln)
Aktiengesellschaft and Zurich Insurance Company, dated as of October 1, 2001.*4.10
    
    Partial Commutation Agreement between Zurich Reinsurance (North America), Inc. and
Zurich Insurance Company, dated as of October 1, 2001.*4.11
    
    Master Novation and Indemnity Reinsurance Agreement among Zurich Reinsurance (North
America), Inc., Centre Insurance Company, Centre Solutions (U.S.) Limited and
Zurich Insurance Company, Bermuda Branch, dated as of October 1, 2001.*




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##### Table of Contents



Exhibit Number
    
    Description4.12
    
    Group Reinsurance Business Master Novation and Indemnity Reinsurance Agreement by
and among Zurich Reinsurance (North America), Inc., Zurich Insurance Company and
Zurich International (Bermuda) Ltd., dated as of October 1, 2001.*4.13
    
    Commutation Agreement (covering the Aggregate Excess of Loss Reinsurance Agreement
effective January 1, 1991 through December 31, 1993) between Zurich Reinsurance
(North America), Inc. and Centre Reinsurance Limited, dated as of October 1, 2001.*4.14
    
    Commutation Agreement (covering the Aggregate Excess of Loss Reinsurance Agreement
effective January 1, 1994 through December 31, 1994) between Zurich Reinsurance
(North America), Inc. and Centre Reinsurance International Company, dated as of
October 1, 2001.*4.15
    
    Commutation Agreement (covering the Aggregate Excess of Loss Reinsurance Agreement
effective January 1, 1995) between Zurich Reinsurance (North America), Inc. and
Centre Reinsurance Limited, dated as of October 1, 2001.*4.16
    
    Commutation Agreement (covering the Obligatory Surplus Share Reinsurance Agreement
effective October 1, 1995) between Zurich Reinsurance (North America), Inc. and
Centre Reinsurance Limited, dated as of October 1, 2001.*4.17
    
    Commutation Agreement (covering the Obligatory Surplus Share Reinsurance Agreement
effective November 6, 1992) between Zurich Reinsurance (North America), Inc. and
Centre Reinsurance International Company, dated as of October 1, 2001.*4.18
    
    Agreement Amending and Terminating Centre Reinsurance Dublin Affiliated Group Tax
Allocation Agreement among Orange Stone Delaware Holdings Limited, Orange Stone
Reinsurance, Centre Reinsurance Holdings (Delaware) Limited, Centre Reinsurance
(U.S.) Limited, Zurich Reinsurance Centre Holdings, Inc., Zurich Reinsurance (North
America), Inc., ZC Insurance Company, ZC Specialty Insurance Company, Centre Risk
Advisors, Inc., Constellation Reinsurance Company, Centre Re Services, Inc.,
Zurich Global Assets LLC, formerly known as BDA/US Services Limited, ZC Management
Corporation, ZC Resource LLC, ZC Property Management, Inc. and Claims Solutions
Group, dated October 1, 2001.*4.19
    
    Catastrophe Cover Retrocession Agreement by and between Converium AG and Zurich
Insurance Company, dated December 1, 2001.*4.20
    
    Stock Purchase Agreement between Zurich Reinsurance (North America), Inc. and
Centre Strategic Investments Holdings Limited, dated August 23, 2001.*4.21
    
    Run-off Services and Management Agreement between Zurich Insurance Company and
Converium AG, dated December 3, 2001.*4.22
    
    Tax Sharing and Indemnification Agreement among Zurich Reinsurance Centre Holdings,
Inc., Orange Stone Delaware Holdings Limited, Converium Holdings (North America)
Inc., Zurich Reinsurance (North America), Inc. and Zurich Insurance Company, dated
as of October 1, 2001. *4.23
    
    Tax Sharing and Indemnification Agreement between Zurich Financial Services, Zurich
Insurance Company, Converium Holding AG and Converium AG dated December 3, 2001. *4.24
    
    Form of Converium Standard Stock Option Plan for Non-US Employees. *4.25
    
    Form of Converium Standard Stock Purchase Plan for Non-US Employees. *4.26
    
    Omnibus Share Plan for US Employees. *4.27
    
    Converium Employee Stock Purchase Plan for US Subsidiaries.*4.28
    
    Form of Converium Annual Incentive Deferral Plan.*4.29
    
    Lease, between Zurich Insurance Company and Converium AG, dated August 29, 2001.*




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##### Table of Contents



Exhibit Number
    
    Description4.30
    
    Sublease Support Agreement among Zurich Reinsurance (North America), Inc., Global
Asset Holdings Limited and Centre Insurance Company, dated as of October 1, 2001.*4.31
    
    Sublease between ZC Resource LLC and Zurich Reinsurance (North America), Inc.,
dated as of June 20, 2001.*4.32
    
    Form of Letter Agreement between Converium Holding AG and The Bank of New York,
relating to the pre-release of the ADRs, incorporated by reference from the
Registration Statement on Form F-6 of Converium Holding AG (File No. 333-14108),
initially filed with the Commission on November 19, 2001.*4.33
    
    Agreement dated September 2, 2002, between Converium AG and MDU Investments Ltd,
regarding subscription of up to 20 million shares at £1 each. ^4.34
    
    Share Purchase Agreement dated November 27, 2002, between Converium AG and Northern
States Agency Inc., Munich Re, Aviva and Royal and Sun Alliance regarding Global
Aerospace Underwriting Managers Limited (GAUM). ^4.35
    
    Shareholders Agreement dated March 12, 2003, between Converium AG and Northern
States Agency Inc., Munich Re, Aviva and Royal and Sun Alliance regarding Global
Aerospace Underwriting Managers Limited (GAUM). ^4.36
    
    Sale and Purchase Agreement and Assignment between Converium AG and Converium
Finance S.A. regarding the transfer of a USD150 million loan granted to Converium
Holding AG. ^4.37
    
    Amendment to Share Purchase Agreement dated November 27, 2002 between Converium AG
and Northern States Agency Inc., Munich Re, Aviva and Royal Sun Alliance regarding
Global Aerospace Underwriting Managers Limited (GAUM). ^4.38
    
    Agreement dated December 30, 2003, for the sale and purchase of 5.1% of Royal and
Sun Alliance Insurance PLCs shareholding in Global Aerospace Underwriting Managers
Limited (GAUM). #4.39
    
    Agreement dated July 24, 2003 USD900,000,000 Credit Facility for Converium AG,
Zurich arranged by ABN Amro Bank N.V., Barclays Capital and Commerzbank
Aktiengesellschaft. #4.40
    
    Agreement dated November 29, 2004, USD 1,600,000,000 Credit Facility for Converium
AG, arranged by ABN AMRO Bank N.V., Barclays Capital, BNP Paribas, Commerzbank
Aktiengesellschaft, Credit Suisse First Boston and J.P. Morgan. \4.41
    
    Deed of Pledge, dated December 15, 2004, Converium Rückversicherung (Deutschland)
AG as the Pledgor and ABN Amro Mellon Global Securities Services as the Account
Bank and ABN Amro Bank N.V. as the Pledgee. \4.42
    
    Deed of Pledge, dated December 15, 2004, Converium AG, Zürich, as the Pledgor, and
ABN Amro Bank N.V. as the Pledgee and ABN Amro Mello Global Securities Services as
the Account Bank. .\4.43
    
    Guarantee, dated October 21, 2004 between Converium AG, Zürich as the Guarantor,
and Converium Insurance (UK) Limited. \4.44
    
    Guarantee, dated October 21, 2004 between Converium AG, Zürich as the Guarantor,
and Converium Rückversicherung (Deutschland) AG. \4.45
    
    Fronting and Administration Agreement relating to the Global Aerospace Underwriters
Pool, dated January 7, 2005, between Global Aerospace Underwriting Managers
Limited, Global Aerospace, Inc., Münchener Rückversicherungs Gesellschaft
Aktiengesellschaft in München, National Indemnity Company and Converium AG.\4.46
    
    Amendment No. 1 to the Quota Share Retrocession Agreement between Zurich Insurance
Company (Including its Bermuda Branch) and Converium AG, dated as of October 1,
2001 and effective as of July 1, 2001.4.47
    
    Stock Purchase Agreement by and between National Indemnity Company and Converium AG
dated as of October 16, 2006.




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##### Table of Contents



Exhibit Number
    
    Description4.48
    
    Guarantee Request and Reimbursement Agreement between Converium AG, Zurich,
Switzerland and Bayerische Hypo- und Vereinsbank Aktiengesellschaft, Munich,
Germany4.49
    
    Fronting and Administration Agreement relating to the Global Aerospace Underwriters
Pool, dated December 22, 2006, between Global Aerospace Underwriting Managers
Limited, Global Aerospace, Inc., Münchener Rückversicherungs-Gesellschaft
Aktiengesellschaft in München, National Indemnity Company and Converium AG.4.50
    
    Standard Stock Purchase Plan of Converium Holding AG, Zug, Switzerland December 20064.51
    
    Standard Stock Option Plan of Converium Holding AG, Zug, Switzerland December 20064.52
    
    Transaction Agreement, dated as of May 9, 2007, by and between Converium Holding AG and SCOR S.A.4.53
    
    Fronting and Administration Agreement relating to the Global Aerospace Underwriters Pool,
dated April 25, 2007, between Global Aerospace Underwriting Managers Limited, Global
Aerospace, Inc., Münchener Rückversicherungs-Gesellschaft Aktiengesellschaft in München,
National Indemnity Company and Converium AG.7.1
    
    Computation of ratio of earnings to fixed charges.8.1
    
    Subsidiaries of the Registrant.12.1
    
    302 Certification of Chief Executive Officer.12.2
    
    302 Certification of Chief Financial Officer.13.0
    
    906 Certification of Chief Executive Officer and Chief Financial Officer.
 
 *
    
    Incorporated by reference to the Companys Registration Statement filed on Form F-1, on
December 10, 2001.+
    
    Incorporated by reference to the Companys Registration Statement filed on Form F-1, on December 18, 2002.^
    
    Incorporated by reference to the Companys Annual Report on Form 20-F for the year ended December 31, 2002, filed on April
18, 2003.#
    
    Incorporated by reference to the Companys Annual Report on Form 20-F for the year ended December 31, 2003, filed on April
5, 2004.\
    
    Incorporated by reference to the Companys Annual Report on Form 20-F for the year ended December 31, 2004, filed on June
30, 2005.