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|                                                 |  | 
|------------------------------------------------ |  | 
|UNITED STATES SECURITIES AND EXCHANGE COMMISSION
|WASHINGTON, DC 20549                            
|                                                
|FORM 20-F                                       

| |  |                                                                                               
| |  | ----------------------------------------------------------------------------------------------
| |  | REGISTRATION STATEMENT PURSUANT TO SECTION 12(b) OR (g) OF THE
SECURITIES EXCHANGE ACT OF 1934
|
|
|
|
|
| |  | OR                                                                                            
|
|
|
|
|
| |  | ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE
ACT OF 1934          
|
|
|
|
|
| |  | For the fiscal year ended December 31, 2001.                                                  
|
|
|
|
|
| |  | OR                                                                                            
|
|
|
|
|
| |  | TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES
EXCHANGE ACT OF 1934      

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Commission file number: 333-14106CONVERIUM 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)

Baarerstrasse 8
CH-6300 Zug
Switzerland
(Address of principal executive offices)



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Securities registered or to be registered pursuant to Section 12(b) of the Act.

|                                                                                                                                                                   |  |                         |  | 
|------------------------------------------------------------------------------------------------------------------------------------------------------------------ |  | ----------------------- |  | 
|                                                                                                                                                                   |  | Name of each Exchange  
|Title of each class                                                                                                                                                |  | on which registered    
|                                                                                                                                                                   |  |                        
|American Depositary Shares (as evidenced by
American Depositary Receipts), each representing
one-half (1/2) of one registered share, nominal
value CHF10 per share |  | New York Stock Exchange
|Registered shares, nominal value CHF10 per share*                                                                                                                  |  | 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

Securities registered or to be registered pursuant to Section 12(g) of the Act.
None
(Title of Class)

Securities for which there is a
reporting obligation pursuant to Section 15(d) of the Act.
None
(Title of Class)



---

Indicate the number of outstanding shares of each of the issuers
classes of capital or common stock as of the close of the period covered by
the annual report.



| |  |  | As of December 31, 2001, there were outstanding: 40,000,000
registered shares, nominal value CHF10 per share, including
7,808,100 American Depositary Shares (as evidenced by
American Depositary Receipts), each representing one-half
(1/2) of one registered share.
| |  |  | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

Indicate by check mark whether the registrant (1) has filed all reports
required to be filed by Section 13 or 15(d) of the Securities Exchange Act
of 1934 during the preceding 12 months (or for such shorter period that the
registrant was required to file such reports), and (2) has been subject to
such filing requirements for the past 90 days.

Yes                  No

Indicate by check mark which financial statement item the registrant has
elected to follow.

Item 17                 Item 18



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TABLE OF CONTENTS



|                                                     |                                                                                                  |  |  |  |  |  |  | 
|---------------------------------------------------- | ------------------------------------------------------------------------------------------------ |  |  |  |  |  |  | 
|PRESENTATION OF INFORMATION                         
|CAUTIONARY NOTE REGARDING FORWARD-LOOKING STATEMENTS
|PART I                                              
|                                                     | ITEM 1. IDENTITY OF DIRECTORS, SENIOR MANAGEMENT AND ADVISERS                                   
|                                                     | ITEM 2. OFFER STATISTICS AND EXPECTED TIMETABLE                                                 
|                                                     | ITEM 3. KEY INFORMATION                                                                         
|                                                     | ITEM 4. INFORMATION ON THE COMPANY                                                              
|                                                     | ITEM 5. OPERATING AND FINANCIAL REVIEW AND PROSPECTS                                            
|                                                     | ITEM 6. DIRECTORS, SENIOR MANAGEMENT AND EMPLOYEES                                              
|                                                     | ITEM 7. MAJOR SHAREHOLDERS AND RELATED PARTY TRANSACTIONS                                       
|                                                     | ITEM 8. FINANCIAL INFORMATION                                                                   
|                                                     | ITEM 9. THE OFFER AND LISTING                                                                   
|                                                     | ITEM 10. ADDITIONAL INFORMATION                                                                 
|                                                     | ITEM 11. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK                             
|                                                     | 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. [RESERVED]                                                                             
|                                                     | ITEM 16. [RESERVED]                                                                             
|PART III                                            
|                                                     | ITEM 17. FINANCIAL STATEMENTS                                                                   
|                                                     | ITEM 18. FINANCIAL STATEMENTS                                                                   
|                                                     | ITEM 19. EXHIBITS                                                                               
|                                                     | Converium Group Report of the Group auditors                                                    
|                                                     | Converium Group Consolidated and historical combined statements of income                       
|                                                     | Converium Group Consolidated and historical combined balance sheets                             
|                                                     | Converium Group Consolidated and historical combined statements of cash flows                   
|                                                     | Converium Group Consolidated and historical combined statements of changes in equity            
|                                                     | Converium Group Notes to the consolidated and historical combined financial statements          
|                                                     | Schedule of segment data                                                                        
|                                                     | Converium Group Notes to the consolidated and historical combined financial statements          
|                                                     | 1. Organization and nature of operations                                                        
|                                                     | 2. Summary of significant accounting policies                                                   
|                                                     | 3. Restructuring costs                                                                          
|                                                     | 4. Foreign currency translation and transactions                                                
|                                                     | 5. Segment information                                                                          
|                                                     | 6. Invested assets and investment income                                                        
|                                                     | 7. Goodwill                                                                                     
|                                                     | 8. Losses and loss adjustment expenses                                                          
|                                                     | 9. The Quota Share Retrocession Agreement, retrocessional reinsurance and catastrophe protection
|                                                     | 10. Debt                                                                                        
|                                                     | 11. Income taxes                                                                                
|                                                     | 12. Employee benefits                                                                           
|                                                     | 13. Share compensation and incentive plans                                                      
|                                                     | 14. Shareholders equity                                                                        
|                                                     | 15. Transactions with Zurich Financial Services                                                 
|                                                     | 16. Related party transactions                                                                  
|                                                     | 17. Supplement cash flow disclosures                                                            
|                                                     | 18. Fair value of financial instruments                                                         
|                                                     | 19. Commitments and contingencies                                                               
|                                                     | 20. Consolidated and historical combined entities                                               
|                                                     | 21. Earnings per share                                                                          
|                                                     | 22. Subsequent events (unaudited)                                                               
|GLOSSARY OF SELECTED INSURANCE AND REINSURANCE TERMS
|SIGNATURES                                          
|INDEX TO EXHIBITS                                   
|Subsidiaries of the Registrant                      



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TABLE OF CONTENTS

|                                                                                     |  |       |     | 
|------------------------------------------------------------------------------------ |  | ----- | --- | 
|                                                                                     |  | Page 
|                                                                                     |  |      
|Presentation of Information                                                          |  | ii   
|Cautionary Note Regarding Forward-Looking Statements                                 |  | ii   
|                                                                                    
|PART I                                                                               |  |       |     | 
|                                                                                    
|ITEM 1. Identity of Directors, Senior Management and Advisers                        |  |       | 1   | 
|ITEM 2. Offer Statistics and Expected Timetable                                      |  |       | 1   | 
|ITEM 3. Key Information                                                              |  |       | 1   | 
|ITEM 4. Information on the Company                                                   |  |       | 10  | 
|ITEM 5. Operating and Financial Review and Prospects                                 |  |       | 63  | 
|ITEM 6. Directors, Senior Management and Employees                                   |  |       | 98  | 
|ITEM 7. Major Shareholders and Related Party Transactions                            |  |       | 107 | 
|ITEM 8. Financial Information                                                        |  |       | 108 | 
|ITEM 9. The Offer and Listing                                                        |  |       | 112 | 
|ITEM 10. Additional Information                                                      |  |       | 114 | 
|ITEM 11. Quantitative and Qualitative Disclosures About Market Risk                  |  |       | 128 | 
|ITEM 12. Description of Securities Other Than Equity Securities                      |  |       | 131 | 
|                                                                                    
|PART II                                                                              |  |       |     | 
|                                                                                    
|ITEM 13. Defaults, Dividend Arrearages and Delinquencies                             |  |       | 132 | 
|ITEM 14. Material Modification to the Rights of Security Holders and Use of Proceeds |  |       | 132 | 
|ITEM 15. [RESERVED]                                                                  |  |       | 132 | 
|ITEM 16 [RESERVED]                                                                   |  |       | 132 | 
|                                                                                    
|PART III                                                                             |  |       |     | 
|                                                                                    
|ITEM 17. Financial Statements                                                        |  |       | 133 | 
|ITEM 18. Financial Statements                                                        |  |       | 133 | 
|ITEM 19. Exhibits                                                                    |  |       | 133 | 
|                                                                                    
|Consolidated and Historical Combined Financial Statements and Schedules              |  |       | F-1 | 
|Glossary of Selected Insurance and Reinsurance Terms                                 |  |       | G-1 | 
|Signatures                                                                           |  | Sig-1

i



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PRESENTATION OF INFORMATION

In this annual report on Form 20-F, unless the context otherwise requires,
Converium, we, us, and our refer to Converium Holding AG and our
consolidated entities. Please refer to the glossary beginning on page G-1 for
definitions of selected insurance and reinsurance terms.

We publish our financial statements in U.S.
dollars, and unless we note otherwise, all amounts in this annual report are
expressed in U.S. dollars. As used herein, references to U.S. dollars,
dollars or $ and cents are to U.S. currency, references to Swiss francs
or CHF are to Swiss currency, references to yen or Japanese yen are to
Japanese currency, references to British pounds or £ are to British
currency and references to euro or
 are to the single European currency
of the member states of the European Monetary Union at the relevant time.




CAUTIONARY NOTE REGARDING FORWARD-LOOKING STATEMENTS

This annual report contains forward-looking statements. Forward-looking
statements are necessarily based on estimates and assumptions that are
inherently subject to significant business, economic and competitive
uncertainties and contingencies, many of which, with respect to future business
decisions, are subject to change. These uncertainties and contingencies can
affect actual results and could cause actual results to differ materially from
those expressed in any forward-looking statements made by, or on behalf of, us.

In particular, statements using words such as expect, anticipate,
intend, believe or words of similar import generally involve
forward-looking statements. This annual report includes a number of
forward-looking statements, including the following:



| |  |  | 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 4.  Information on the Company 
B. Business Overview  Regulation with regard to 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                                                                           
|
| |  |  | certain statements in
Item 11.  Quantitative and Qualitative Disclosures
About Market Risk with regard to sensitivity analyses for
invested assets                                                                                                                                                          

In light of the risks and uncertainties inherent in all future
projections, the inclusion of forward-looking statements should not be
considered a representation by us that objectives or plans will be achieved.
Numerous factors could cause our actual results to differ materially from those
in the forward-looking statements, including factors set forth in
Item 3. 
Key Information  D. Risk Factors and the following:



| |  |  | cyclicality of the reinsurance industry                                                                                    
| | - |  | ---------------------------------------------------------------------------------------------------------------------------
|
| |  |  | uncertainties in our reserving process                                                                                     
|
| |  |  | 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 which 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                

ii



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| |  |  | the lowering or loss of one of the financial or claims-paying ratings of one or more of our subsidiaries                                                 
| | - |  | ---------------------------------------------------------------------------------------------------------------------------------------------------------
|
| |  |  | political risks in the countries in which we operate or in which we insure risks                                                                         
|
| |  |  | the passage of additional legislation or the promulgation of
new regulation in a jurisdiction in which we operate or where our
subsidiaries are organized
|
| |  |  | changes in our investment results due to the changed
composition of our investment assets or changes in our investment
policy                            
|
| |  |  | failure of our retrocessional reinsurers to honor their obligations                                                                                      
|
| |  |  | risks associated with implementing our business strategies                                                                                               
|
| |  |  | risks relating to the integration of our business units into a new entity                                                                                
|
| |  |  | extraordinary events affecting our clients, such as bankruptcies and liquidations                                                                        

The factors listed above should not be construed as exhaustive. We cannot
assess the impact of each factor on our business or the extent to which any
factor, or combination of factors, may cause actual results to differ
materially from those described in any forward-looking statements. Except as
otherwise required by law, we undertake no obligation to publicly release any
future revisions we may make to forward-looking statements to reflect events or
circumstances after the date of this annual report or to reflect the occurrence
of unanticipated events.

iii



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PART I




ITEM 1. IDENTITY OF DIRECTORS, SENIOR MANAGEMENT AND ADVISERS

Not applicable.




ITEM 2. OFFER STATISTICS AND EXPECTED TIMETABLE

Not applicable.




ITEM 3. KEY INFORMATION

A. SELECTED FINANCIAL AND OTHER DATA

We prepare our consolidated and historical combined financial statements
(financial statements) included in this annual report in accordance with
accounting principles generally accepted in the United States, or U.S. GAAP.
The following financial data highlights selected information that is derived
from our financial statements as of and for the years ended December 31, 2001,
2000, 1999 and 1998, which have been audited by PricewaterhouseCoopers AG,
independent accountants.

Converium was formed as a result of the divestiture of the former Zurich
Re business of Zurich Financial Services in December 2001. For a description
of the transactions that led to the divestiture, which we refer to herein as
the Formation Transactions, see Item 4.  Information on the Company  A.
History and Development of the Company. The financial statements are
presented as if we had been a separate entity for all periods presented. The
financial statements include estimates related to the allocation to Converium
of costs of Zurich Financial Services corporate infrastructure. We believe
that these allocations are reasonable. However, this financial information may
not be indicative of our future performance and does not necessarily reflect
what our financial position and results of operations would have been had we
operated as a stand-alone entity during the periods covered.

The selected financial data presented below omits data related to 1997.
The historical combined financial statements were prepared on a carve-out basis
and involved extensive efforts. Financial information for 1997 on this basis
is not available and would have been onerous and costly to produce.

|                               |                                                               |                                     |        |                                               |          |      |       |          |          |      |       |          |          |   |       |         |          |  
|------------------------------ | ------------------------------------------------------------- | ----------------------------------- | ------ | --------------------------------------------- | -------- | ---- | ----- | -------- | -------- | ---- | ----- | -------- | -------- | - | ----- | ------- | -------- | -
|                               |                                                               |                                     |        | Year Ended December 31,                      
|                               |                                                               |                                     |        |                                              
|                               |                                                               |                                     |        | 2001                                          |          | 2000 |       | 1999     |          | 1998
|                               |                                                               |                                     |        |                                               |          |      |       |          |          |     
|                               |                                                               |                                     |        | ($ in millions, except per share information)
|Income statement data:         |                                                               |                                     |        |                                               |          |      |       |          |          |      |       |          |          |   |       |        
|Revenues:                      |                                                               |                                     |        |                                               |          |      |       |          |          |      |       |          |          |   |       |        
|                               | Gross premiums written                                        |                                     | $      | 2,881.2                                       |          |      | $     | 2,565.8  |          |      | $     | 1,928.7  |          |   | $     | 1,458.8 |         
|                               | Less ceded premiums written                                   |                                     |        | (398.6                                        | )        |      |       | (569.8   | )        |      |       | (358.5   | )        |   |       | (213.7  | )       
|                               |                                                               |                                     |        |                                               |          |      |       |          |          |      |       |          |          |   |       |        
|                               | Net premiums written                                          |                                     |        | 2,482.6                                       |          |      |       | 1,996.0  |          |      |       | 1,570.2  |          |   |       | 1,245.1 |         
|                               | Net change in unearned premiums                               |                                     |        | (187.4                                        | )        |      |       | (134.5   | )        |      |       | (168.7   | )        |   |       | (17.7   | )       
|                               |                                                               |                                     |        |                                               |          |      |       |          |          |      |       |          |          |   |       |        
|                               | Net premiums earned                                           |                                     |        | 2,295.2                                       |          |      |       | 1,861.5  |          |      |       | 1,401.5  |          |   |       | 1,227.4 |         
|                               | Net investment income                                         |                                     |        | 228.7                                         |          |      |       | 176.0    |          |      |       | 214.0    |          |   |       | 255.4   |         
|                               | Net realized capital (losses) gains                           |                                     |        | (18.4                                         | )        |      |       | 83.7     |          |      |       | 76.3     |          |   |       | 78.9    |         
|                               | Other (loss) income                                           |                                     |        | (5.8                                          | )        |      |       | 29.3     |          |      |       | 22.1     |          |   |       | 24.8    |         
|                               |                                                               |                                     |        |                                               |          |      |       |          |          |      |       |          |          |   |       |        
|                               |                                                               | Total revenues                      |        |                                               | 2,499.7  |      |       |          | 2,150.5  |      |       |          | 1,713.9  |   |       |         | 1,586.5  |  
|                               |                                                               |                                     |        |                                               |          |      |       |          |          |      |       |          |          |   |       |        
|Benefits, losses and expenses: |                                                               |                                     |        |                                               |          |      |       |          |          |      |       |          |          |   |       |        
|                               | Total losses, loss adjustment expenses and
insurance benefits |                                     |        | (2,300.5                                      | )        |      |       | (1,604.5 | )        |      |       | (1,138.7 | )        |   |       | (917.3  | )       
|                               | Total costs and expenses                                      |                                     |        | (678.7                                        | )        |      |       | (587.5   | )        |      |       | (470.6   | )        |   |       | (484.7  | )       
|                               | Amortization of goodwill                                      |                                     |        | (7.8                                          | )        |      |       | (7.3     | )        |      |       | (6.2     | )        |   |       | (6.2    | )       
|                               | Restructuring costs                                           |                                     |        | (50.0                                         | )        |      |       |         |          |      |       |         |          |   |       |        |         
|                               |                                                               |                                     |        |                                               |          |      |       |          |          |      |       |          |          |   |       |        
|                               |                                                               | Total benefits, losses and expenses |        |                                               | (3,037.0 | )    |       |          | (2,199.3 | )    |       |          | (1,615.5 | ) |       |         | (1,408.2 | )
|                               |                                                               |                                     |        |                                               |          |      |       |          |          |      |       |          |          |   |       |        
|(Loss) income before taxes     |                                                               |                                     | (537.3 | )                                             |          |      | (48.8 | )        |          |      | 98.4  |          |          |   | 178.3 |        
|Income tax benefit (expense)   |                                                               |                                     | 169.9  |                                               |          |      | 19.5  |          |          |      | (40.6 | )        |          |   | (62.0 | )      
|                               |                                                               |                                     |        |                                               |          |      |       |          |          |      |       |          |          |   |       |        
|Net (loss) income              |                                                               | $                                   | (367.4 | )                                             |          | $    | (29.3 | )        |          | $    | 57.8  |          |          | $ | 116.3 |        
|                               |                                                               |                                     |        |                                               |          |      |       |          |          |      |       |          |          |   |       |        

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|                           |                                   |  |   |                                               |   |      |   |       |   |      |   |      |  |  |   |      |  | 
|-------------------------- | --------------------------------- |  | - | --------------------------------------------- | - | ---- | - | ----- | - | ---- | - | ---- |  |  | - | ---- |  | 
|                           |                                   |  |   | Year Ended December 31,                      
|                           |                                   |  |   |                                              
|                           |                                   |  |   | 2001                                          |   | 2000 |   | 1999  |   | 1998
|                           |                                   |  |   |                                               |   |      |   |       |   |     
|                           |                                   |  |   | ($ in millions, except per share information)
|(Loss) earnings per share: |                                   |  |   |                                               |   |      |   |       |   |      |   |      |  |  |   |     
|                           | Number of shares (millions)(1)    |  |   | 40.0                                          |   |      |   | 40.0  |   |      |   | 40.0 |  |  |   | 40.0 | 
|                           | Basic (loss) earnings per share   |  | $ | (9.18                                         | ) |      | $ | (0.73 | ) |      | $ | 1.45 |  |  | $ | 2.91 | 
|                           | Diluted (loss) earnings per share |  |   | (9.18                                         | ) |      |   | (0.73 | ) |      |   | 1.45 |  |  |   | 2.91 | 

|                        |  |                    |         |      |  |      |         |      |  |   |         |  |  |   |         | 
|----------------------- |  | ------------------ | ------- | ---- |  | ---- | ------- | ---- |  | - | ------- |  |  | - | ------- | 
|                        |  | As of December 31,
|                        |  |                   
|                        |  | 2001               |         | 2000 |  | 1999 |         | 1998
|                        |  |                    |         |      |  |      |         |     
|                        |  | ($ in millions)   
|Balance sheet data:     |  |                    |         |      |  |      |         |      |  |   |         |  |  |   |         | 
|Total invested assets   |  | $                  | 4,915.9 |      |  | $    | 4,349.7 |      |  | $ | 4,232.8 |  |  | $ | 3,898.1 | 
|Total assets            |  |                    | 9,706.5 |      |  |      | 8,321.3 |      |  |   | 6,916.0 |  |  |   | 6,290.9 | 
|Reinsurance liabilities |  |                    | 7,677.9 |      |  |      | 6,486.6 |      |  |   | 5,048.9 |  |  |   | 4,409.9 | 
|Debt                    |  |                    | 197.0   |      |  |      | 196.9   |      |  |   | 196.8   |  |  |   | 196.7   | 
|Total liabilities       |  |                    | 8,135.7 |      |  |      | 7,232.9 |      |  |   | 5,694.6 |  |  |   | 5,060.6 | 
|Total equity            |  |                    | 1,570.8 |      |  |      | 1,088.4 |      |  |   | 1,221.4 |  |  |   | 1,230.3 | 

|                                 |                            |  |                         |         |      |  |       |         |      |  |       |         |  |  |       |         | 
|-------------------------------- | -------------------------- |  | ----------------------- | ------- | ---- |  | ----- | ------- | ---- |  | ----- | ------- |  |  | ----- | ------- | 
|                                 |                            |  | Year Ended December 31,
|                                 |                            |  |                        
|                                 |                            |  | 2001                    |         | 2000 |  | 1999  |         | 1998
|                                 |                            |  |                         |         |      |  |       |         |     
|                                 |                            |  | ($ in millions)        
|Other data:                      |                            |  |                         |         |      |  |       |         |      |  |       |         |  |  |       |        
|Net premiums written by segment: |                            |  |                         |         |      |  |       |         |      |  |       |         |  |  |       |        
|                                 | Converium Zurich           |  | $                       | 1,185.0 |      |  | $     | 818.3   |      |  | $     | 569.5   |  |  | $     | 439.9   | 
|                                 | Converium North America    |  |                         | 898.4   |      |  |       | 844.7   |      |  |       | 677.3   |  |  |       | 533.3   | 
|                                 | Converium Cologne          |  |                         | 257.8   |      |  |       | 218.6   |      |  |       | 238.6   |  |  |       | 209.3   | 
|                                 | Converium Life             |  |                         | 141.4   |      |  |       | 114.4   |      |  |       | 84.8    |  |  |       | 62.6    | 
|                                 |                            |  |                         |         |      |  |       |         |      |  |       |         |  |  |       |        
|                                 | Total net premiums written |  | $                       | 2,482.6 |      |  | $     | 1,996.0 |      |  | $     | 1,570.2 |  |  | $     | 1,245.1 | 
|                                 |                            |  |                         |         |      |  |       |         |      |  |       |         |  |  |       |        
|Non-life combined ratio          |                            |  | 128.9                   | %       |      |  | 116.9 | %       |      |  | 112.5 | %       |  |  | 111.8 | %      
|                                 |                            |  |                         |         |      |  |       |         |      |  |       |         |  |  |       |        



---

|(1) |  | Immediately following the Formation Transactions, we had 40,000,000
shares outstanding. Therefore, these shares are considered outstanding
for all prior periods presented.
|--- |  | ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------

Dividends

For a discussion of
our dividend policy, see Item 8.  Financial
Information  A. Consolidated Statements and Other Financial
Information 
Dividends and Dividend Policy.

B. CAPITALIZATION AND INDEBTEDNESS

Not applicable.

C. REASONS FOR THE OFFER AND USE OF PROCEEDS

Not applicable.

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D. RISK FACTORS

Cyclicality of the reinsurance industry may cause fluctuations in our results

The insurance and reinsurance industries, particularly the non-life
market, are cyclical. Historically, operating results of reinsurers have
fluctuated significantly because of volatile and sometimes unpredictable
developments, many of which are beyond their direct control. These
developments include:



| |  |  | price competition                                                                   
| | - |  | ------------------------------------------------------------------------------------
|
| |  |  | frequency of occurrence or severity of both natural and man-made catastrophic events
|
| |  |  | levels of capacity and demand                                                       
|
| |  |  | general economic conditions                                                         
|
| |  |  | changes in legislation, case law and prevailing concepts of liability               

As a result, the reinsurance business historically has been characterized
by periods of intense price competition due to excessive underwriting capacity
as well as periods when shortages of underwriting capacity permitted attractive
premium levels. We expect to continue to experience the effects of this
cyclicality, which could have a material adverse effect on our financial
condition, results of operations or cash flows.

Our loss reserves may not adequately cover future losses and benefits

Our loss reserves may prove to be inadequate to cover our actual losses
and benefits experience. To the extent loss reserves are insufficient to cover
actual losses, loss adjustment expenses or future policy benefits, we would
have to add to these loss reserves and incur a charge to our earnings which
could have a material adverse effect on our financial condition, results of
operations or cash flows.

Loss reserves do not represent an exact calculation of liability, but
rather are estimates of the expected cost of the ultimate settlement of losses.
All of our loss reserve estimates are based on actuarial and statistical
projections, at a given time, of facts and circumstances known at that time and
estimates of trends in loss severity and other variable factors, including new
concepts of liability and general economic conditions. Changes in these trends
or other variable factors could result in claims in excess of our loss
reserves.

Unforeseen losses, the type or magnitude of which we cannot predict, may
emerge in the future. These additional losses could arise from newly acquired
lines of business, changes in the legal environment, extraordinary events
affecting our clients such as reorganizations and liquidations or changes in
general economic conditions.

In addition, because we, like other reinsurers, do not separately evaluate
each of the individual risks assumed under reinsurance treaties, we are largely
dependent on the original underwriting decisions made by ceding companies. We
are subject to the risk that our ceding companies may not have adequately
evaluated the risks to be reinsured and that the premiums ceded to us may not
adequately compensate us for the risks we assume.

We had $5,710.5 million of gross reserves and $4,165.5 million of net
reserves for losses and loss adjustment expenses as of December 31, 2001. If
we underestimated these net reserves by 5%, this would have resulted in $208.3
million of incurred losses and loss adjustment expenses, before income taxes,
for the year ended December 31, 2001.

Our exposure to catastrophic events, both natural and man-made, may cause unexpected large losses

A catastrophic event or multiple catastrophic events may cause unexpected
large losses and could have a material adverse effect on our financial
condition, results of operations or cash flows. Natural catastrophic events to
which we are exposed include windstorms, hurricanes, earthquakes, tornadoes,
severe hail, severe winter weather, floods and fires, and are

3



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inherently unpredictable in terms of both their occurrence and severity.
For example, in 1999 and 2000, the reinsurance industry suffered losses from
windstorms and flooding in Europe. These events adversely affected our
results.

We are also exposed to man-made catastrophic events, such as the terrorist
attacks of September 11, 2001, which are difficult to predict and may have a
significant adverse impact on our industry and on us. It is possible that both
the frequency and severity of man-made catastrophic events will increase.

As a result, claims from natural or man-made catastrophic events could
cause substantial volatility in our financial results for any period and
adversely affect our financial condition or results of operations. Our ability
to write new business could also be impacted. We believe that increases in the
value and geographic concentration of insured property and the effects of
inflation will increase the severity of claims from catastrophic events in the
future.

The extent of our losses from catastrophic occurrences is a function of
the total insured amount of losses our clients incur, the number of our clients
affected, the frequency of the events and the severity of the particular
catastrophe. In addition, depending on the nature of the loss, the speed with
which claims are made and the terms of the policies affected, we may be
required to make large claims payments upon short notice. We may be forced to
fund these obligations by liquidating investments unexpectedly and in
unfavorable market conditions, or raising funds at unfavorable costs, both of
which could adversely affect the results of our operations.

Our efforts to protect ourselves against catastrophic losses, such as the
use of selective underwriting practices, the purchasing of reinsurance (which,
when bought by a reinsurer such as Converium, is known as retrocessional
reinsurance) and the monitoring of risk accumulations, including on a
geographic basis, may not prevent such occurrences from adversely affecting our
profitability or financial condition. The majority of the catastrophe
reinsurance we write relates to exposures within the United States, Europe and
Japan. Accordingly, we are exposed to catastrophic events which affect these
regions, such as U.S. hurricane, California earthquake, European windstorm and
Japanese earthquake events. Our estimated potential losses on a probable
maximum loss (PML) basis, before giving effect to our retrocessional
reinsurance protection, are managed to a self- imposed maximum gross limit of
$350 million for a 250-year return period loss. See Item 4.  Information on
the Company  B. Business Overview  Catastrophe Risk Management.

Terrorist attacks and national security threats could result in the payment of
material insurance claims and may have an enduring negative impact on our
business

We believe that the terrorist attacks of September 11, 2001 represent the
largest loss event in the insurance industrys history. As of December 31,
2001, we have estimated and recorded gross losses and loss adjustment expenses
for insurance claims arising in connection with the terrorist attacks of $692.9
million. Our recorded losses and loss adjustment expenses were $289.2 million,
net of retrocessional reinsurance recoveries. Losses from our aviation and
property businesses represented the majority of the net loss. The remainder of
the losses were from our workers compensation, life and third party liability
lines of business. It is very early in the claims process, and our gross
estimates are subject to revision as claims are received from insurers and our
claims to our retrocessionaires are identified and processed.

We cannot assess the long-term effects of terrorist attacks and continuing
threats to national security on our businesses at this time. The September
11th terrorist attacks, threats of further terrorist attacks and the military
initiatives and political unrest in Afghanistan and the Middle East have had a
significant adverse effect on general economic, market and political
conditions, increasing many of the risks in our businesses. Although Zurich
Financial Services, through its subsidiaries, has agreed to arrangements that
cap our exposure for losses and loss adjustment expenses arising out of the
September 11th attacks at $289.2 million, net of retrocessional reinsurance
recoveries, terrorist attacks and other man-made catastrophic events may have
an enduring negative effect on our business, financial condition and results of
operations.

Over time the rating agencies could reexamine the ratings affecting our
industry generally, including us. For additional discussion of the impact of
the September 11th terrorist attacks on our business, see Note 8 to our
financial statements.

4



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##### Table of Contents



If we are unable to achieve our investment objectives, our financial condition
may be adversely affected

Investment returns are an important part of our overall profitability, and
fluctuations in the fixed income or equity markets could have a material
adverse effect on our financial condition, results of operations or cash flows.
In 2001, net investment income and net realized capital (losses) gains
accounted for 8.4% of our revenues. Accordingly, our capital levels, ability
to pay catastrophic claims and our operating results substantially depend on
our ability to achieve our investment objectives, which may be affected by
general political and economic conditions that are beyond our control.

Fluctuations in interest rates affect our returns on fixed income
investments, as well as the market values of, and corresponding levels of
capital gains or losses on, the fixed income securities in our investment
portfolio. Generally, investment income will be reduced during sustained
periods of lower interest rates as higher yielding fixed income securities are
called, mature or are sold and the proceeds reinvested at lower rates. During
periods of rising interest rates, prices of fixed income securities tend to
fall and realized gains upon their sale are reduced. General economic
conditions can adversely affect the markets for interest-rate-sensitive
securities, including the extent and timing of investor participation in such
markets, the level and volatility of interest rates and, consequently, the
value of fixed income securities. Interest rates are highly sensitive to many
factors, including governmental monetary policies, domestic and international
economic and political conditions and other factors beyond our control.

We invest a portion of our assets globally in equity securities, which are
generally subject to greater risks and more volatility than fixed income
securities. General economic conditions, stock market conditions and many
other factors beyond our control can adversely affect the equity markets and,
consequently, the value of the equity securities we own.

Our investment results benefited in 1999 from strong stock market
performance in excess of historical performance. In 2000 and 2001, stock
markets around the world generally experienced meaningful declines and
significant volatility, especially in the period immediately after the
September 11th terrorist attacks. However, this was partially offset by the
impact of a lower interest rate environment and subsequent recovery of the
equity markets to pre-September 11th levels. In 2001, we recorded net realized
capital losses of $18.4 million. This included $82.5 million of impairment
losses on our equity portfolio following declines in global stock markets,
particularly in the telecommunications and technology sectors in North America.
The following table sets forth, for the periods indicated, our net unrealized
gains on investments, net of taxes; net realized capital (losses) gains; and
total invested assets as of and for the periods shown.

|                                                  |  |                     |         |      |  |      |         |  |  |   |         | 
|------------------------------------------------- |  | ------------------- | ------- | ---- |  | ---- | ------- |  |  | - | ------- | 
|                                                  |  | Year Ended Dec. 31,
|                                                  |  |                    
|                                                  |  | 2001                |         | 2000 |  | 1999
|                                                  |  |                     |         |      |  |     
|                                                  |  | ($ in millions)    
|Net unrealized gains on investments,
net of taxes |  | $                   | 30.3    |      |  | $    | 18.8    |  |  | $ | 16.9    | 
|Net realized capital (losses) gains               |  |                     | (18.4   | )    |  |      | 83.7    |  |  |   | 76.3    | 
|Total invested assets                             |  |                     | 4,915.9 |      |  |      | 4,349.7 |  |  |   | 4,232.8 | 

Competitive conditions in the reinsurance industry could adversely impact our results

The reinsurance industry is highly competitive. Since Converium has only
recently entered the market under its own brand name, our competitors have
greater name and brand recognition. Some of our competitors may have greater
financial or operating resources or offer a broader range of products or more
competitive pricing than we do. Our competitive position is based on many
factors, including our overall financial strength, geographic scope of
business, client relationships, premiums charged, contract terms and
conditions, products and services offered, speed of claims payment, reputation,
experience and qualifications of employees and local presence. We compete for
reinsurance business in U.S., European and other international reinsurance
markets with numerous reinsurance and insurance companies, some of which have
greater financial or other resources and higher claims-paying ratings. We
believe that our largest competitors include:



| |  |  | Munich Reinsurance Company                                                   
| | - |  | -----------------------------------------------------------------------------
|
| |  |  | Swiss Reinsurance Company                                                    
|
| |  |  | General Cologne Reinsurance Company, a subsidiary of Berkshire Hathaway, Inc.

5



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| |  |  | Employers Reinsurance Corporation, a subsidiary of General Electric Company                                                      
| | - |  | ---------------------------------------------------------------------------------------------------------------------------------
|
| |  |  | Gerling Global Re Group                                                                                                          
|
| |  |  | Lloyds syndicates active in the London market                                                                                   
|
| |  |  | SCOR                                                                                                                             
|
| |  |  | Hannover Re Group, which is 75% owned by the mutual insurance
group HDI Haftpflichtverband der Deutschen Industrie               
|
| |  |  | companies active in the Bermuda Market, including the Partner
Re Group, XL Capital Ltd., Ace Ltd. and RenaissanceRe Holdings Ltd.

In addition, new companies have entered the reinsurance market and
existing companies have raised additional capital to increase their
underwriting capacity. Other financial institutions, such as banks, are now
able to offer services similar to our own. In addition, we have recently seen
the creation of alternative products from capital market participants that are
intended to compete with reinsurance products. Moreover, following the
September 11th terrorist events, a number of new reinsurers and other entities
have been formed to compete in or with our industry, and a number of existing
market participants have raised new may enhance their ability to compete. We
are unable to predict the extent to which these new, proposed or potential
initiatives may affect the demand for our products or the supply and terms of
risks that may be available for us to consider underwriting.

Consolidation in the insurance industry could lead to lower margins for us and
less demand for our reinsurance products and services

The insurance industry overall is undergoing a process of consolidation as
industry participants seek to enhance their product and geographic reach,
client base, operating efficiency and general market power through merger and
acquisition activities. These larger entities may seek to use the benefits of
consolidation to, among other things, implement price reductions for the
products and services they purchase. If competitive pressures compel us to
reduce our prices, our operating margins would decrease.

As the insurance industry consolidates, competition for customers may
become more intense and the importance of acquiring and properly servicing each
customer will become greater. We could incur greater expenses relating to
customer acquisition and retention, which could reduce our operating margins.
In addition, insurance companies that merge may be able to enhance their
negotiating position when buying reinsurance and may be able to spread their
risks across a larger capital base so that they require less reinsurance.

The loss of key executive officers could adversely affect us

Our success has depended, and will continue to depend, partly upon our
ability to attract and retain executive officers and, in particular, on the
continued service of Dirk Lohmann, the Chief Executive Officer of Converium and
Converium Zurich, Richard E. Smith, the Chief Executive Officer of Converium
North America, Frank Schaar, the Chief Executive Officer of Converium Cologne,
and Martin Kauer, the Chief Financial Officer of Converium. Each of Mr.
Lohmann, Mr. Smith, and Mr. Kauer serves in his capacity pursuant to an
employment agreement with no specified term of employment. Mr. Schaars
current employment agreement expires on December 31, 2002. The Board of
Directors of Converium Germany decided on May 3, 2002 to renew Mr. Schaars
contract for five years starting January 1, 2003. If any of these executives
ceases to continue in his present role without an organized succession, we
could be adversely affected.

Our ability to execute our business strategy is dependent on our ability
to attract and retain a staff of qualified underwriters and other personnel.
Our management team includes a number of key personnel whose skills, experience
and knowledge of the reinsurance industry constitute important elements of
Converiums competitive strengths. If some or all of these managers leave
their positions at Converium, even if we were able to find persons with
suitable skills to replace them, our operations could be adversely affected.

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A downgrade in our ratings may adversely affect our relationships with clients
and brokers and negatively impact sales of our products

Claims-paying ability and financial strength ratings are a factor in
establishing the competitive position of reinsurers. The claims-paying ability
ratings assigned by rating agencies to reinsurance or insurance companies are
based upon factors relevant to policyholders and are not directed toward the
protection of investors.

A ratings downgrade, or the potential for such a downgrade, among other
things, could adversely affect our relationships with agents, wholesalers and
other distributors of our products and services, negatively impact new sales
and adversely affect our ability to compete in our markets. A.M. Best has
rated Converium A (Excellent), Standard & Poors has rated Converium A+
(Strong) and Moodys has rated Converium A1 (Good). Our ratings may not
satisfy the criteria required by some of our clients and brokers. Accordingly,
we may suffer a loss of business as a result. Any reduction in our ratings
could result in our reinsurance operations being removed from the approved
lists of some brokers or clients and may adversely affect our ability to write
business through such brokers or to such clients.

Regulatory or legal changes could adversely affect our business

Insurance laws, regulations and policies currently governing us and our
clients may change at any time in ways which may adversely affect our business.
Furthermore, we cannot predict the timing or form of any future regulatory
initiatives. We are subject to applicable government regulation in each of the
jurisdictions in which we conduct business, particularly in Switzerland, the
United States and Germany. Regulatory agencies have broad administrative power
over many aspects of the insurance and reinsurance industries. Government
regulators are concerned primarily with the protection of policyholders rather
than shareholders or creditors.

Recently, the insurance and reinsurance regulatory framework has been
subject to increased scrutiny in many jurisdictions. Changes in current
insurance regulation may include increased governmental involvement in the
insurance industry, initiatives aimed at premium controls, requirements for
participation in guaranty associations or other industry pools and other
changes which could adversely affect the reinsurance business and economic
environment. Such changes could impose new financial obligations on us,
require us to make unplanned modifications of our products and services, or
result in delays or cancellations of sales of our products and services.

The reinsurance industry is also affected by political, judicial and other
legal developments, which have at times in the past resulted in new or expanded
theories of liability. We cannot predict the future impact of changing law or
regulation on our operations and any changes could have a material adverse
effect on our financial condition, results of operations or cash flows. See
Item 4.  Information on the Company  B. Business Overview  Regulation.

We purchase retrocessional reinsurance, which subjects us to credit risk and
may become unavailable on acceptable terms

In order to limit the effect on our financial condition of large and
multiple losses, we buy reinsurance for our own account. This type of
insurance is known as retrocessional reinsurance. From time to time, market
conditions have limited, and in some cases have prevented, insurers and
reinsurers from obtaining the types and amounts of reinsurance which they
consider adequate for their business needs. There can be no assurance that we
will be able to obtain our desired amounts of retrocessional reinsurance.
There is also no assurance that, if we are able to obtain such retrocessional
reinsurance, we will be able to negotiate terms as favorable to us as in prior
years.

A retrocessionaires insolvency or its inability or unwillingness to make
payments under the terms of its reinsurance treaty with us could have a
material adverse effect on us. Therefore, our retrocessions subject us to
credit risk because the ceding of risk to retrocessionaires does not relieve a
reinsurer of its liability to the ceding companies. See Item 4.  Information
on the Company  B. Business Overview  Retrocessional Reinsurance.

Because we depend on reinsurance brokers for a large portion of revenue, loss
of business written through them could adversely affect us

We market our reinsurance products worldwide in substantial part through
reinsurance brokers. In some markets, such as the London market and the United
States, we principally write through reinsurance brokers. The largest two

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brokerage firms accounted for approximately 25% of our gross premiums
written for the year ended December 31, 2001. Loss of all or a substantial
portion of the business written through brokers could have a material adverse
effect on us.

Our reliance on reinsurance brokers exposes us to their credit risk

In 2001, approximately 59% of our gross premiums written were written
through brokers. In accordance with industry practice, we frequently pay
amounts owed on claims under our policies to reinsurance brokers, and these
brokers, in turn, pay these amounts over to the insurers that have reinsured a
portion of their liabilities with us. We refer to these insurers as ceding
insurers. In some jurisdictions, or pursuant to some contractual arrangements,
if a broker fails to make such a payment, we may remain liable to the ceding
insurer for the deficiency. Conversely, in certain jurisdictions, when the
ceding insurer pays premiums for these policies to reinsurance brokers for
payment over to us, these premiums are considered to have been paid and the
ceding insurer will no longer be liable to us for those amounts, whether or not
we have actually received the premiums. Consequently, in connection with the
settlement of reinsurance balances, we assume a degree of credit risk
associated with reinsurance brokers around the world.

Foreign exchange rate fluctuations may impact our results

We publish our financial statements in U.S. dollars. Therefore,
fluctuations in exchange rates used to translate other currencies, particularly
European currencies including the euro, British pound and Swiss franc, into
U.S. dollars will impact our reported financial condition, results of
operations and cash flows from year to year. These fluctuations in exchange
rates will also impact the U.S. dollar value of our investments and the return
on our investments. For 2001, approximately:



| |  |  | 42.3% of our gross premiums written                                   
| | - |  | ----------------------------------------------------------------------
|
| |  |  | 38.3% of our net investment income                                    
|
| |  |  | 37.3% of our losses and loss adjustment expenses and life benefits and
|
| |  |  | 60.4% of our operating expenses                                       

were denominated in currencies other than the U.S. dollar. For a discussion of
the impact of material changes in foreign exchange rates on our shareholders
equity, see Item 11  Quantitative and Qualitative Disclosures About Market
Risk.

We may be adversely affected if Zurich Financial Services or its subsidiaries
fail to honor their obligations to us or our clients

As part of the Formation Transactions, we entered into a number of
contractual agreements with Zurich Financial Services and its affiliates
including the Master Agreement, the Quota Share Retrocession Agreement, the
Master Novation and Indemnity Reinsurance Agreement, service agreements, lease
agreements and certain indemnity agreements. Among other things, under the
Quota Share Retrocession Agreement Zurich Financial Services, through its
subsidiaries, provides us with a substantial portion of our investment returns.
Additionally, Zurich Financial Services, through its subsidiaries, has agreed
to arrangements that cap our exposure, net of retrocessional reinsurance
recoveries, for losses and loss adjustment expenses arising out of the
September 11th terrorist attacks at $289.2 million, the amount of loss and loss
adjustment expenses we recorded as of September 30, 2001. In addition,
subsidiaries of Zurich Financial Services have provided us with retrocessional
reinsurance protection, provided coverage for certain workers compensation
exposure ceded to the Unicover Occupational Accident Reinsurance Pool,
indemnified us for specified taxes and other matters and agreed to lease or
sublease office space to us. See Item 4.  Information on the Company  A.
History and Development of the Company"-and Item 10.  Additional Information
- C. Material Contracts. Therefore, we are exposed to credit risk from
Zurich Financial Services with respect to these obligations.

In addition, Zurich Financial Services subsidiaries remain the legal
counterparty for many of our assumed reinsurance contracts. Although we do not
have credit risk exposure with respect to these contracts, if these Zurich
Financial Services subsidiaries do not honor their commitments efficiently and
effectively to these clients, we might bear reputational risk.

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The financial and investment return information included in this annual report
may not be indicative of our future financial performance

We derived the historical financial information included in this annual
report from historical financial statements of Zurich Financial Services. Our
financial statements present the financial condition, results of operations and
cash flows of the businesses which, prior to the Formation Transactions, were
owned by Zurich Financial Services and now comprise Converium. Accordingly,
these financial statements may not necessarily reflect the results Converium
would have achieved had it been a separate, stand-alone entity during the
periods presented or the financial position, results of operations and cash
flows of Converium in the future.

Historically, a significant portion of our invested assets were managed by
Zurich Financial Services pursuant to the Zurich Financing Agreement. Since
the Zurich Financing Agreement was terminated effective July 1, 2001, and
replaced by the Funds Withheld Asset, our historical investment results are not
indicative of the investment results we may achieve in the future.

In addition, under the Quota Share Retrocession Agreement, the Funds
Withheld Asset may be prepaid to us, in whole or in part, as of the end of any
calendar quarter. In the event that the Funds Withheld Asset is prepaid, we
would have to reinvest these assets in investments and we may not be able to
invest them at yields comparable to those payable under the Quota Share
Retrocession Agreement. To the extent we are not able to invest these funds at
comparable yields, our investment income could be adversely affected. See
Item 5.  Operating and Financial Review and Prospects.

We may be restricted from disposing of assets and may suffer negative tax
consequences in the case of a change of control

Certain tax considerations and contractual arrangements with Zurich
Financial Services may make an acquisition of Converium less likely and limit
our ability to dispose of assets or enter into new lines of business. Because
of the qualification of the Formation Transactions under Swiss tax law as
partially exempt from the Swiss Share Issuance Tax to Converium, we may be
restricted from certain disposals of assets, and may further face adverse tax
consequences if the ownership of one third or more of our registered shares
comes to be held by one shareholder or a group of related shareholders. See
Item 10.  Additional Information  C. Material Contracts  Swiss Tax
Consequences to Converium of the Formation Transactions.

9



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ITEM 4. INFORMATION ON THE COMPANY

Converium Holding AG was incorporated in Switzerland on June 19, 2001 as a
joint stock company as defined in article 620 et seq. of the Swiss Code of
Obligations. We were registered on June 21, 2001 in the Commercial Register of
the Canton of Zug with registered number CH-170.3.024.827-8. Our registered
office is Baarerstrasse 8, CH-6300 Zug, Switzerland.

A. HISTORY AND DEVELOPMENT OF THE COMPANY

On March 22, 2001, Zurich Financial Services announced its intention to
divest substantially all of its third party reinsurance business historically
operated under the Zurich Re brand name. This business had been managed and
operated as a global operation since 1998. We refer to the formation
transactions and the global offering described below in this annual report as
the Formation Transactions. As part of the Formation Transactions, ownership
of this business was consolidated under Converium Holding AG, a newly
incorporated Swiss company. The financial statements included in this annual
report reflect this business.

The Formation Transactions consisted of the following principal steps:



| |  |  | the transfer to us of the Converium Zurich reinsurance business
now conducted by Converium AG, which we refer to as Converium
Switzerland, through a series of steps including:
| | - |  | -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



| |  |  | our reinsurance of this business through quota
share retrocession agreements with two units of Zurich
Financial Services, which we refer to collectively as the Quota
Share Retrocession Agreement                                                                                                                                     
| | - |  | ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|
| |  |  | the establishment of funds withheld balances in
our favor by the applicable units of Zurich Financial Services,
which we refer to collectively as the Funds Withheld Asset,
with a total balance of approximately $1.3 billion as of July
1, 2001, on which we will be paid investment returns by the
Zurich Financial Services units



| |  |  | the acquisition of the Converium Cologne reinsurance business
through the transfer by a subsidiary of Zurich Financial Services to
Converium Switzerland of its 98.6% interest in Zürich
Rückversicherung (Köln) AG, which was renamed Converium
Rückversicherung (Deutschland) AG and which we refer to as Converium
Germany                                                                                                                                                                                                                                                      
| | - |  | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|
| |  |  | the acquisition of the Converium North America 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 Converium Holdings (North America) Inc., a wholly
owned subsidiary of Converium Switzerland. In conjunction with this
transfer, Converium Holdings (North America) Inc. assumed $200
million of public debt from a subsidiary of Zurich Financial
Services, and Zurich Reinsurance (North America), Inc. was renamed
Converium Reinsurance (North America) Inc.
|
| |  |  | 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 sale of 35,000,000 of our registered shares to the public
by Zurich Financial Services on December 11, 2001 in a global
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                                                                                                                                                                            
|
| |  |  | after the global offering, Converium Switzerland acquired from
subsidiaries of Zurich Financial Services approximately $140 million
of residential and commercial rental properties located in
Switzerland                                                                                                                                                                                                                                                                                                                                                                         

As part of the Formation Transactions, Zurich Financial Services and its
subsidiaries transferred cash and other assets and liabilities to Converium.

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The assets transferred to us included:



| |  |  | approximately $70 million in shares in PSP Swiss Property Ltd.,
a Swiss company listed on the SWX Swiss Exchange                                                 
| | - |  | -----------------------------------------------------------------------------------------------------------------------------------------------------------------
|
| |  |  | approximately $50 million in units of Zurich Invest Aktien
Euroland, an investment fund quoted on the Frankfurt Stock Exchange.
This investment was sold in 2002.
|
| |  |  | the shareholders equity of the legal entities comprising our operating businesses                                                                               
|
| |  |  | the operating assets of the Converium Zurich business                                                                                                            

The balance of the assets transferred to us consisted of cash, of which
approximately $140 million was used by Converium Switzerland to acquire
residential and commercial rental properties located in Switzerland from
subsidiaries of Zurich Financial Services.

We invested the cash contributed to us by Zurich Financial Services in
accordance with our investment policy. For a description of our investment
policy, see  B. Business Overview  Investments.

For a description of the agreements and transactions involved in the
Formation Transactions and our divestiture from Zurich Financial Services,
including certain ongoing contractual arrangements with Zurich Financial
Services, see Item 10.  Additional Information  C. Material Contracts.

11



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B. BUSINESS OVERVIEW

Overview

Converium is a leading global reinsurer whose business operations are
recognized for innovation, professionalism and service. We believe we are
accepted as a professional lead reinsurer for all major lines of non-life and
life reinsurance. We actively seek to create innovative and efficient
reinsurance solutions to complement our clients business plans and needs. We
focus on core underwriting skills and on developing close client relationships
while honoring ours and our clients relationships with brokers. We have the
ability to cover risks globally and to provide meaningful capacity worldwide.
Based on calendar year 2000 third party net premiums written, we rank among the
ten largest global professional reinsurers.

Converium was formed through the restructuring and integration of the
third party reinsurance business of Zurich Financial Services. We believe that
our separation from Zurich Financial Services presents significant
opportunities and benefits for us. We believe we will benefit from our new
status as an independently managed, publicly traded company. In particular, we
anticipate that we will secure new and expanded relationships with clients who
may have been reluctant to enter into business relationships or share
proprietary information with the reinsurance operation of a competitor like
Zurich Financial Services. We also believe that our separation from Zurich
Financial Services should increase our future financial flexibility and the
long-term possibilities of further expansion in the form of new business
opportunities and strategic alliances. In addition, as an independently
managed reinsurer, we are in a position to compete for the reinsurance premiums
ceded by Zurich Financial Services, of which only minimal premiums are
reflected in our historical results.

We organize our business around four operating segments consisting of our
three Non-Life segments, Converium Zurich, Converium North America and
Converium Cologne, and our Converium Life segment as follows:



| |  |  | Converium Zurich manages our non-life reinsurance businesses in
the United Kingdom, Western and Southern Europe, Switzerland, the
Benelux countries, Latin America, the Far East and the Pacific Rim,
Israel and Southern Africa. Converium Zurich is also the primary
center of expertise for aviation and space, credit and surety, marine
and engineering reinsurance and provides technical support for
catastrophe risk assessment and modeling for our global operations.
| | - |  | -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|
| |  |  | Converium North America, based in New York, manages our
non-life reinsurance businesses in the United States and Canada, and
is our global center of expertise for agribusiness.                                                                                                                                                                                                                                                                                               
|
| |  |  | Converium Cologne manages the non-life reinsurance businesses
in Germany, Austria, Northern Europe, Central and Eastern Europe, the
Middle East and Northern Africa. In addition, Converium Cologne has
worldwide underwriting responsibility for health reinsurance with the
exception of the U.S. market, which is written by Converium North
America.                                                                                                                       
|
| |  |  | Converium Life manages the worldwide life reinsurance business.                                                                                                                                                                                                                                                                                                                                                                                                                

We offer a full range of traditional non-life and life reinsurance
products as well as innovative solutions to help our clients manage capital and
risk. Our principal lines of non-life reinsurance include liability, property,
motor, credit and surety, workers compensation, aviation and space, accident
and health, marine, engineering and other specialized lines. Our principal
life reinsurance product is ordinary life reinsurance. Our Converium Life
operations also offer group life, disability, critical illness, long-term care,
risk premium and modified co-insurance, and provide related services.

We underwrite reinsurance both directly with ceding companies and through
brokers, giving us the flexibility to pursue business in accordance with our
ceding companies preferred reinsurance purchasing method. Globally,
approximately 41% of our 2001 gross premiums written were written on a direct
basis and approximately 59% were written through brokers.

We believe that one of our competitive strengths is our ability to work
closely with our clients while honoring ours and our clients relationships
with brokers. A key component of this competitive strength is our strong focus
on client relationship management. We believe it is imperative that we fully
understand our clients businesses in order to provide better solutions to our
clients and enhance our own profitability. Direct communication with our
clients enables us to obtain

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the in-depth details required for the proper analysis and understanding of
our clients exposures. We seek to establish and maintain contacts with key
decision makers in the organizations of our clients, particularly with their
chief executive officers, chief financial officers and actuarial and
underwriting managers.

As a component of our strategy of getting closer to our clients and
enhancing our understanding of the risks and other financial aspects of their
business, we realigned our organizational structure in the first quarter of
2001 to better serve our clients and enhance knowledge sharing among our
underwriters, actuaries, client relationship managers and other personnel.
This new structure brings together professionals with treaty expertise and
facultative specialists, focusing them around lines of business. We believe
the combination of the two disciplines yields a stronger risk analysis and
ultimately more profitable business opportunities for us, by allowing us to
utilize the detailed knowledge of individual risks possessed by our facultative
professionals in underwriting treaty business. For example, in North America
our six facultative offices now report to persons with line of business
responsibility and are integrated into our treaty teams. In Europe, we have
established client relationship managers, supported by underwriters with both
treaty and facultative expertise in all major lines of business. These client
relationship managers are able to call upon our expertise from wherever it may
be located within our global organization and establish multi-disciplinary
client teams to address our clients needs. These teams seek to provide
additional services to our clients, such as advice on balance sheet and
operating risk management, underwriting audits and assistance with risk capital
allocation.

As a reflection of our financial strength and stability, A.M. Best has
rated Converium A (Excellent), Standard & Poors has rated Converium A+
(Strong) and Moodys has rated Converium A1 (Good). These ratings are based
upon factors of concern to reinsurance clients and are not a measure of
protection afforded to investors. These ratings may be revised, suspended or
withdrawn at any time by the relevant rating agency. See  Ratings.

Our Strategy

Our goal is to be one of the leading providers of reinsurance solutions in
the global marketplace, thereby creating significant long-term value for our
shareholders. Our strategy to achieve this goal is to:



| |  |  | Seek to lead the majority of business written                                                   
| | - |  | ------------------------------------------------------------------------------------------------
|
| |  |  | Increase the share of liability and casualty business written in Europe, Asia and Latin America 
|
| |  |  | Expand in specialty lines and structured and finite reinsurance                                 
|
| |  |  | Maintain strong underwriting discipline and profitability focus                                 
|
| |  |  | Grow our life reinsurance operations                                                            
|
| |  |  | Generate additional business through long-term strategic alliances                              
|
| |  |  | Implement capital markets tools to provide additional underwriting capacity and to mitigate risk
|
| |  |  | Expand our position in attractive markets                                                       

Our strategy is described in more detail below.

We are focused on business where our underwriting skills, innovation and
global expertise and operating platform are best utilized. We have realigned
and integrated our organizational structure globally such that it now brings
together professionals with treaty expertise and facultative specialists,
focusing them around lines of business. We believe the combination of the two
disciplines results in stronger risk analysis and ultimately more profitable
business opportunities for us. Furthermore, we believe our realignment enables
us to efficiently share knowledge across our organization, bring expertise from
our specialty operations to all of our markets and provide our local markets
with access to the skills and products we develop at our global centers of
excellence. We are actively seeking to grow those lines of business where our

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skills are relevant and where the clients selection of its reinsurer may
be differentiated by expertise rather than mere commodity attributes, such as
price and capacity.

We are focused on clients who see an advantage in our global experience
and operating platform. We believe that rapid and reliable information
gathering, analysis and utilization are essential in a knowledge-based business
such as reinsurance. To supplement and support our knowledge sharing culture,
we have made substantial investments in integrated, global management
information systems. Thus, our businesses worldwide work from a common
platform for pricing business, reserving and accounting.

Our systems include a number of proprietary features and provide us with
capabilities we believe to be unique in our industry. For example, in 2002, we
will be implementing a new core reinsurance accounting system in Zurich and
Cologne. This system is already in production in North America. This system
will provide the ability to process, analyze and consolidate on a global basis
technical reinsurance financial data and provide for uniform interfaces. In
addition, we have developed a global data warehouse, which is designed to allow
users to extract and analyze information in any number of dimensions. This
would include contract experience by client, line of business, production
source, profit center, geographic location, treaty type and loss ratio. We
believe our global technology platform helps us to respond rapidly to our
clients, share information across our global organization and analyze and
respond to new developments quickly. In addition, we believe our integrated
management information systems help position us to pursue both organic growth
opportunities and possible acquisitions.

Seek to lead the majority of business written.We seek to function as
a leading reinsurer. In many cases, this means that we set terms and prices on
the business we write, rather than following terms and prices established by
other reinsurers. However, we believe that operating as a lead reinsurer also
means that we must apply the underwriting discipline of a lead underwriter, and
consistently utilize our risk modeling and quantitative analytical tools, even
in circumstances where we do not write the largest share of a particular
reinsurance treaty. This also means that we establish walk-away prices and
focus on profitability rather than market share, including in commodity lines
of business, such as property catastrophe. An important element of this
approach is that we seek to develop close and continuing relationships with our
clients, irrespective of whether we write the business directly or through
brokers.

Increase the share of liability and casualty business written in Europe,
Asia and Latin America.We are pursuing growth in long-tail lines of business
such as motor, general third party, professional and product liability,
employers liability and workers compensation. Generally, we consider a line
to be long-tail if potential claims are not likely to be paid within three
years. Partly as a result of this time lag, these lines require analytical
sophistication and expertise for appropriate pricing. Furthermore, we believe
that demand for third party liability insurance, particularly with respect to
motor, professional and product liability coverage, will grow at an
above-average rate and will provide us with additional possibilities for
attractive growth.

Expand in specialty lines and structured and finite reinsurance.We are
seeking to expand the proportion of our business derived from specialty lines,
including aviation and space, credit and surety, agribusiness and other
weather-related products, e-commerce risks, engineering and professional
liability. These lines require specialized skills in respect of risk assessment
and pricing and offer the opportunity to achieve higher levels of underwriting
profitability. In this regard we have made substantial investments in technical
expertise and core underwriting skills and employ accountants, mathematicians,
lawyers, agronomists, meteorologists, geophysicists and engineers to bolster
the capabilities of our underwriters and actuaries.

Maintain strong underwriting discipline and profitability focus.We have
implemented numerous operational and structural initiatives to focus us on
expected profitability whenever we underwrite or price business or pursue new
opportunities. We measure profitability as the present value of cash flows of
our business, including allocated overhead, related to the risk capital
allocated to that business. We analyze the projected and actual profitability
and risk profile of our portfolio in the aggregate as well as on subportfolio,
contract and client levels to focus our resources on business that meets or
exceeds our strict profitability requirements and complies with our overall
strategy.

We believe our integrated global management structure is key to ensuring that
skills and experiences across our organization can be accessed locally to seize
attractive business opportunities as they arise, that our underwriting
guidelines and objectives are continuously fulfilled, and that our aggregate
business risk profile is optimized.

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Grow our life reinsurance operations.We are actively seeking to expand
our Converium Life operations and believe that life reinsurance will represent
an increasing percentage of our business. Life business is attractive to us
because it is generally less volatile and less capital-intensive than non-life
business and it affords us the opportunity to increase the diversification of
our risk portfolio.

We believe the demand for life reinsurance is growing rapidly in many
markets, and consequently we are seeking to increase our presence in key life
reinsurance markets. Foremost among these are Germany, Italy, France, Latin
America, the United States and the Middle East. In addition, we believe that
many factors will contribute to increased demand for life and pension insurance
products, including the aging of the population, increased privatization of
pension benefits in many countries and an increasing need for financial support
and financial risk management services among life insurers in our primary
markets. As the growth of production by primary insurers typically carries
with it a new business strain caused either by the financing of commission and
other acquisition costs or by statutory solvency requirements, many of our
clients often resort to reinsurance to provide them with financing or surplus
relief.

Generate additional business through long-term strategic alliances.We
are seeking alliances with partners who have strengths in areas outside our
core skills, such as distribution, claims management or branding, and who may
benefit from our distinct capabilities or capacity. For example, we recently
expanded our professional liability business in the United Kingdom through a
strategic alliance with the Medical Defence Union, or MDU. The MDU is the
largest medical defense organization in the United Kingdom. This strategic
alliance allows us access to the MDUs more than 85,000 members and to its
client relationship management.

We also have a strategic alliance with, and equity investment in, SATEC
srl, a leading underwriting agency for satellite and space insurance. This
relationship allows us to utilize SATECs technical expertise in evaluating
satellite and launch vehicle technology, both through our participation as a
risk carrier in the underwriting pool managed by SATEC as well as in our
underwriting of other third party space reinsurance.

Implement capital market tools to provide additional underwriting capacity
and to mitigate risk.We have developed substantial capital markets expertise,
which we can use both to provide additional capacity to our clients and to
improve our own results and risk profile. For example, we have obtained
protection based on the TRINOM transaction described below under 
Catastrophe Protection to reduce our net retained loss for industry-wide large
catastrophe events. Perils covered by TRINOM and our catastrophe agreement
with Zurich Insurance Company, referred to as ZIC, in the form of a purchased
option include U.S. hurricane, U.S. earthquake and European windstorm losses
that occur before June 18, 2004.

We believe we are skilled in designing risk transfer mechanisms both for
ourselves and for our clients, and plan to work with clients to help them
access the capital markets. For example, together with a capital markets arm
of a major insurance broker and a Japanese retail insurer, we designed a
primary insurance product that provides the insured with business interruption
insurance following an earthquake. This product allows policyholders without
any direct insurable interest in the specified region to secure protection
against loss from business interruption due to damage suffered by suppliers or
customers in the specified region. Given the nature of the policy trigger, we
can, if needed, transfer the underlying risk to capital markets without
assuming any basis risk.

Expand our position in attractive markets.We are focusing on selected
mature reinsurance markets with growth and profitability potential. These
include Switzerland, Japan and Germany where we currently have relatively
modest market shares as clients in these markets have been especially sensitive
to our historical ownership. In particular, we view Germany as a market with
above average growth opportunities as we transition ourselves to a viable lead
market alternative to the existing domestic market participants. We have
targeted a number of emerging markets which we believe represent particularly
attractive growth opportunities, including Asia, Latin America, Central and
Eastern Europe, Northern Africa and the Middle East.

We are also seeking to increase our share of the global property
catastrophe reinsurance market. We believe our technical expertise, modeling
capability and risk management skills equip us to price these risks
appropriately and assume a larger, globally diversified portfolio. For
example, we have developed a common data format called CRESTA plusfor use in
connection with catastrophe cover, which we have provided to our clients and
reinsurance peers. The new data format is easy and flexible to use. It allows
an efficient exposure and loss data exchange between insurance and reinsurance
companies. We believe that the use of CRESTA plusimproves data quality, will
enable more accurate risk assessment and helps save

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time and reduce costs. In addition, CRESTA plushelps us to better
analyze the risk in our clients portfolios while our clients achieve more
competitive pricing.

Our Business

We offer a full range of non-life and life reinsurance as well as
structured/finite solutions, with clients and coverages throughout the world.
The principal lines of business written by our three Non-Life segments include
liability, property, motor, credit and surety, workers compensation, aviation
and space, accident and health, marine, engineering and other specialized
lines. Our other specialized lines include agribusiness, multi-peril and whole
account reinsurance. Our Converium Life operations, which are managed
worldwide from Cologne, Germany, provide life reinsurance products and related
services.

In addition to our offices in Cologne, New York, Zug and Zurich, we have
branch offices in Bermuda, Labuan, Paris, Singapore and Sydney, as well as
marketing offices in Atlanta, Boston, Buenos Aires, Chicago, Dallas, Kuala
Lumpur, London, Mexico City, Milan, Mission Viejo, San Francisco, Sao Paulo and
Tokyo. In addition, we have administrative offices in Stamford, Connecticut.

The table below presents, by segment, the distribution of our net premiums
written and income for the year ended December 31, 2001.

|                     |                         |                |       |         |                              |         |                       |      |          |       |   |        |        |        |  
|-------------------- | ----------------------- | -------------- | ----- | ------- | ---------------------------- | ------- | --------------------- | ---- | -------- | ----- | - | ------ | ------ | ------ | -
|                     |                         |                |       |         | Year Ended December 31, 2001
|                     |                         |                |       |         |                             
|                     |                         |                |       |         | Net premiums written         |         | Segment income (loss)
|                     |                         |                |       |         |                              |         |                      
|                     |                         |                |       |         | $                            |         | % of                  |      | $       
|                     |                         |                |       |         | millions                     |         | total                 |      | millions
|                     |                         |                |       |         |                              |         |                       |      |         
|Non-Life Reinsurance |                         |                |       |         |                              |         |                       |      |          |       |   |       
|                     | Converium Zurich        |                | $     | 1,185.0 |                              |         |                       | 47.7 | %        |       | $ | (178.7 | )     
|                     | Converium North America |                |       | 898.4   |                              |         |                       | 36.2 |          |       |   | (197.9 | )     
|                     | Converium Cologne       |                |       | 257.8   |                              |         |                       | 10.4 |          |       |   | (71.6  | )     
|                     |                         |                |       |         |                              |         |                       |      |          |       |   |       
|                     |                         | Total Non-Life |       |         | 2,341.2                      |         |                       |      | 94.3     |       |   |        | (448.2 | )     
|                     |                         |                |       |         |                              |         |                       |      |          |       |   |       
|                     | Converium Life          |                |       | 141.4   |                              |         |                       | 5.7  |          |       |   | (7.1   | )     
|                     |                         |                |       |         |                              |         |                       |      |          |       |   |       
|                     |                         |                | Total |         | $                            | 2,482.6 |                       |      |          | 100.0 | % |        | $      | (455.3 | )
|                     |                         |                |       |         |                              |         |                       |      |          |       |   |       

The table below presents the geographic distribution of our net premiums
written for the years ended December 31, 2001, 2000 and 1999, based on the
location of the ceding companies.

|          |                      |                |   |       |                         |  |       |      |          |   |       |       |          |  |       |      |       |   |   |       |         |  |  |      |       |   | 
|--------- | -------------------- | -------------- | - | ----- | ----------------------- |  | ----- | ---- | -------- | - | ----- | ----- | -------- |  | ----- | ---- | ----- | - | - | ----- | ------- |  |  | ---- | ----- | - | 
|          |                      |                |   |       | Year Ended December 31,
|          |                      |                |   |       |                        
|          |                      |                |   |       | 2001                    |  | 2000  |      | 1999    
|          |                      |                |   |       |                         |  |       |      |         
|          |                      |                |   |       | $                       |  | % of  |      | $        |   | % of  |       | $        |  | % of 
|          |                      |                |   |       | millions                |  | total |      | millions |   | total |       | millions |  | total
|          |                      |                |   |       |                         |  |       |      |          |   |       |       |          |  |      
|Non-Life: |                      |                |   |       |                         |  |       |      |          |   |       |       |          |  |       |      |       |   |   |       |         |  |  |     
|          | North America        |                | $ | 985.3 |                         |  |       | 42.1 | %        |   | $     | 955.9 |          |  |       | 50.8 | %     |   | $ | 755.9 |         |  |  | 50.9 | %    
|          | United Kingdom       |                |   | 601.4 |                         |  |       | 25.7 |          |   |       | 315.3 |          |  |       | 16.8 |       |   |   | 234.8 |         |  |  | 15.8 |      
|          | Germany              |                |   | 114.5 |                         |  |       | 4.9  |          |   |       | 82.9  |          |  |       | 4.4  |       |   |   | 114.6 |         |  |  | 7.7  |      
|          | France               |                |   | 42.6  |                         |  |       | 1.8  |          |   |       | 49.5  |          |  |       | 2.6  |       |   |   | 58.3  |         |  |  | 3.9  |      
|          | Europe (rest)        |                |   | 251.9 |                         |  |       | 10.8 |          |   |       | 252.6 |          |  |       | 13.4 |       |   |   | 172.3 |         |  |  | 11.6 |      
|          | Far East/Pacific Rim |                |   | 121.6 |                         |  |       | 5.2  |          |   |       | 84.7  |          |  |       | 4.5  |       |   |   | 51.5  |         |  |  | 3.5  |      
|          | Near and Middle East |                |   | 94.1  |                         |  |       | 4.0  |          |   |       | 69.4  |          |  |       | 3.7  |       |   |   | 55.1  |         |  |  | 3.7  |      
|          | Latin America        |                |   | 129.8 |                         |  |       | 5.5  |          |   |       | 71.3  |          |  |       | 3.8  |       |   |   | 42.9  |         |  |  | 2.9  |      
|          |                      |                |   |       |                         |  |       |      |          |   |       |       |          |  |       |      |       |   |   |       |         |  |  |     
|          |                      | Total Non-Life |   | $     | 2,341.2                 |  |       |      | 100.0    | % |       | $     | 1,881.6  |  |       |      | 100.0 | % |   | $     | 1,485.4 |  |  |      | 100.0 | %
|          |                      |                |   |       |                         |  |       |      |          |   |       |       |          |  |       |      |       |   |   |       |         |  |  |     

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|                |                      |                      |       |      |                         |         |       |      |          |   |       |      |          |         |       |      |       |   |   |      |      |         |  |      |       |   | 
|--------------- | -------------------- | -------------------- | ----- | ---- | ----------------------- | ------- | ----- | ---- | -------- | - | ----- | ---- | -------- | ------- | ----- | ---- | ----- | - | - | ---- | ---- | ------- |  | ---- | ----- | - | 
|                |                      |                      |       |      | Year Ended December 31,
|                |                      |                      |       |      |                        
|                |                      |                      |       |      | 2001                    |         | 2000  |      | 1999    
|                |                      |                      |       |      |                         |         |       |      |         
|                |                      |                      |       |      | $                       |         | % of  |      | $        |   | % of  |      | $        |         | % of 
|                |                      |                      |       |      | millions                |         | total |      | millions |   | total |      | millions |         | total
|                |                      |                      |       |      |                         |         |       |      |          |   |       |      |          |         |      
|Converium Life: |                      |                      |       |      |                         |         |       |      |          |   |       |      |          |         |       |      |       |   |   |      |      |         |  |     
|                | North America        |                      | $     | 53.1 |                         |         |       | 37.6 | %        |   | $     | 71.3 |          |         |       | 62.3 | %     |   | $ | 49.5 |      |         |  | 58.4 | %    
|                | Germany              |                      |       | 27.9 |                         |         |       | 19.7 |          |   |       | 14.4 |          |         |       | 12.6 |       |   |   | 9.6  |      |         |  | 11.3 |      
|                | United Kingdom       |                      |       | (8.0 | )                       |         |       | (5.7 | )        |   |       | 2.2  |          |         |       | 1.9  |       |   |   | 6.4  |      |         |  | 7.5  |      
|                | France               |                      |       | 17.8 |                         |         |       | 12.6 |          |   |       | (0.5 | )        |         |       | (0.4 | )     |   |   | 0.5  |      |         |  | 0.6  |      
|                | Europe (rest)        |                      |       | 29.1 |                         |         |       | 20.6 |          |   |       | 18.0 |          |         |       | 15.7 |       |   |   | 9.4  |      |         |  | 11.1 |      
|                | Near and Middle East |                      |       | 5.1  |                         |         |       | 3.6  |          |   |       | 4.8  |          |         |       | 4.2  |       |   |   | 6.2  |      |         |  | 7.3  |      
|                | Latin America        |                      |       | 16.4 |                         |         |       | 11.6 |          |   |       | 4.2  |          |         |       | 3.7  |       |   |   | 3.2  |      |         |  | 3.8  |      
|                |                      |                      |       |      |                         |         |       |      |          |   |       |      |          |         |       |      |       |   |   |      |      |         |  |     
|                |                      | Total Converium Life |       | $    | 141.4                   |         |       |      | 100.0    | % |       | $    | 114.4    |         |       |      | 100.0 | % |   | $    | 84.8 |         |  |      | 100.0 | %
|                |                      |                      |       |      |                         |         |       |      |          |   |       |      |          |         |       |      |       |   |   |      |      |         |  |     
|                |                      |                      | Total |      | $                       | 2,482.6 |       |      |          |   |       |      | $        | 1,996.0 |       |      |       |   |   |      | $    | 1,570.2 |  |      |       |   | 
|                |                      |                      |       |      |                         |         |       |      |          |   |       |      |          |         |       |      |       |   |   |      |      |         |  |     

The table below presents the distribution of our net premiums written by
line of business for the years ended December 31, 2001, 2000 and 1999.

|               |                       |                |       |       |                         |         |       |      |          |       |       |       |          |         |       |      |       |       |      |       |         |         |       |      |       |       |  
|-------------- | --------------------- | -------------- | ----- | ----- | ----------------------- | ------- | ----- | ---- | -------- | ----- | ----- | ----- | -------- | ------- | ----- | ---- | ----- | ----- | ---- | ----- | ------- | ------- | ----- | ---- | ----- | ----- | -
|               |                       |                |       |       | Year Ended December 31,
|               |                       |                |       |       |                        
|               |                       |                |       |       | 2001                    |         | 2000  |      | 1999    
|               |                       |                |       |       |                         |         |       |      |         
|               |                       |                |       |       | $                       |         | % of  |      | $        |       | % of  |       | $        |         | % of 
|               |                       |                |       |       | millions                |         | total |      | millions |       | total |       | millions |         | total
|               |                       |                |       |       |                         |         |       |      |          |       |       |       |          |         |      
|Non-Life       |                       |                |       |       |                         |         |       |      |          |       |       |       |          |         |       |      |       |       |      |       |         |         |       |     
|               | Liability             |                | $     | 458.1 |                         |         |       | 19.6 | %        |       | $     | 474.9 |          |         |       | 25.2 | %     |       | $    | 410.4 |         |         |       | 27.6 | %    
|               | Property              |                |       | 501.9 |                         |         |       | 21.5 |          |       |       | 403.8 |          |         |       | 21.5 |       |       |      | 301.9 |         |         |       | 20.3 |      
|               | Motor                 |                |       | 437.2 |                         |         |       | 18.7 |          |       |       | 333.1 |          |         |       | 17.7 |       |       |      | 159.1 |         |         |       | 10.7 |      
|               | Credit & Surety       |                |       | 178.6 |                         |         |       | 7.6  |          |       |       | 122.0 |          |         |       | 6.5  |       |       |      | 106.4 |         |         |       | 7.2  |      
|               | Workers Compensation |                |       | 192.6 |                         |         |       | 8.2  |          |       |       | 163.9 |          |         |       | 8.7  |       |       |      | 200.1 |         |         |       | 13.5 |      
|               | Aviation & Space      |                |       | 181.0 |                         |         |       | 7.7  |          |       |       | 119.3 |          |         |       | 6.3  |       |       |      | 97.0  |         |         |       | 6.5  |      
|               | Accident & Health     |                |       | 116.4 |                         |         |       | 5.0  |          |       |       | 85.3  |          |         |       | 4.5  |       |       |      | 66.2  |         |         |       | 4.5  |      
|               | Marine                |                |       | 74.3  |                         |         |       | 3.2  |          |       |       | 46.3  |          |         |       | 2.5  |       |       |      | 43.7  |         |         |       | 2.9  |      
|               | Engineering           |                |       | 80.7  |                         |         |       | 3.4  |          |       |       | 55.4  |          |         |       | 2.9  |       |       |      | 41.3  |         |         |       | 2.8  |      
|               | Specialized & Other   |                |       | 120.4 |                         |         |       | 5.1  |          |       |       | 77.6  |          |         |       | 4.2  |       |       |      | 59.3  |         |         |       | 4.0  |      
|               |                       |                |       |       |                         |         |       |      |          |       |       |       |          |         |       |      |       |       |      |       |         |         |       |     
|               |                       | Total Non-Life |       | $     | 2,341.2                 |         |       |      | 100.0    | %     |       | $     | 1,881.6  |         |       |      | 100.0 | %     |      | $     | 1,485.4 |         |       |      | 100.0 | %    
|               |                       |                |       |       |                         |         |       |      |          |       |       |       |          |         |       |      |       |       |      |       |         |         |       |     
|Converium Life |                       | $              | 141.4 |       |                         |         | 100.0 | %    |          | $     | 114.4 |       |          |         | 100.0 | %    |       | $     | 84.8 |       |         |         | 100.0 | %   
|               |                       |                |       |       |                         |         |       |      |          |       |       |       |          |         |       |      |       |       |      |       |         |         |       |     
|               |                       |                | Total |       | $                       | 2,482.6 |       |      |          | 100.0 | %     |       | $        | 1,996.0 |       |      |       | 100.0 | %    |       | $       | 1,570.2 |       |      |       | 100.0 | %
|               |                       |                |       |       |                         |         |       |      |          |       |       |       |          |         |       |      |       |       |      |       |         |         |       |     

Types of Reinsurance

Both non-life reinsurance and life reinsurance can be written on either a
proportional basis or a non-proportional basis. Proportional reinsurance is
also known as pro rata reinsurance. Quota share reinsurance and surplus
reinsurance are types of proportional reinsurance. Some non-proportional
reinsurance takes the form of excess of loss reinsurance in which the
reinsurers obligations are only triggered after covered losses exceed a
specified attachment point. In the case of proportional reinsurance, the
reinsurer assumes a predetermined portion of the ceding companys risks under
the covered insurance contract or contracts. In the case of non-proportional
reinsurance, the reinsurer assumes all or a specified portion of the ceding
companys risks in excess of a specified amount, known as the ceding companys
retention or the reinsurers attachment point, subject to a negotiated
reinsurance contract limit.

Premiums that the ceding company pays to a reinsurer for proportional
reinsurance are a predetermined portion of the premiums that the ceding company
receives from its insured, consistent with the proportional sharing of risk.
In addition, in proportional reinsurance, the reinsurer generally pays the
ceding company a ceding commission. The ceding commission is usually based on
the ceding companys cost of generating the business being reinsured, which
includes commissions, premium taxes, assessments and miscellaneous
administrative expenses and a profit participation for originating the
business, the amount of which is based on the claims experience. The ceding
commission may also be affected by competitive factors. Premiums that the
ceding company pays to a reinsurer for non-proportional reinsurance are not
directly proportional to the premiums that the ceding company receives. This
is because the reinsurer does not assume a direct proportion of the ceding
companys risk. The frequency of claims under a proportional reinsurance
contract is usually greater than under a non-proportional contract, and
therefore the claims experience with proportional reinsurance contracts is
generally more predictable.

Non-proportional non-life reinsurance is often written in layers. One or
a group of reinsurers accepts the risk just above the ceding companys
retention up to a specified amount, at which point another reinsurer or a group
of reinsurers accepts the excess liability up to an additional specified limit
or the excess liability reverts to the ceding company. The reinsurer taking on
the risk just above the ceding companys retention is typically said to write
lower layer excess

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reinsurance. A claim that reaches just beyond the ceding companys
retention will create a claims payment for the lower layer reinsurer, but not
for the reinsurers of any higher layers. Claims activity in lower layer
reinsurance tends to be more predictable than in higher layers due to greater
frequency and availability of historical data, and therefore, like proportional
reinsurance, better enables underwriters and actuaries to more accurately price
the underlying risks. In a limited number of cases, reinsurance is also
written on an aggregate stop-loss basis to protect the ceding companys total
portfolio from extraordinary losses resulting from the aggregation of
individual risks.

Both non-life insurance and life reinsurance can be written either through
treaty or facultative reinsurance arrangements. In treaty reinsurance, the
ceding company cedes, and the reinsurer assumes, a specified portion of a type
or category of risks insured by the ceding company. Generally in the industry,
treaty reinsurers do not separately evaluate each of the individual risks
assumed under their treaties and are largely dependent on the original risk
underwriting decisions made by the ceding companys underwriters. This
dependence subjects reinsurers to the possibility that the ceding company has
not adequately evaluated the risks to be reinsured and, therefore, that the
premiums ceded to the reinsurer may not adequately compensate the reinsurer for
the risk assumed. Accordingly, the reinsurers evaluation of the ceding
companys risk management and underwriting practices, as well as claims
settlement practices and procedures, will usually impact the pricing of the
treaty.

Generally, reinsurers who provide facultative reinsurance do so separately
from their treaty operations. In facultative reinsurance, the ceding company
cedes, and the reinsurer assumes, all or part of a specific risk or risks.
Facultative reinsurance normally is purchased by ceding companies for risks not
covered by their reinsurance treaties, for amounts in excess of the monetary
limits of their reinsurance treaties and for unusual and complex risks. In
addition, facultative risks often provide coverages for relatively severe
exposures which results in greater volatility. The ability to evaluate
separately each risk reinsured, however, increases the probability that the
reinsurance underwriter can price the contract to reflect more accurately the
risks involved. Because of the transactional nature of the business and the
greater risks generally involved, margins on facultative business are usually
higher than on treaty business. However, reinsurers who provide facultative
coverage solely, or through distinct operations, experience relatively high
underwriting expenses and, in particular, personnel costs, because each risk is
individually underwritten and administered.

Non-traditional reinsurance involves structured reinsurance solutions
tailored to meet individual client strategic and financial objectives. Both
non-life reinsurance and life reinsurance can be written on a structured/finite
basis. Often these reinsurance solutions provide reinsurance protection across
a companys entire insurance portfolio. For instance, a whole account
aggregate stop loss, whether single year or multi-year in design, provides
protection for a company from deterioration in their accident year results.
Another common solution is a loss portfolio transfer, which can take many
forms, and which is frequently used to assist companies in efficiently and
effectively exiting lines of business or facilitating insurance entity sales
transactions. With increasing frequency, non-traditional reinsurance has been
utilized in various ways to assist companies in managing property catastrophe
exposures and other loss exposures from single or multiple events which, in the
aggregate, could be significant. Because of the constantly changing industry
and regulatory framework, as well as the changing market demands facing
insurance companies, the approaches utilized in structured/finite programs are
constantly evolving and will continue to do so.

We underwrite our product lines on a non-proportional and proportional
basis, as well as on a structured/finite basis. As part of our management
organization in the first quarter of 2001, we integrated our facultative
specialists with our underwriting professionals with treaty expertise,
organizing them as focused teams around client relationship management and
lines of business. Since the realignment of our underwriting procedures and
structure, we do not distinguish between treaty and facultative reinsurance,
but rather between proportional and non-proportional underwriting and lines of
business.

In 2001, $1.47 billion or approximately 59.1% of our net premiums written
were written on a proportional treaty basis, $563.0 million or approximately
22.7% of our net premiums written were written on a non-proportional basis, and
$452.9 million or approximately 18.2% of our net premiums written were written
on a structured/finite basis. Over the long term, we expect non-proportional
and structured/finite business to constitute a growing share of our future
business, although our proportional business increased in 2001 as a result of
rate increases and some opportunistic underwriting, particularly in the U.K.
motor market.

The table below presents the distribution of our net premiums written by
type of reinsurance for the years ended December 31, 2001, 2000 and 1999.

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|                  |       |   |                         |         |       |  |          |       |       |   |          |         |       |  |      |       |   |   |       |         |  |  |      |       |  
|----------------- | ----- | - | ----------------------- | ------- | ----- |  | -------- | ----- | ----- | - | -------- | ------- | ----- |  | ---- | ----- | - | - | ----- | ------- |  |  | ---- | ----- | -
|                  |       |   | Year Ended December 31,
|                  |       |   |                        
|                  |       |   | 2001                    |         | 2000  |  | 1999    
|                  |       |   |                         |         |       |  |         
|                  |       |   | $                       |         | % of  |  | $        |       | % of  |   | $        |         | % of 
|                  |       |   | millions                |         | total |  | millions |       | total |   | millions |         | total
|                  |       |   |                         |         |       |  |          |       |       |   |          |         |      
|Proportional      |       | $ | 1,466.7                 |         |       |  | 59.1     | %     |       | $ | 1,108.2  |         |       |  | 55.5 | %     |   | $ | 843.8 |         |  |  | 53.7 | %    
|Non-proportional  |       |   | 563.0                   |         |       |  | 22.7     |       |       |   | 590.9    |         |       |  | 29.6 |       |   |   | 454.7 |         |  |  | 29.0 |      
|Structured/Finite |       |   | 452.9                   |         |       |  | 18.2     |       |       |   | 296.9    |         |       |  | 14.9 |       |   |   | 271.7 |         |  |  | 17.3 |      
|                  |       |   |                         |         |       |  |          |       |       |   |          |         |       |  |      |       |   |   |       |         |  |  |      |      
|                  | Total |   | $                       | 2,482.6 |       |  |          | 100.0 | %     |   | $        | 1,996.0 |       |  |      | 100.0 | % |   | $     | 1,570.2 |  |  |      | 100.0 | %
|                  |       |   |                         |         |       |  |          |       |       |   |          |         |       |  |      |       |   |   |       |         |  |  |      |      

Proportional and Non-proportional

We offer traditional reinsurance products on both a proportional and
non-proportional basis in all our lines of business. Our non-proportional
business includes property, aviation and space and specialty lines, to
complement our established market position in non-proportional liability. The
growth in our proportional business has been mainly due to an increased focus
on proportional liability as well as opportunities in proportional motor.

We believe that clients and brokers actively seek our input in the
evaluation and structuring of businesses with unique or difficult risk
characteristics. We believe this is a result of our innovative approach,
organizational resources and financial strength. We have developed integrated
teams of professionals with significant treaty and individual risk, or
facultative, expertise at our three principal underwriting centers in Zurich,
New York and Cologne, which support the professionals we have in our branch
network. We deploy our global specialty lines experts and local specialists to
design solutions to address our clients risk management needs.

We offer facultative products in almost every line on a proportional and
non-proportional basis. Our integrated global organization allows us to offer
facultative products all over the world. In the United States, we offer
facultative liability coverage predominantly on a direct basis. Elsewhere, we
offer a full line of facultative products on both a direct and broker basis.
We have also implemented eFAC, our online facultative quote submission service,
which provides our clients with access to quotes within 24 hours.

Structured/Finite

Structured/finite reinsurance solutions are marketed and underwritten by
the Risk Strategies divisions of our three non-life segments and by our
Converium Life segment. These divisions focus on servicing the needs of the
reinsurance market that may not be met efficiently through traditional
reinsurance products. With primary operating locations in Zurich, New York and
Cologne, our structured/finite specialists focus on providing clients with
creative financial solutions for their risk management and other financial
management needs, primarily through reinsurance products. In addition, our
Singapore branch office has structured/finite capabilities and services clients
in the Far East and Pacific Rim. Whether working directly with the client or
through a broker, we seek to develop client-specific solutions after spending
time with the client to understand its business needs.

We believe that to succeed in providing our clients with the solutions
they need, we must take a comprehensive, iterative approach in our analysis.
To accomplish this goal, our Risk Strategies divisions comprise a team of
underwriting, tax, accounting, actuarial and banking experts who can
effectively address all aspects of the solution. We believe this
multi-disciplinary approach distinguishes us from our peers and enables us to
craft solutions that are both creative and viable in light of the specific
needs of the ceding company. Furthermore, our Risk Strategies personnel draw
upon our global capabilities to marshal the necessary expertise and resources
in any market.

Our Risk Strategies divisions target customers who seek to:



| |  |  | Dampen volatility associated with the insurance or reinsurance pricing cycle
| | - |  | ----------------------------------------------------------------------------
|
| |  |  | Adjust their exposure to specific geographic areas or lines of business     
|
| |  |  | Increase their level of retention over a period of time                     

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| |  |  | Minimize existing and potential liabilities in connection with
extraordinary corporate events, such as a merger or acquisition
| | - |  | ------------------------------------------------------------------------------------------------------------------------------
|
| |  |  | Manage their capital during periods of rapid growth                                                                           

Our customers use these products principally to mitigate volatility in
results and capital as well as to transfer insurance risks. The more widely
used structured/finite products have similar features but differing terms and
limits, depending on the customers requirements.

The three main types of structured/finite products that we sell are
described below.



| |  |  | Multi-year aggregate excess of loss reinsurance contracts have
become a well-established structured/finite reinsurance product in
the North American market. These reinsurance contracts provide
coverage when the ceding companys applicable block of policies
reports losses at or above a specific loss ratio. This type of
product will often charge an up-front premium plus additional
premiums which are dependent on the magnitude of losses claimed by
the ceding company under the contract. The ceding company generally
also participates in a profit sharing arrangement under these types
of reinsurance contracts if the business covered does not generate
excessive losses.                                                                                                                                                                                                                                                                                                                                                                                                          
| | - |  | -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|
| |   |  | This type of product, which is often written on a multi-year basis,
is generally attractive to a large multi-line insurance company
customer who uses this product to stabilize its insurance
subsidiaries local statutory financial results and minimize the
impact on the local statutory surplus of worse than expected
underwriting performance.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  
|
| |  |  | Loss portfolio transfer and adverse loss development contracts
are sold by all of our business segments. These products are
considered retroactive reinsurance as they cover past periods for
which the loss events have already occurred, but where all claims
have not yet been made or paid. Retroactive structured/finite
reinsurance products remain an attractive solution for certain
clients, who may, for example, wish to exit a particular line of
business, facilitate a business acquisition (where the reinsurance
contract effectively replaces the sellers requirement to provide a
loss reserve guarantee to the purchaser), or stabilize statutory
capital. Typically, a loss portfolio transfer will transfer to the
reinsurer all risks underwritten, subject to an aggregate loss limit
established in the contract. Adverse loss development products
provide reinsurance coverage for losses in excess of the carried loss
reserves of the ceding company at the transaction date, or in some
cases at a mutually agreed attachment point, in excess of existing
loss reserves.
|
| |  |  | Modified co-insurance contracts are sold by our Converium Life
segment. This product is used by our life insurance clients
principally to relieve the strain on statutory surplus caused by the
statutory accounting requirement to expense all new business
acquisition costs in the year incurred. Clients that are growing
rapidly can encounter severe capital constraints as a result of this
practice. The reinsurance contract is a co-insurance contract (which
means the reinsurer assumes a percentage of the same risks as the
life insurer), modified to allow the ceding company to retain the
investments which support the liabilities for future policy benefits
applicable to the reinsured portfolio of business. We pay a ceding
commission to our client, who accounts for it as statutory income and
thus replenishes the surplus previously consumed by new business
acquisition costs.                                                                                                                                                                                          

Non-Life Operations

Overview

We operate our Non-Life reinsurance business through our three Non-Life
segments: Converium Zurich, Converium North America and Converium Cologne. Our
Non-Life operations had net premiums written of $2.3 billion in the year ended
December 31, 2001, representing 94% of our total net premiums written. Our
Non-Life business is comprised of the following principal lines of non-life and
health-related reinsurance products.

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Liability.We provide a broad range of coverage for reinsurance of
industrial, manufacturer, operational, environmental, product and general third
party liability. Historically, we principally wrote liability reinsurance on a
non-proportional basis. Currently, we increasingly provide liability coverage
on both a proportional and non-proportional basis.

Our liability products include professional liability coverage. We offer
specialized underwriting, actuarial and claims expertise for all lines of
professional liability, including medical malpractice, directors and officers,
architects and engineers, accountants and lawyers liability. We also provide
errors and omissions reinsurance coverage for specialized and other lines of
business, such as insurance agents and real estate agents. Our professional
liability operations also actively develop and reinsure emerging coverages for
exposures such as tax opinions, representations and warranties, and e-commerce
risk liability.

Property.We reinsure liability for physical damage caused by fire and
allied perils such as explosion, lightning, storm, flood, earthquake and costs
of debris removal, as well as coverage of business interruption and loss of
rent as a result of an insured loss increasingly on a non-proportional basis.
Other sub-lines of property reinsurance include cover for hail, burglary, water
damage and glass breakage.

Motor.We reinsure accident and liability risks and collision damage of
motor vehicles. Motor insurance can include coverage in three major areas -
liability, accident benefits and physical damage. Liability insurance provides
coverage payment for injuries and for property damage to third parties.
Accident benefits provide coverage for loss of income and medical and
rehabilitation expenses for insured persons who are injured in an automobile
accident, regardless of fault. Physical damage provides for payment of damages
to an insured automobile arising from a collision with another object or from
other risks such as fire or theft.

Credit and Surety.Our credit coverages provide reinsurance for financial
losses sustained through the failure for commercial reasons of an insureds
customers to pay for goods or services supplied to them. Our surety business
relates to the reinsurance of risks associated with performance bonds and other
forms of sureties or guarantees issued to third parties for the fulfillment of
contractual obligations.

Workers Compensation.Our workers compensation coverages are flexible
solutions that can help our clients manage their global workers compensation
risks. Our products include reinsurance for statutory workers compensation
programs, as well as individual risk excess workers compensation. Our
workers compensation reinsurance offerings range from complete coverage of a
full workers compensation program to specific carve-out coverages that address
a clients targeted concerns.

Aviation and Space.We are a leading provider of reinsurance of personal
accident and liability risks, and hull damage, in connection with the operation
of aircraft and the coverage of satellites during launch and in orbit.

Accident and Health.Our non-life operations provide accident and health
reinsurance coverages for various business lines, including employer stop loss
health insurance, fully insured health insurance, personal accident, travel
accident, disability and critical illness.

Marine.We provide reinsurance relating to the property and liability
coverage of goods in transit (cargo insurance) and the means of their
conveyance (hull insurance).

Engineering.We write all lines of engineering risks including project
risks (construction all risk and erection all risk) and annual covers such as
for machinery and electronic equipment as well as consequential loss resulting
from both project and annual risk.

Specialized and Other.We also provide specialty lines such as
agribusiness, which provides coverage for crop failure both to farmers and
other market participants, including co-ops, processors, lenders and a range of
other businesses. Agribusiness also includes specialized products such as
yield and revenue covers. We also reflect our multi-peril and whole account
reinsurance business under our specialized and other line.

We have established global centers of expertise with respect to certain of
our lines of business, forming teams of specialized experts located at one of
our global offices, who support and manage our global underwriting and risk
management of a particular product. For example, our Zurich office is our
global center of expertise for aviation and space,

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credit and surety, marine and engineering reinsurance products and our New
York office is our global center of expertise for agribusiness. Converium
Cologne has worldwide underwriting responsibility for our health reinsurance
business, except for our health reinsurance business in the United States,
which is managed by Converium North America. We believe that our underwriting
of these specialized lines of business benefits from the creation of focused,
expert teams operating under distinct underwriting guidelines which can be
closely monitored. In addition, our centers of expertise help us manage our
accumulations of risk and knowledge sharing on a global basis for these
specialized lines.

The following table sets forth our Non-Life net premiums written by type
and line of business for the years ended December 31, 2001, 2000 and 1999:

|                  |                       |                        |                         |       |                         |         |       |      |          |       |       |       |          |         |       |      |       |       |   |       |       |         |  |      |       |       |  
|----------------- | --------------------- | ---------------------- | ----------------------- | ----- | ----------------------- | ------- | ----- | ---- | -------- | ----- | ----- | ----- | -------- | ------- | ----- | ---- | ----- | ----- | - | ----- | ----- | ------- |  | ---- | ----- | ----- | -
|                  |                       |                        |                         |       | Year Ended December 31,
|                  |                       |                        |                         |       |                        
|                  |                       |                        |                         |       | 2001                    |         | 2000  |      | 1999    
|                  |                       |                        |                         |       |                         |         |       |      |         
|                  |                       |                        |                         |       | $                       |         | % of  |      | $        |       | % of  |       | $        |         | % of 
|                  |                       |                        |                         |       | millions                |         | total |      | millions |       | total |       | millions |         | total
|                  |                       |                        |                         |       |                         |         |       |      |          |       |       |       |          |         |      
|Proportional      |                       |                        |                         |       |                         |         |       |      |          |       |       |       |          |         |       |      |       |       |   |       |       |         |  |     
|                  | Liability             |                        | $                       | 177.6 |                         |         |       | 12.9 | %        |       | $     | 177.4 |          |         |       | 17.1 | %     |       | $ | 115.6 |       |         |  | 14.6 | %    
|                  | Property              |                        |                         | 282.9 |                         |         |       | 20.5 |          |       |       | 211.2 |          |         |       | 20.3 |       |       |   | 184.0 |       |         |  | 23.3 |      
|                  | Motor                 |                        |                         | 276.9 |                         |         |       | 20.1 |          |       |       | 183.0 |          |         |       | 17.6 |       |       |   | 108.8 |       |         |  | 13.8 |      
|                  | Credit & Surety       |                        |                         | 114.6 |                         |         |       | 8.3  |          |       |       | 96.4  |          |         |       | 9.3  |       |       |   | 92.1  |       |         |  | 11.7 |      
|                  | Workers Compensation |                        |                         | 43.9  |                         |         |       | 3.2  |          |       |       | 91.0  |          |         |       | 8.8  |       |       |   | 73.0  |       |         |  | 9.2  |      
|                  | Aviation & Space      |                        |                         | 160.0 |                         |         |       | 11.6 |          |       |       | 83.1  |          |         |       | 8.0  |       |       |   | 47.8  |       |         |  | 6.1  |      
|                  | Accident & Health     |                        |                         | 88.4  |                         |         |       | 6.4  |          |       |       | 77.5  |          |         |       | 7.5  |       |       |   | 60.7  |       |         |  | 7.7  |      
|                  | Marine                |                        |                         | 63.2  |                         |         |       | 4.6  |          |       |       | 35.6  |          |         |       | 3.4  |       |       |   | 39.6  |       |         |  | 5.0  |      
|                  | Engineering           |                        |                         | 81.9  |                         |         |       | 5.9  |          |       |       | 52.7  |          |         |       | 5.1  |       |       |   | 37.9  |       |         |  | 4.8  |      
|                  | Specialized & Other   |                        |                         | 90.6  |                         |         |       | 6.5  |          |       |       | 30.1  |          |         |       | 2.9  |       |       |   | 29.8  |       |         |  | 3.8  |      
|                  |                       |                        |                         |       |                         |         |       |      |          |       |       |       |          |         |       |      |       |       |   |       |       |         |  |     
|                  |                       | Total Proportional     |                         | $     | 1,380.0                 |         |       |      | 100.0    | %     |       | $     | 1,038.0  |         |       |      | 100.0 | %     |   | $     | 789.3 |         |  |      | 100.0 | %    
|                  |                       |                        |                         |       |                         |         |       |      |          |       |       |       |          |         |       |      |       |       |   |       |       |         |  |     
|Non-Proportional  |                       |                        |                         |       |                         |         |       |      |          |       |       |       |          |         |       |      |       |       |   |       |       |         |  |     
|                  | Liability             |                        | $                       | 199.7 |                         |         |       | 35.3 | %        |       | $     | 228.4 |          |         |       | 38.5 | %     |       | $ | 217.8 |       |         |  | 47.5 | %    
|                  | Property              |                        |                         | 191.0 |                         |         |       | 33.7 |          |       |       | 179.8 |          |         |       | 30.3 |       |       |   | 92.8  |       |         |  | 20.2 |      
|                  | Motor                 |                        |                         | 84.5  |                         |         |       | 14.9 |          |       |       | 64.1  |          |         |       | 10.8 |       |       |   | 47.9  |       |         |  | 10.4 |      
|                  | Credit & Surety       |                        |                         | 16.2  |                         |         |       | 2.9  |          |       |       | 15.6  |          |         |       | 2.6  |       |       |   | 6.3   |       |         |  | 1.4  |      
|                  | Workers Compensation |                        |                         | 7.2   |                         |         |       | 1.3  |          |       |       | 14.0  |          |         |       | 2.4  |       |       |   | 19.0  |       |         |  | 4.1  |      
|                  | Aviation & Space      |                        |                         | 21.0  |                         |         |       | 3.7  |          |       |       | 34.3  |          |         |       | 5.8  |       |       |   | 47.6  |       |         |  | 10.4 |      
|                  | Accident & Health     |                        |                         | 28.0  |                         |         |       | 4.9  |          |       |       | 7.8   |          |         |       | 1.3  |       |       |   | 5.5   |       |         |  | 1.2  |      
|                  | Marine                |                        |                         | 11.1  |                         |         |       | 2.0  |          |       |       | 10.7  |          |         |       | 1.8  |       |       |   | 4.1   |       |         |  | 0.9  |      
|                  | Engineering           |                        |                         | (1.2  | )                       |         |       | (0.2 | )        |       |       | 2.7   |          |         |       | 0.4  |       |       |   | 3.4   |       |         |  | 0.7  |      
|                  | Specialized & Other   |                        |                         | 8.5   |                         |         |       | 1.5  |          |       |       | 36.1  |          |         |       | 6.1  |       |       |   | 14.3  |       |         |  | 3.2  |      
|                  |                       |                        |                         |       |                         |         |       |      |          |       |       |       |          |         |       |      |       |       |   |       |       |         |  |     
|                  |                       | Total Non-Proportional |                         | $     | 566.0                   |         |       |      | 100.0    | %     |       | $     | 593.5    |         |       |      | 100.0 | %     |   | $     | 458.7 |         |  |      | 100.0 | %    
|                  |                       |                        |                         |       |                         |         |       |      |          |       |       |       |          |         |       |      |       |       |   |       |       |         |  |     
|Structured/Finite |                       |                        |                         |       |                         |         |       |      |          |       |       |       |          |         |       |      |       |       |   |       |       |         |  |     
|                  | Liability             |                        | $                       | 80.8  |                         |         |       | 20.4 | %        |       | $     | 69.1  |          |         |       | 27.6 | %     |       | $ | 77.0  |       |         |  | 32.4 | %    
|                  | Property              |                        |                         | 28.0  |                         |         |       | 7.1  |          |       |       | 12.8  |          |         |       | 5.1  |       |       |   | 25.1  |       |         |  | 10.6 |      
|                  | Motor                 |                        |                         | 75.8  |                         |         |       | 19.2 |          |       |       | 86.0  |          |         |       | 34.4 |       |       |   | 2.4   |       |         |  | 1.0  |      
|                  | Credit & Surety       |                        |                         | 47.9  |                         |         |       | 12.1 |          |       |       | 10.0  |          |         |       | 4.0  |       |       |   | 8.0   |       |         |  | 3.4  |      
|                  | Workers Compensation |                        |                         | 141.6 |                         |         |       | 35.8 |          |       |       | 58.9  |          |         |       | 23.6 |       |       |   | 108.1 |       |         |  | 45.5 |      
|                  | Aviation & Space      |                        |                         |      |                         |         |       |     |          |       |       | 1.9   |          |         |       | 0.8  |       |       |   | 1.6   |       |         |  | 0.7  |      
|                  | Accident & Health     |                        |                         |      |                         |         |       |     |          |       |       |      |          |         |       |     |       |       |   |      |       |         |  |     |      
|                  | Marine                |                        |                         |      |                         |         |       |     |          |       |       |      |          |         |       |     |       |       |   |      |       |         |  |     |      
|                  | Engineering           |                        |                         |      |                         |         |       |     |          |       |       |      |          |         |       |     |       |       |   |      |       |         |  |     |      
|                  | Specialized & Other   |                        |                         | 21.0  |                         |         |       | 5.4  |          |       |       | 11.4  |          |         |       | 4.5  |       |       |   | 15.2  |       |         |  | 6.4  |      
|                  |                       |                        |                         |       |                         |         |       |      |          |       |       |       |          |         |       |      |       |       |   |       |       |         |  |     
|                  |                       |                        | Total Structured/Finite |       | $                       | 395.1   |       |      |          | 100.0 | %     |       | $        | 250.1   |       |      |       | 100.0 | % |       | $     | 237.4   |  |      |       | 100.0 | %
|                  |                       |                        |                         |       |                         |         |       |      |          |       |       |       |          |         |       |      |       |       |   |       |       |         |  |     
|Total             |                       |                        |                         |       |                         |         |       |      |          |       |       |       |          |         |       |      |       |       |   |       |       |         |  |     
|                  | Liability             |                        | $                       | 458.1 |                         |         |       | 19.6 | %        |       | $     | 474.9 |          |         |       | 25.2 | %     |       | $ | 410.4 |       |         |  | 27.6 | %    
|                  | Property              |                        |                         | 501.9 |                         |         |       | 21.5 |          |       |       | 403.8 |          |         |       | 21.5 |       |       |   | 301.9 |       |         |  | 20.3 |      
|                  | Motor                 |                        |                         | 437.2 |                         |         |       | 18.7 |          |       |       | 333.1 |          |         |       | 17.7 |       |       |   | 159.1 |       |         |  | 10.7 |      
|                  | Credit & Surety       |                        |                         | 178.6 |                         |         |       | 7.6  |          |       |       | 122.0 |          |         |       | 6.5  |       |       |   | 106.4 |       |         |  | 7.2  |      
|                  | Workers Compensation |                        |                         | 192.6 |                         |         |       | 8.2  |          |       |       | 163.9 |          |         |       | 8.7  |       |       |   | 200.1 |       |         |  | 13.5 |      
|                  | Aviation & Space      |                        |                         | 181.0 |                         |         |       | 7.7  |          |       |       | 119.3 |          |         |       | 6.3  |       |       |   | 97.0  |       |         |  | 6.5  |      
|                  | Accident & Health     |                        |                         | 116.4 |                         |         |       | 5.0  |          |       |       | 85.3  |          |         |       | 4.5  |       |       |   | 66.2  |       |         |  | 4.5  |      
|                  | Marine                |                        |                         | 74.3  |                         |         |       | 3.2  |          |       |       | 46.3  |          |         |       | 2.5  |       |       |   | 43.7  |       |         |  | 2.9  |      
|                  | Engineering           |                        |                         | 80.7  |                         |         |       | 3.4  |          |       |       | 55.4  |          |         |       | 2.9  |       |       |   | 41.3  |       |         |  | 2.8  |      
|                  | Specialized & Other   |                        |                         | 120.4 |                         |         |       | 5.1  |          |       |       | 77.6  |          |         |       | 4.2  |       |       |   | 59.3  |       |         |  | 4.0  |      
|                  |                       |                        |                         |       |                         |         |       |      |          |       |       |       |          |         |       |      |       |       |   |       |       |         |  |     
|                  |                       |                        | Total                   |       | $                       | 2,341.2 |       |      |          | 100.0 | %     |       | $        | 1,881.6 |       |      |       | 100.0 | % |       | $     | 1,485.4 |  |      |       | 100.0 | %
|                  |                       |                        |                         |       |                         |         |       |      |          |       |       |       |          |         |       |      |       |       |   |       |       |         |  |     

The table below presents the loss, expense and combined ratios of our
Non-Life reinsurance business both by line of business and type of reinsurance
for the years ended December 31, 2001, 2000 and 1999. This table represents an
aggregation of line of business ratios for our three Non-Life segments.
Subsequent tables present ratios for each Non-Life

22



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##### Table of Contents



segment by line of business and type of reinsurance. Each of the Non-Life
segments manages lines of business in distinct geographic regions and therefore
each segment responds to different competitive and legal environments. As a
result, we believe different pricing conditions exist in each of these
environments. This, in turn, can lead to differences in loss, expense and
combined ratios among each of the segments within a calendar year. These
ratios can also be affected on a calendar year basis depending on whether there
is positive or negative loss development from prior periods.

Loss, Expense and Combined Ratios

|                      |  |                         |       |         |  |          |      |       |  |         |       |          |  |       |       |         |  |          |      |   |  |  |       |   |  |     |       |   |  |  |      |   |  |  |       |  
|--------------------- |  | ----------------------- | ----- | ------- |  | -------- | ---- | ----- |  | ------- | ----- | -------- |  | ----- | ----- | ------- |  | -------- | ---- | - |  |  | ----- | - |  | --- | ----- | - |  |  | ---- | - |  |  | ----- | -
|                      |  | Year Ended December 31,
|                      |  |                        
|                      |  | 2001                    |       | 2000    |  | 1999     |      |       |  |        
|                      |  |                         |       |         |  |          |      |       |  |        
|                      |  |                         |       |         |  | U/W      |      |       |  |         |       |          |  |       |       | U/W     |  |          |      |   |  |  |       |   |  | U/W |       |   |  | 
|                      |  | Loss                    |       | Expense |  | Combined |      | Loss  |  | Expense |       | Combined |  | Loss  |       | Expense |  | Combined
|                      |  | Ratio                   |       | Ratio   |  | Ratio(1) |      | Ratio |  | Ratio   |       | Ratio(1) |  | Ratio |       | Ratio   |  | Ratio(1)
|                      |  |                         |       |         |  |          |      |       |  |         |       |          |  |       |       |         |  |         
|                      |  | %                       |       | %       |  | %        |      | %     |  | %       |       | %        |  | %     |       | %       |  | %       
|                      |  |                         |       |         |  |          |      |       |  |         |       |          |  |       |       |         |  |         
|Liability             |  |                         | 120.2 | %       |  |          | 26.5 | %     |  |         | 146.7 | %        |  |       | 89.8  | %       |  |          | 24.5 | % |  |  | 114.4 | % |  |     | 86.4  | % |  |  | 22.2 | % |  |  | 108.6 | %
|Property              |  |                         | 88.5  |         |  |          | 21.7 |       |  |         | 110.2 |          |  |       | 72.8  |         |  |          | 24.3 |   |  |  | 97.1  |   |  |     | 90.5  |   |  |  | 26.6 |   |  |  | 117.1 |  
|Motor                 |  |                         | 87.8  |         |  |          | 19.1 |       |  |         | 106.9 |          |  |       | 99.3  |         |  |          | 18.1 |   |  |  | 117.4 |   |  |     | 86.6  |   |  |  | 24.0 |   |  |  | 110.6 |  
|Credit & Surety       |  |                         | 110.5 |         |  |          | 33.9 |       |  |         | 144.4 |          |  |       | 58.4  |         |  |          | 33.3 |   |  |  | 91.7  |   |  |     | 45.8  |   |  |  | 38.6 |   |  |  | 84.3  |  
|Workers Compensation |  |                         | 67.0  |         |  |          | 27.7 |       |  |         | 94.7  |          |  |       | 91.0  |         |  |          | 24.6 |   |  |  | 115.6 |   |  |     | 66.6  |   |  |  | 23.3 |   |  |  | 89.9  |  
|Aviation & Space      |  |                         | 203.6 |         |  |          | 18.6 |       |  |         | 222.2 |          |  |       | 84.2  |         |  |          | 12.3 |   |  |  | 96.6  |   |  |     | 87.5  |   |  |  | 16.1 |   |  |  | 103.6 |  
|Accident & Health     |  |                         | 91.3  |         |  |          | 15.6 |       |  |         | 106.9 |          |  |       | 91.4  |         |  |          | 31.9 |   |  |  | 123.3 |   |  |     | 20.3  |   |  |  | 34.6 |   |  |  | 55.0  |  
|Marine                |  |                         | 107.3 |         |  |          | 22.9 |       |  |         | 130.2 |          |  |       | 102.0 |         |  |          | 25.5 |   |  |  | 127.5 |   |  |     | 77.3  |   |  |  | 31.0 |   |  |  | 108.3 |  
|Engineering           |  |                         | 98.0  |         |  |          | 24.2 |       |  |         | 122.2 |          |  |       | 90.6  |         |  |          | 27.5 |   |  |  | 118.1 |   |  |     | 122.8 |   |  |  | 34.4 |   |  |  | 157.2 |  
|Specialized and Other |  |                         | 25.2  |         |  |          | 24.7 |       |  |         | 49.9  |          |  |       | 81.7  |         |  |          | 32.4 |   |  |  | 114.1 |   |  |     | 62.9  |   |  |  | 27.2 |   |  |  | 90.1  |  
|Proportional          |  |                         | 106.3 |         |  |          | 27.4 |       |  |         | 133.7 |          |  |       | 78.3  |         |  |          | 32.2 |   |  |  | 110.5 |   |  |     | 72.1  |   |  |  | 33.8 |   |  |  | 105.9 |  
|Non-Proportional      |  |                         | 98.5  |         |  |          | 15.9 |       |  |         | 114.4 |          |  |       | 98.9  |         |  |          | 15.6 |   |  |  | 114.5 |   |  |     | 94.1  |   |  |  | 16.8 |   |  |  | 110.9 |  
|Structured/Finite     |  |                         | 78.9  |         |  |          | 19.7 |       |  |         | 98.6  |          |  |       | 79.0  |         |  |          | 10.1 |   |  |  | 89.1  |   |  |     | 70.5  |   |  |  | 15.0 |   |  |  | 85.5  |  



---

|(1) |  | The combined ratios presented in this table exclude administration
expenses.
|--- |  | ----------------------------------------------------------------------------

Converium Zurich

Overview

Converium Zurich is responsible for non-life reinsurance clients in the
United Kingdom, Western and Southern Europe, Switzerland, the Benelux
countries, Latin America, the Far East and the Pacific Rim, Israel and Southern
Africa. In addition, some business originating in North America is written
through our Converium Zurich unit in the London market. This is done in
coordination with our Converium North America operations to avoid client
conflicts and unintended risk accumulation. Local branch and representative
offices assist in servicing the Asian and Latin American markets. In addition
to focusing on these regional markets, Converium Zurich serves as our center of
expertise with respect to certain product classes. For example, we believe
Converium Zurich is considered a lead market for aviation and space as well as
a major market for credit and surety risks. In addition, Converium Zurich is
the global center of expertise for marine and engineering business and provides
technical support for catastrophe risk assessment and modeling for our global
operation. Converium Zurich accounted for $1,185.0 million, or 47.7%, of our
consolidated 2001 net premiums written.

Across all the lines of business Converium Zurich writes, we seek growth
and profitability by pursuing the following strategies, focused on
differentiation.



| |  |  | We pursue a focused and disciplined client strategy, based on
our clients market positioning, reinsurance needs, sophistication in
purchasing reinsurance and our relevance to them as a business
partner.                                                                                                   
| | - |  | --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|
| |  |  | We focus on creating solutions and offering services that help
our clients to optimize the efficiency of reinsurance. We have
developed teams and tools to analyze a clients reinsurance and
corporate finance structure and to apply reinsurance solutions that
match those needs.                          
|
| |  |  | We seek to strengthen strategic relationships with certain
client and industry groups in each market. For example, we recently
expanded in the United Kingdom through our strategic alliance with
the MDU. The MDU is the United Kingdoms premier medical defense
organization. Through this joint venture we

23



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##### Table of Contents





| |   |  | expect to expand
services, tailor new products and explore new market opportunities,
building from our expertise and the MDUs reputation as a trusted
advisor and well-known, accepted brand.                            
| | - |  | --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|
| |  |  | In Europe, we seek to grow our reinsurance of exposures with
longer potential claim periods, referred to as long-tail lines, where
we believe our expertise and analytical skills provide us with a
competitive advantage.

Historically, Converium Cologne had client relationship management
responsibility for Switzerland to mitigate the competitive issues resulting
from our ownership by Zurich Financial Services, a large competitor of other
Swiss insurers. As a consequence of the Formation Transactions, we have
transferred full responsibility for our business in Switzerland to Converium
Zurich. We anticipate that we will secure new and expanded client
relationships in Switzerland as an independent reinsurer. In addition, as an
independently managed reinsurer, we are in a position to compete for the Swiss
market reinsurance premiums ceded by Zurich Financial Services, of which
minimal premiums were reflected in our pre-2001 financial statements.

Converium Zurich is active in both the direct and broker markets. In
2001, 47% of Converium Zurichs gross premiums written were written through the
direct market and 53% were written through the broker market.

The table below presents the distribution of net premiums written by our
Converium Zurich segment by line of business for the years ended December 31,
2001, 2000 and 1999.

|                      |       |   |                         |         |       |  |          |       |       |   |          |       |       |  |      |       |   |   |       |       |  |  |      |       |  
|--------------------- | ----- | - | ----------------------- | ------- | ----- |  | -------- | ----- | ----- | - | -------- | ----- | ----- |  | ---- | ----- | - | - | ----- | ----- |  |  | ---- | ----- | -
|                      |       |   | Year Ended December 31,
|                      |       |   |                        
|                      |       |   | 2001                    |         | 2000  |  | 1999    
|                      |       |   |                         |         |       |  |         
|                      |       |   | $                       |         | % of  |  | $        |       | % of  |   | $        |       | % of 
|                      |       |   | millions                |         | total |  | millions |       | total |   | millions |       | total
|                      |       |   |                         |         |       |  |          |       |       |   |          |       |      
|Liability             |       | $ | 226.6                   |         |       |  | 19.1     | %     |       | $ | 180.5    |       |       |  | 22.1 | %     |   | $ | 139.3 |       |  |  | 24.5 | %    
|Property              |       |   | 268.5                   |         |       |  | 22.7     |       |       |   | 220.1    |       |       |  | 26.9 |       |   |   | 138.4 |       |  |  | 24.3 |      
|Motor                 |       |   | 186.3                   |         |       |  | 15.7     |       |       |   | 85.6     |       |       |  | 10.5 |       |   |   | 30.7  |       |  |  | 5.4  |      
|Credit & Surety       |       |   | 114.1                   |         |       |  | 9.6      |       |       |   | 97.7     |       |       |  | 11.9 |       |   |   | 92.2  |       |  |  | 16.2 |      
|Workers Compensation |       |   | 0.2                     |         |       |  |         |       |       |   |         |       |       |  |     |       |   |   |      |       |  |  |     |      
|Aviation & Space      |       |   | 181.0                   |         |       |  | 15.3     |       |       |   | 119.3    |       |       |  | 14.6 |       |   |   | 97.0  |       |  |  | 17.0 |      
|Accident & Health     |       |   | 41.9                    |         |       |  | 3.5      |       |       |   | 25.5     |       |       |  | 3.1  |       |   |   | 19.1  |       |  |  | 3.4  |      
|Marine                |       |   | 32.0                    |         |       |  | 2.7      |       |       |   | 19.7     |       |       |  | 2.4  |       |   |   | 17.1  |       |  |  | 3.0  |      
|Engineering           |       |   | 71.1                    |         |       |  | 6.0      |       |       |   | 55.3     |       |       |  | 6.8  |       |   |   | 31.7  |       |  |  | 5.6  |      
|Specialized & Other   |       |   | 63.3                    |         |       |  | 5.4      |       |       |   | 14.6     |       |       |  | 1.7  |       |   |   | 4.0   |       |  |  | 0.6  |      
|                      |       |   |                         |         |       |  |          |       |       |   |          |       |       |  |      |       |   |   |       |       |  |  |      |      
|                      | Total |   | $                       | 1,185.0 |       |  |          | 100.0 | %     |   | $        | 818.3 |       |  |      | 100.0 | % |   | $     | 569.5 |  |  |      | 100.0 | %
|                      |       |   |                         |         |       |  |          |       |       |   |          |       |       |  |      |       |   |   |       |       |  |  |      |      

The following table presents the loss, expense and combined ratios of our
Converium Zurich segment by line of business and type of reinsurance for the
years ended December 31, 2001, 2000 and 1999:

Loss, Expense and Combined Ratios

|                    |  |                         |        |         |  |          |      |       |  |         |        |          |  |       |       |         |  |          |      |   |  |  |       |   |  |     |        |   |  |  |        |   |  |  |        |  
|------------------- |  | ----------------------- | ------ | ------- |  | -------- | ---- | ----- |  | ------- | ------ | -------- |  | ----- | ----- | ------- |  | -------- | ---- | - |  |  | ----- | - |  | --- | ------ | - |  |  | ------ | - |  |  | ------ | -
|                    |  | Year Ended December 31,
|                    |  |                        
|                    |  | 2001                    |        | 2000    |  | 1999    
|                    |  |                         |        |         |  |         
|                    |  |                         |        |         |  | U/W      |      |       |  |         |        |          |  |       |       | U/W     |  |          |      |   |  |  |       |   |  | U/W |        |   |  | 
|                    |  | Loss                    |        | Expense |  | Combined |      | Loss  |  | Expense |        | Combined |  | Loss  |       | Expense |  | Combined
|                    |  | Ratio                   |        | Ratio   |  | Ratio(1) |      | Ratio |  | Ratio   |        | Ratio(1) |  | Ratio |       | Ratio   |  | Ratio(1)
|                    |  |                         |        |         |  |          |      |       |  |         |        |          |  |       |       |         |  |         
|                    |  | %                       |        | %       |  | %        |      | %     |  | %       |        | %        |  | %     |       | %       |  | %       
|                    |  |                         |        |         |  |          |      |       |  |         |        |          |  |       |       |         |  |         
|Liability           |  |                         | 108.7  | %       |  |          | 18.5 | %     |  |         | 127.2  | %        |  |       | 72.1  | %       |  |          | 17.5 | % |  |  | 89.6  | % |  |     | 98.9   | % |  |  | 9.8    | % |  |  | 108.7  | %
|Property            |  |                         | 95.5   |         |  |          | 20.9 |       |  |         | 116.4  |          |  |       | 58.8  |         |  |          | 20.0 |   |  |  | 78.8  |   |  |     | 99.6   |   |  |  | 25.2   |   |  |  | 124.8  |  
|Motor               |  |                         | 79.7   |         |  |          | 15.0 |       |  |         | 94.7   |          |  |       | 118.8 |         |  |          | 14.3 |   |  |  | 133.1 |   |  |     | 111.9  |   |  |  | 16.5   |   |  |  | 128.5  |  
|Credit & Surety     |  |                         | 93.5   |         |  |          | 31.3 |       |  |         | 124.8  |          |  |       | 60.4  |         |  |          | 32.2 |   |  |  | 92.5  |   |  |     | 47.4   |   |  |  | 38.9   |   |  |  | 86.3   |  
|Aviation & Space    |  |                         | 203.6  |         |  |          | 18.6 |       |  |         | 222.2  |          |  |       | 86.8  |         |  |          | 12.3 |   |  |  | 99.1  |   |  |     | 88.0   |   |  |  | 16.1   |   |  |  | 104.0  |  
|Accident & Health   |  |                         | 83.3   |         |  |          | 19.4 |       |  |         | 102.7  |          |  |       | 102.8 |         |  |          | 20.4 |   |  |  | 123.1 |   |  |     | (105.2 | ) |  |  | 61.1   |   |  |  | (44.2  | )
|Marine              |  |                         | 65.6   |         |  |          | 22.3 |       |  |         | 87.9   |          |  |       | 63.1  |         |  |          | 23.1 |   |  |  | 86.2  |   |  |     | 70.0   |   |  |  | 27.1   |   |  |  | 97.1   |  
|Engineering         |  |                         | 98.4   |         |  |          | 23.0 |       |  |         | 121.4  |          |  |       | 91.1  |         |  |          | 27.5 |   |  |  | 118.7 |   |  |     | 156.8  |   |  |  | 33.3   |   |  |  | 190.2  |  
|Specialized & Other |  |                         | (107.1 | )       |  |          | 5.0  |       |  |         | (102.1 | )        |  |       |      |         |  |          |     |   |  |  |      |   |  |     | 43.5   |   |  |  | (236.2 | ) |  |  | (192.7 | )
|Proportional        |  |                         | 120.4  |         |  |          | 24.7 |       |  |         | 145.1  |          |  |       | 63.9  |         |  |          | 28.5 |   |  |  | 92.4  |   |  |     | 68.0   |   |  |  | 35.2   |   |  |  | 103.1  |  
|Non-Proportional    |  |                         | 55.7   |         |  |          | 12.2 |       |  |         | 67.9   |          |  |       | 99.5  |         |  |          | 9.0  |   |  |  | 108.6 |   |  |     | 122.9  |   |  |  | 9.6    |   |  |  | 132.5  |  
|Structured/Finite   |  |                         | 103.1  |         |  |          | 6.7  |       |  |         | 109.8  |          |  |       | 67.2  |         |  |          | 9.5  |   |  |  | 76.7  |   |  |     | 73.3   |   |  |  | 6.1    |   |  |  | 79.3   |  

24



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##### Table of Contents





---

|(1) |  | The combined ratios presented in this table exclude administration
expenses.
|--- |  | ----------------------------------------------------------------------------

Converium Zurich is a full service provider, with treaty, facultative and
structured/finite capacities. In 2001, approximately 69% of Converium Zurichs
non-life net premiums written were on a proportional basis, 22% were on a
non-proportional basis and 9% were on a structured/finite basis. We believe we
are recognized in the marketplace as a lead market provider capable of
innovative solutions and responsive service.

Our Zurich office serves as the center of specialized expertise for a
number of areas. For example, our global aviation and space expertise is
managed out of Zurich. We offer reinsurance coverage for all aviation and
space related risks by way of proportional and non-proportional treaty
reinsurance as well as structured/finite solutions.

We consider credit and surety, which contributes an important part to our
premium volume, an important business line. We believe we have a strong
position in the credit and surety market. Converium is a selected member of
the long-term reinsurance panel of all major credit insurers and many important
surety companies worldwide. Our center of expertise in Zurich together with
our local offices are strongly committed to continuing to provide long-term
capacity, security and professional services to our clients in these highly
specialized lines of business.

Property catastrophe underwriting is coordinated among our three non-life
segments to optimize capital utilization, maximize diversification benefits on
a group-wide basis and monitor risk accumulations. Our property catastrophe
underwriting specialists in Zurich and Singapore coordinate with our
underwriters in the United States as well as marketing personnel in our
representative offices in Mexico City and Buenos Aires. In addition, our
property catastrophe underwriting team works together with the appropriate
client relationship teams in order to provide the best service to our clients.

European Markets

In Europe, insurance companies are increasingly focusing on life and
personal lines insurance and are withdrawing capacity from the commercial lines
insurance market. We believe this trend, together with significant
consolidation and enhanced pricing discipline, should lead to more favorable
pricing conditions in that market.

Throughout Europe, bodily injury claims have suffered from very high
claims inflation leading to unsatisfactory performance of lines of business
such as motor third party liability and employers liability. Since those
lines of business are usually reinsured on an excess of loss basis, reinsurers
have borne more than their proportional share of the losses. As a result, in
most European markets insurers and reinsurers are now increasing prices.

In 1999, France, Denmark and Southern Germany experienced a series of
severe winter storms. Prices for catastrophe reinsurance covers in the regions
affected by the storms have increased substantially as a result.

United Kingdom.The United Kingdom is our largest European market.
During the last few years the U.K. insurance market has undergone a series of
dramatic changes, including a wave of consolidations followed by a series of
smaller demergers, spin-offs and creation of start ups. The capitalization of
these new entities has often heavily relied on reinsurance, creating
interesting opportunities for us and other reinsurers. We principally write
motor, liability, property, accident and health and credit and surety business
in the United Kingdom, primarily through brokers.

The U.K. market is a deregulated market. The earnings of insurance
companies are volatile and the market is cyclical. Although pricing conditions
in the United Kingdom have improved, we intend to carefully monitor our premium
volumes in this market and to write U.K. business opportunistically.

We recently expanded our business in the United Kingdom through our
strategic alliance with the MDU. The MDU is the United Kingdoms premier
medical defense organization. We expect to continue to expand services, tailor
new products and explore new market opportunities, through both our expertise
and the MDUs reputation as a trusted advisor and well-known, accepted brand.

In addition to our underwriting team which covers the U.K. and Irish
markets out of Zurich, we also have a representative office in London.

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##### Table of Contents



France.The French market is our second largest European market. Like
the U.K. market, the French insurance market has undergone substantial
consolidation in recent years. Despite this consolidation and the replacement
of proportional cessions by non-proportional reinsurance, we have been able
to grow our premium income in the French market. We principally write
property, motor and liability business in France, primarily through brokers.

The French market suffered very large storm losses at the end of 1999
which were only fully recognized by insurance and reinsurance pricing during
the course of 2000. This has led to strong improvements in rates for property
catastrophe reinsurance protections. As a consequence, we have increased our
exposure to this type of risk in 2001.

Netherlands.We principally write property business in the Netherlands,
primarily on a direct basis. The Dutch market has been one of the more
receptive markets for structured/finite products and we have been able to
develop our position due to our expertise in this field.

Italy and Spain.We principally write property and credit and surety
business in Italy and Spain, primarily through brokers. The market conditions
in Italy and Spain have been difficult. Original rates of heavily reinsured
industrial fire risks are barely adequate, and a substantial share of the
losses is ceded through proportional reinsurance. Our market share is modest
and will remain so as long as the conditions do not improve. The Italian
market experienced a substantial hardening at the last renewal period. We have
increased our exposure to the hardened market conditions accordingly.

Switzerland.The formation of Converium and our separation from Zurich
Financial Services creates new opportunities for us in the Swiss market where
primary insurers have been unwilling to enter into business relationships with
the reinsurance operations of a competitor like Zurich Financial Services. In
addition, as an independently managed reinsurer, we are now in a position to
compete for the Swiss market reinsurance premiums ceded by Zurich Financial
Services, of which minimal premiums are reflected in our historical results.
Converium is positioned as an innovative provider in the structured/finite
field and we believe that Switzerland will continue to be a receptive market
for structured/finite solutions.

Overseas Markets

Latin America.We have representative offices in Latin America in Buenos
Aires, Mexico City and São Paulo, which support our underwriters in Zurich.
Our Mexico City office covers northern Latin America, including the Caribbean.
The business marketed through our Mexico City office has increased markedly in
the last three years. We achieved this growth by approaching new clients and
by taking advantage of the benefits offered by favorable pricing conditions in
the market after a series of hurricanes in 1998 and 1999. The Mexico City
office has grown in size to a staff of 20. We offer property, property
catastrophe, liability and engineering reinsurance in this market.

We also have an office in Buenos Aires which serves southern Latin
America, including Argentina, Bolivia, Chile, Peru, Paraguay and Uruguay. The
business volume in this region has also grown significantly in the last three
years. Our strongest markets include Argentina, Chile and Peru. We offer
property, liability and motor business in these markets.

Our representative office in São Paulo was established in 1999 in
anticipation of the opening of the Brazilian reinsurance market. However, the
Brazilian market continues to be monopolized by the state-owned reinsurance
firm IRB Resseguros de Brazil, or IRB. We maintain a minimal presence in the
local office, from where our staff coordinates business through IRB and
supports our other Latin American offices.

Japan.We have a representative office in Japan which supports our
underwriters in Zurich through local marketing efforts. Earthquake and
wind/flood coverage represents the bulk of our Japanese book of business. We
have also built up our non-traditional capabilities and will seek to increase
our structured/finite business in the region. Our business in Japan has grown
substantially over the last three years. As of December 31, 2001, we had
approximately $32.0 million net premiums written in-force from reinsurance
business in Japan. We are well-positioned in Japans consolidating market as
we have a good relationship with all of the top insurance companies. In
addition, Japanese clients have been particularly sensitive to our historical
ownership by a competitor like Zurich Financial Services. We believe the
Japanese market will present significant new growth opportunities.

26



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##### Table of Contents



Australia/New Zealand.We opened a branch office in Sydney in 1999 and
believe we have identified attractive growth opportunities in Australia. Our
managers have significant underwriting experience and industry relationships in
this market. Currently, the majority of our Australian premiums are derived
from property lines, although we are also marketing our capacity for appropriately priced liability and other lines. However,
we consider workers compensation business, in particular, heavily under priced
and we intend to limit our exposures on this business until conditions improve.

Asian Markets.We service the Far East, the Association of Southeast
Asian Nations, or ASEAN, countries and South Asia out of our branch offices in
Singapore and Labuan, Malaysia. We believe that we can achieve substantial
additional business from these territories. Our current focus is on Taiwan,
Hong Kong, Korea and the ASEAN countries. Our business volume has
significantly grown from negligible levels in 1997, as we have added additional
staff with property, liability and engineering capabilities as well as
expertise in non-traditional solutions. We also have actuaries based in
Singapore who support our underwriters.

Converium North America

Converium North America manages our non-life reinsurance business in the
United States, its primary market, and in Canada. In North America, we write a
full range of traditional and structured/finite reinsurance solutions on both a
treaty and individual risk, or facultative, basis. Converium North America
primarily writes liability, workers compensation, property, commercial motor
liability, commercial multi-peril, accident and health, surety and medical
malpractice reinsurance. In addition to its regional market responsibilities,
Converium North America is our global center of expertise for agribusiness.
Converium North America is the sixth largest broker reinsurer and the tenth
largest professional reinsurer in the United States based on 2001 net premiums
written. Converium North America accounted for $898.4 million, or 36.2%, of
our 2001 net premiums written.

Converium North America principally writes its reinsurance business
through brokers. However, we believe one of our competitive strengths is our
ability to work closely with our clients while honoring our and our clients
relationships with brokers.

Converium North Americas strategy is to be a lead underwriter and to work
closely with our clients, which we believe distinguishes us from our
competitors and improves our risk profile. In 2001, Converium North America
operated as the lead reinsurer with respect to contracts representing in excess
of 72% of its net premiums written. As a lead reinsurer, we seek to work
closely with our clients to bring them innovative solutions and to deepen our
mutual relationship. To do so, we have developed customized services, which we
offer both to our clients and brokers. These services include items such as
loss trend analysis, assistance with pricing tools, helping clients develop
experience and exposure analysis models, new product opportunity development
analysis, and emerging and key issue analyses on subjects such as toxic torts,
indoor pollution, workers compensation reforms and e-business exposure.

The table below presents the distribution of net premiums written by our
Converium North America segment by line of business for the years ended
December 31, 2001, 2000 and 1999.

|                      |       |   |                         |       |       |  |          |       |       |   |          |       |       |  |      |       |   |   |       |       |  |  |      |       |  
|--------------------- | ----- | - | ----------------------- | ----- | ----- |  | -------- | ----- | ----- | - | -------- | ----- | ----- |  | ---- | ----- | - | - | ----- | ----- |  |  | ---- | ----- | -
|                      |       |   | Year Ended December 31,
|                      |       |   |                        
|                      |       |   | 2001                    |       | 2000  |  | 1999    
|                      |       |   |                         |       |       |  |         
|                      |       |   | $                       |       | % of  |  | $        |       | % of  |   | $        |       | % of 
|                      |       |   | millions                |       | total |  | millions |       | total |   | millions |       | total
|                      |       |   |                         |       |       |  |          |       |       |   |          |       |      
|Liability             |       | $ | 216.4                   |       |       |  | 24.1     | %     |       | $ | 284.9    |       |       |  | 33.7 | %     |   | $ | 261.2 |       |  |  | 38.6 | %    
|Property              |       |   | 144.6                   |       |       |  | 16.1     |       |       |   | 120.0    |       |       |  | 14.2 |       |   |   | 96.0  |       |  |  | 14.2 |      
|Motor                 |       |   | 178.5                   |       |       |  | 19.9     |       |       |   | 175.9    |       |       |  | 20.8 |       |   |   | 58.0  |       |  |  | 8.6  |      
|Credit & Surety       |       |   | 64.8                    |       |       |  | 7.2      |       |       |   | 23.0     |       |       |  | 2.7  |       |   |   | 14.0  |       |  |  | 2.1  |      
|Workers Compensation |       |   | 192.4                   |       |       |  | 21.4     |       |       |   | 163.9    |       |       |  | 19.4 |       |   |   | 200.1 |       |  |  | 29.5 |      
|Aviation & Space      |       |   |                        |       |       |  |         |       |       |   |         |       |       |  |     |       |   |   |      |       |  |  |     |      
|Accident & Health     |       |   | 38.9                    |       |       |  | 4.3      |       |       |   | 11.0     |       |       |  | 1.3  |       |   |   |      |       |  |  |     |      
|Marine                |       |   | 7.0                     |       |       |  | 0.8      |       |       |   | 5.0      |       |       |  | 0.6  |       |   |   |      |       |  |  |     |      
|Engineering           |       |   |                        |       |       |  |         |       |       |   |         |       |       |  |     |       |   |   | 1.0   |       |  |  | 0.1  |      
|Specialized & Other   |       |   | 55.8                    |       |       |  | 6.2      |       |       |   | 61.0     |       |       |  | 7.3  |       |   |   | 47.0  |       |  |  | 6.9  |      
|                      |       |   |                         |       |       |  |          |       |       |   |          |       |       |  |      |       |   |   |       |       |  |  |      |      
|                      | Total |   | $                       | 898.4 |       |  |          | 100.0 | %     |   | $        | 844.7 |       |  |      | 100.0 | % |   | $     | 677.3 |  |  |      | 100.0 | %
|                      |       |   |                         |       |       |  |          |       |       |   |          |       |       |  |      |       |   |   |       |       |  |  |      |      

27



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The following table presents the loss, expense and combined ratios of our
Converium North America segment by line of business and type of reinsurance for
the years ended December 31, 2001, 2000 and 1999:

Loss, Expense and Combined Ratios

|                      |  |                         |       |         |  |          |      |       |  |         |       |          |  |       |       |         |  |          |      |   |  |  |       |   |  |     |      |   |  |  |      |   |  |  |       |  
|--------------------- |  | ----------------------- | ----- | ------- |  | -------- | ---- | ----- |  | ------- | ----- | -------- |  | ----- | ----- | ------- |  | -------- | ---- | - |  |  | ----- | - |  | --- | ---- | - |  |  | ---- | - |  |  | ----- | -
|                      |  | Year Ended December 31,
|                      |  |                        
|                      |  | 2001                    |       | 2000    |  | 1999    
|                      |  |                         |       |         |  |         
|                      |  |                         |       |         |  | U/W      |      |       |  |         |       |          |  |       |       | U/W     |  |          |      |   |  |  |       |   |  | U/W |      |   |  | 
|                      |  | Loss                    |       | Expense |  | Combined |      | Loss  |  | Expense |       | Combined |  | Loss  |       | Expense |  | Combined
|                      |  | Ratio                   |       | Ratio   |  | Ratio(1) |      | Ratio |  | Ratio   |       | Ratio(1) |  | Ratio |       | Ratio   |  | Ratio(1)
|                      |  |                         |       |         |  |          |      |       |  |         |       |          |  |       |       |         |  |         
|                      |  | %                       |       | %       |  | %        |      | %     |  | %       |       | %        |  | %     |       | %       |  | %       
|                      |  |                         |       |         |  |          |      |       |  |         |       |          |  |       |       |         |  |         
|Liability             |  |                         | 117.9 | %       |  |          | 33.5 | %     |  |         | 151.4 | %        |  |       | 101.8 | %       |  |          | 28.3 | % |  |  | 130.1 | % |  |     | 78.1 | % |  |  | 28.5 | % |  |  | 106.6 | %
|Property              |  |                         | 77.2  |         |  |          | 25.6 |       |  |         | 102.8 |          |  |       | 68.9  |         |  |          | 29.9 |   |  |  | 98.8  |   |  |     | 90.4 |   |  |  | 28.1 |   |  |  | 118.5 |  
|Motor                 |  |                         | 93.5  |         |  |          | 22.5 |       |  |         | 116.0 |          |  |       | 92.4  |         |  |          | 16.0 |   |  |  | 108.4 |   |  |     | 78.0 |   |  |  | 24.7 |   |  |  | 102.7 |  
|Credit & Surety       |  |                         | 202.0 |         |  |          | 45.3 |       |  |         | 247.3 |          |  |       | 47.8  |         |  |          | 40.3 |   |  |  | 88.1  |   |  |     | 40.0 |   |  |  | 29.2 |   |  |  | 69.2  |  
|Workers Compensation |  |                         | 67.0  |         |  |          | 27.7 |       |  |         | 94.7  |          |  |       | 91.0  |         |  |          | 24.6 |   |  |  | 115.6 |   |  |     | 66.6 |   |  |  | 23.3 |   |  |  | 89.9  |  
|Accident & Health     |  |                         | 85.4  |         |  |          | 22.1 |       |  |         | 107.5 |          |  |       | 80.1  |         |  |          | 20.0 |   |  |  | 100.1 |   |  |     |     |   |  |  |     |   |  |  |      |  
|Marine                |  |                         | 97.6  |         |  |          | 28.1 |       |  |         | 125.7 |          |  |       | 72.9  |         |  |          | 22.9 |   |  |  | 95.9  |   |  |     |     |   |  |  |     |   |  |  |      |  
|Specialized & Other   |  |                         | 95.3  |         |  |          | 35.4 |       |  |         | 130.7 |          |  |       | 62.9  |         |  |          | 26.0 |   |  |  | 88.9  |   |  |     | 66.2 |   |  |  | 34.7 |   |  |  | 100.9 |  
|Proportional          |  |                         | 89.2  |         |  |          | 35.8 |       |  |         | 125.0 |          |  |       | 82.6  |         |  |          | 34.6 |   |  |  | 117.2 |   |  |     | 79.4 |   |  |  | 32.7 |   |  |  | 112.1 |  
|Non-Proportional      |  |                         | 123.7 |         |  |          | 22.3 |       |  |         | 146.0 |          |  |       | 98.8  |         |  |          | 22.3 |   |  |  | 121.2 |   |  |     | 73.9 |   |  |  | 22.9 |   |  |  | 96.8  |  
|Structured/Finite     |  |                         | 69.7  |         |  |          | 24.6 |       |  |         | 94.3  |          |  |       | 83.4  |         |  |          | 10.3 |   |  |  | 93.7  |   |  |     | 68.0 |   |  |  | 23.1 |   |  |  | 91.1  |  



---

|(1) |  | The combined ratios presented in this table exclude administration
expenses.
|--- |  | ----------------------------------------------------------------------------

In 2001, approximately 37% of Converium North Americas net premiums were
written on a proportional basis, 30% were written on a non-proportional basis
and 33% were written on a structured/finite basis. We offer facultative
services primarily on a direct basis.

Prior to the September 11th terrorist attacks, a number of the products
offered by Converium North America were experiencing rate increases. Primary
insurance conditions have continued to become more restrictive, creating
opportunities for reinsurers, although we cant assure you this will continue.
For example, we have seen primary rate increases in all liability lines with
reduced reinsurance ceding commissions.

As a result of insured losses arising from the terrorist attacks on
September 11, 2001, Enron-related losses and the poor performance of equity
markets in 2001, we expect improved pricing and terms in the near term for both
insurance and reinsurance products. This is expected to result from the large
losses suffered by some market participants and the tightening of coverage
conditions anticipated by many insurers and reinsurers. In addition, we expect
demand for reinsurance to increase as primary insurers buy reinsurance to
protect weakened capital positions, react to rating agency pressures and
reflect revised estimates of the frequency and severity of man-made
catastrophic events.

At the same time, however, we expect both pricing and terms to become more
severe in the retrocessional reinsurance market. Accordingly, the September
11th events may limit the availability of desired amounts of retrocessional
reinsurance at acceptable pricing. Moreover, the September 11th terrorist
attacks, threats of further terrorist attacks and the military initiatives and
political unrest in Afghanistan and the Middle East have adversely affected
general economic, market and political conditions, increasing many of the risks
of our business.

Some of Converium North Americas operations are conducted through
Converium Insurance (North America) Inc., which is licensed to write various
lines of primary business in 49 states and the District of Columbia. Converium
Insurance (North America) Inc.s primary insurance license helps us create
efficient transaction structures for certain business, and in particular is the
means through which we write program business. Currently, Converium Insurance
(North America) Inc. has five active programs. These programs cover various
property and liability risks, including commercial trucking, rental cars and
workers compensation. During 2001, these programs had direct premiums of
approximately $124.9 million. In October of 2001, Converium Insurance (North
America) Inc. was granted a license by the United States Department of
Agriculture to write federal crop insurance policies. We currently expect crop
insurance to become an area of growth for the primary insurance company.

28



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##### Table of Contents



Converium Cologne

Overview

Converium Cologne manages our non-life reinsurance business in Germany,
Central and Eastern Europe, Northern Europe, Austria, Northern Africa and the
Middle East. Converium Cologne is active in both the direct and broker
reinsurance markets, and writes all major lines of business. In 2001, 52%
of Converium Colognes gross premiums written were written through the direct
market and 48% were written through the broker market.

In addition, Converium Cologne has worldwide underwriting responsibility
for health reinsurance business, except in the United States, which is managed
by Converium North America. Converium Cologne offers reinsurance on a
proportional, non-proportional and structured/finite basis. We believe that
Converium Cologne is widely accepted as a full-service provider in its markets,
with a principal focus on property, motor, liability, accident and health and
marine lines. Converium Cologne accounted for $257.8 million, or 10.4%, of our
2001 net premiums written.

With respect to Converium Colognes global health reinsurance business, we
primarily target the French, Italian and Middle Eastern markets. We are
seeking to grow our health reinsurance business opportunistically and
cautiously. Our experienced underwriters are very selective in accepting new
health business.

Converium Germanys predecessor entities date to 1872, and Converium
Germany is a well established reinsurer with long-term client relationships.
Prior to the Formation Transactions, our operations in the Swiss market were
largely managed by our Cologne office. Our presence in Switzerland was
restricted due to our being owned by Zurich Financial Services, a large
competitor of many of our current and potential Swiss clients. Responsibility
for the Swiss non-life market has now been transferred to Converium Zurich.

Our strategies include:



| |  |  | extending our market position and client base in Germany                                                                                   
| | - |  | -------------------------------------------------------------------------------------------------------------------------------------------
|
| |  |  | seeking to increase the number of treaties on which we are the lead reinsurer                                                              
|
| |  |  | growing our structured/finite businesses in Germany, Northern Europe and Austria                                                           
|
| |  |  | focusing on Central and Eastern Europe, as we believe these
markets offer the potential for profitable premium growth                      
|
| |  |  | building our personal lines portfolios in Northern Europe                                                                                  
|
| |  |  | expanding our business relations in North Africa and the Middle
East and growing our non-proportional portfolio in these developing
markets
|
| |  |  | strengthening our relationships with the major insurance groups in Austria                                                                 
|
| |  |  | writing health reinsurance on an opportunistic and prudent basis                                                                           

The table below presents the distribution of net premiums written by our
Converium Cologne segment by line of business for the years ended December 31,
2001, 2000 and 1999.

|          |  |   |                         |  |       |  |          |   |       |   |          |  |       |  |      |   |  |   |      |  |  |  |      |   | 
|--------- |  | - | ----------------------- |  | ----- |  | -------- | - | ----- | - | -------- |  | ----- |  | ---- | - |  | - | ---- |  |  |  | ---- | - | 
|          |  |   | Year Ended December 31,
|          |  |   |                        
|          |  |   | 2001                    |  | 2000  |  | 1999    
|          |  |   |                         |  |       |  |         
|          |  |   | $                       |  | % of  |  | $        |   | % of  |   | $        |  | % of 
|          |  |   | millions                |  | total |  | millions |   | total |   | millions |  | total
|          |  |   |                         |  |       |  |          |   |       |   |          |  |      
|Liability |  | $ | 15.1                    |  |       |  | 5.9      | % |       | $ | 9.5      |  |       |  | 4.3  | % |  | $ | 9.9  |  |  |  | 4.1  | %
|Property  |  |   | 88.8                    |  |       |  | 34.4     |   |       |   | 63.7     |  |       |  | 29.1 |   |  |   | 67.5 |  |  |  | 28.3 |  
|Motor     |  |   | 72.4                    |  |       |  | 28.1     |   |       |   | 71.6     |  |       |  | 32.8 |   |  |   | 70.4 |  |  |  | 29.5 |  

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|                      |       |  |                         |       |       |  |          |       |       |  |          |       |       |  |      |       |   |  |      |       |  |  |      |       |  
|--------------------- | ----- |  | ----------------------- | ----- | ----- |  | -------- | ----- | ----- |  | -------- | ----- | ----- |  | ---- | ----- | - |  | ---- | ----- |  |  | ---- | ----- | -
|                      |       |  | Year Ended December 31,
|                      |       |  |                        
|                      |       |  | 2001                    |       | 2000  |  | 1999    
|                      |       |  |                         |       |       |  |         
|                      |       |  | $                       |       | % of  |  | $        |       | % of  |  | $        |       | % of 
|                      |       |  | millions                |       | total |  | millions |       | total |  | millions |       | total
|                      |       |  |                         |       |       |  |          |       |       |  |          |       |      
|Credit & Surety       |       |  | (0.3                    | )     |       |  | (0.1     | )     |       |  | 1.3      |       |       |  | 0.6  |       |   |  | 0.2  |       |  |  |     |      
|Workers Compensation |       |  |                        |       |       |  |         |       |       |  |         |       |       |  |     |       |   |  |     |       |  |  |     |      
|Aviation & Space      |       |  |                        |       |       |  |         |       |       |  |         |       |       |  |     |       |   |  |     |       |  |  |     |      
|Accident & Health     |       |  | 35.6                    |       |       |  | 13.8     |       |       |  | 48.8     |       |       |  | 22.3 |       |   |  | 47.1 |       |  |  | 19.8 |      
|Marine                |       |  | 35.3                    |       |       |  | 13.7     |       |       |  | 21.6     |       |       |  | 9.9  |       |   |  | 26.6 |       |  |  | 11.2 |      
|Engineering           |       |  | 9.6                     |       |       |  | 3.7      |       |       |  | 0.1      |       |       |  |     |       |   |  | 8.6  |       |  |  | 3.6  |      
|Specialized & Other   |       |  | 1.3                     |       |       |  | 0.5      |       |       |  | 2.0      |       |       |  | 1.0  |       |   |  | 8.3  |       |  |  | 3.5  |      
|                      |       |  |                         |       |       |  |          |       |       |  |          |       |       |  |      |       |   |  |      |       |  |  |      |      
|                      | Total |  | $                       | 257.8 |       |  |          | 100.0 | %     |  | $        | 218.6 |       |  |      | 100.0 | % |  | $    | 238.6 |  |  |      | 100.0 | %
|                      |       |  |                         |       |       |  |          |       |       |  |          |       |       |  |      |       |   |  |      |       |  |  |      |      

The following table presents the loss, expense and combined ratios of our
Converium Cologne segment by line of business and type of reinsurance for the
years ended December 31, 2001, 2000 and 1999:

Loss, Expense and Combined Ratios

|                    |  |                         |       |         |  |          |      |       |  |         |       |          |  |       |       |         |  |          |      |   |  |  |       |   |  |     |       |   |  |  |      |   |  |  |       |  
|------------------- |  | ----------------------- | ----- | ------- |  | -------- | ---- | ----- |  | ------- | ----- | -------- |  | ----- | ----- | ------- |  | -------- | ---- | - |  |  | ----- | - |  | --- | ----- | - |  |  | ---- | - |  |  | ----- | -
|                    |  | Year Ended December 31,
|                    |  |                        
|                    |  | 2001                    |       | 2000    |  | 1999    
|                    |  |                         |       |         |  |         
|                    |  |                         |       |         |  | U/W      |      |       |  |         |       |          |  |       |       | U/W     |  |          |      |   |  |  |       |   |  | U/W |       |   |  | 
|                    |  | Loss                    |       | Expense |  | Combined |      | Loss  |  | Expense |       | Combined |  | Loss  |       | Expense |  | Combined
|                    |  | Ratio                   |       | Ratio   |  | Ratio(1) |      | Ratio |  | Ratio   |       | Ratio(1) |  | Ratio |       | Ratio   |  | Ratio(1)
|                    |  |                         |       |         |  |          |      |       |  |         |       |          |  |       |       |         |  |         
|                    |  | %                       |       | %       |  | %        |      | %     |  | %       |       | %        |  | %     |       | %       |  | %       
|                    |  |                         |       |         |  |          |      |       |  |         |       |          |  |       |       |         |  |         
|Liability           |  |                         | 333.7 | %       |  |          | 28.5 | %     |  |         | 362.2 | %        |  |       | (1.6  | )%      |  |          | 18.2 | % |  |  | 16.6  | % |  |     | 127.8 | % |  |  | 24.8 | % |  |  | 152.6 | %
|Property            |  |                         | 84.3  |         |  |          | 18.0 |       |  |         | 102.3 |          |  |       | 129.7 |         |  |          | 28.0 |   |  |  | 157.7 |   |  |     | 73.0  |   |  |  | 27.5 |   |  |  | 100.5 |  
|Motor               |  |                         | 88.5  |         |  |          | 18.1 |       |  |         | 106.6 |          |  |       | 95.6  |         |  |          | 26.0 |   |  |  | 121.6 |   |  |     | 83.5  |   |  |  | 26.8 |   |  |  | 110.3 |  
|Credit & Surety     |  |                         |      |         |  |          |     |       |  |         |      |          |  |       | 31.2  |         |  |          | 37.0 |   |  |  | 68.2  |   |  |     |      |   |  |  |     |   |  |  |      |  
|Accident & Health   |  |                         | 107.5 |         |  |          | 3.1  |       |  |         | 110.6 |          |  |       | 86.8  |         |  |          | 38.2 |   |  |  | 125.0 |   |  |     | 75.0  |   |  |  | 23.1 |   |  |  | 98.1  |  
|Marine              |  |                         | 139.7 |         |  |          | 22.4 |       |  |         | 162.1 |          |  |       | 137.2 |         |  |          | 27.7 |   |  |  | 164.9 |   |  |     | 81.8  |   |  |  | 33.3 |   |  |  | 115.1 |  
|Engineering         |  |                         | 95.5  |         |  |          | 31.6 |       |  |         | 127.1 |          |  |       |      |         |  |          |     |   |  |  |      |   |  |     | 52.3  |   |  |  | 36.6 |   |  |  | 88.9  |  
|Specialized & Other |  |                         | 85.2  |         |  |          | 22.0 |       |  |         | 107.2 |          |  |       | 61.6  |         |  |          | 72.9 |   |  |  | 134.5 |   |  |     | 48.8  |   |  |  | 51.6 |   |  |  | 100.4 |  
|Proportional        |  |                         | 92.5  |         |  |          | 22.0 |       |  |         | 114.5 |          |  |       | 102.4 |         |  |          | 35.6 |   |  |  | 138.0 |   |  |     | 67.3  |   |  |  | 33.7 |   |  |  | 101.0 |  
|Non-Proportional    |  |                         | 195.8 |         |  |          | (5.3 | )     |  |         | 190.5 |          |  |       | 95.9  |         |  |          | 7.5  |   |  |  | 103.4 |   |  |     | 127.7 |   |  |  | 1.8  |   |  |  | 129.5 |  



---

|(1) |  | The combined ratios presented in this table exclude administration
expenses.
|--- |  | ----------------------------------------------------------------------------

In 2001, approximately 85% of Converium Colognes non-life premiums were
written on a proportional basis and 15% were written on a non-proportional
basis.

Our Cologne business includes specialists in underwriting, actuarial,
accounting, finance, claims handling, catastrophe risk modeling and other
professional skills. Our Cologne specialists are closely linked and
communicate regularly with each other and with other professionals across our
non-life segments in New York and Zurich.

Converium Cologne has historically written its business primarily on a
proportional basis. We believe our markets, especially mature markets like
Germany and Northern Europe, are experiencing a gradual shift from proportional
to non-proportional reinsurance arrangements. We believe our intimate
knowledge of our clients, together with our actuarial expertise, helps us to
understand this shift and enables us to benefit from it.

Markets

Following a soft market in 1998 and 1999, improved pricing conditions in
our markets have resulted in slightly increased prices in 2000 and more
substantial increases in 2001 in most of our major lines of business. Our
principal markets are:

Germany.Germany is the largest market served by our Converium Cologne
segment, representing approximately 38% of the segments net premiums written
in 2001. The German market is the largest in Continental Europe and it
predominantly relies on direct distribution, rather than brokers. Personal
customer relationships are of essential importance in Germany, which we believe
gives us opportunities to benefit from our strong industry relationships.

Although reinsurance in Germany is largely written on a proportional
basis, we have recently observed a shift among clients towards a greater
interest in non-proportional and alternative reinsurance. We believe we have a
substantial opportunity to grow our business in Germany by actively marketing
our structured/finite expertise. For example, we believe

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that demand for
non-traditional financial risk products will grow in anticipation of the
intended adoption of International Accounting Standards, or IAS, by the
European Union, currently proposed to take effect in 2005. In addition, we
believe that the German market will provide opportunities for independent
reinsurance companies of our size as clients look for strong independent
alternatives to the largest reinsurers.

Central and Eastern Europe.Converium Cologne is an active provider of
non-life reinsurance in Central and Eastern European markets, which include
Poland, the Czech Republic, Russia, Hungary, the former Yugoslavia, Romania,
Slovakia, the Baltic States and Bulgaria. Our largest markets in this region
are Poland and the Czech Republic. We view these countries as emerging markets
for reinsurance, and focus on traditional coverages such as property, motor and
marine, which we generally provide on a proportional basis. London-based
reinsurance brokers constitute our principal distribution source.

We plan to expand our position in Poland and the Czech Republic primarily
by seeking to increase our client base. We also plan to strengthen our
relations with clients in Slovakia, Slovenia, Croatia, Bulgaria, Romania,
Russia and the Baltic States, where we have relatively small but profitable
portfolios. To achieve our expansion objectives, we are organizing seminars
and workshops in major Eastern European markets to explain our products and
services and plan to offer additional capacity and product lines.

Northern Europe.The Northern European markets are generally
sophisticated and competitive markets. We offer a full range of traditional
non-life products including property, marine and motor. Because of the intense
competition and resulting low profitability in traditional proportional
reinsurance in Northern Europe, we plan to increase our focus on
non-proportional and structured/finite business in these markets. In
particular, we believe that we have strong positions in some classes of
non-proportional solutions such as excess of loss and aggregate excess of loss
treaties and that our innovative products and our client focus will help us
expand our distribution of these products.

We anticipate that the continuing consolidation process in Scandinavia and
Finland will likely lead to larger and fewer participants in the market and an
improving level of price discipline. We expect this consolidation to also lead
to opportunities for independent, niche-oriented primary insurers seeking a
strong and experienced reinsurance partner.

Austria.We have a solid position in the Austrian market, where we
primarily write property, motor and liability insurance. Approximately
two-thirds of our net premiums written in Austria are written on a direct
basis. In Austria, four major groups of insurers with a combined market share
of nearly 50% dominate the market. Each of these insurers is a client of ours.
Three of these insurers have affiliates in Central and Eastern European
countries such as Poland, the Czech Republic, Slovakia, Hungary and Croatia.
These three clients are of significant strategic importance as they cede both
their domestic and foreign business to us. We believe our relationships with
these clients will facilitate our planned expansion into Central and Eastern
Europe.

Northern Africa/Middle East.We provide a broad variety of coverages in
Northern Africa and the Middle East, principally acting as a lead underwriter.
Our principal markets in the Middle East include Saudi Arabia, the United Arab
Emirates and Kuwait. The products we offer in these markets include property,
motor, marine and general accident. Reinsurance in Northern African and Middle
Eastern markets is typically written on a proportional treaty basis. Our
aggregate net premiums written in these markets have grown from $37.7 million
in 1998 to $63.6 million in 2001.

In order to further strengthen our market position in these markets, we
recently hired a new chief underwriter who has 15 years of underwriting
experience in these regions. Due to the expertise of this newly formed
underwriting team, we have also decided to transfer primary responsibility for
Greece, Turkey, Cyprus and Malta from our Converium Zurich office to this
Converium Cologne operating unit.

Converium Life Operations

We offer life reinsurance on a global scale. We primarily conduct our
life reinsurance business from Cologne, Germany. In September 1999, we
implemented a strategy to substantially grow our Converium Life reinsurance
business. Prior to this time, we only offered life reinsurance in the Middle
East and retrocession coverage in the United States. In addition, we have
established a representative office in Milan and a branch office in Paris, and
maintain life representatives in

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our Buenos Aires office to locally serve the
Latin American markets. We also utilize our Non-Life offices in many parts of
the world to facilitate direct contacts with our life reinsurance clients.

As a result of these initiatives, our Converium Life operations have grown
significantly in recent years, with our net premiums written increasing from
$62.6 million in 1998 to $141.4 million in 2001.

Our primary goal is to write life business that generates an attractive
expected return. Our strategy for Converium Life focuses on:



| |  |  | 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, the United States, 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                                                                                                      
|
| |  |  | leveraging our capital markets expertise which, among other
things, provides us with additional capacity to write business                 

We vigorously seek to minimize our administrative and other expenses. We
believe our expense ratio compares favorably to that of the four largest life
reinsurance companies. We are able to do this by writing business in certain
areas that are less service intensive, for example in the United States, where
we limit our programs to retrocessional reinsurance. We will seek to maintain
our expense ratio at a level at least 1 point below that of these competitors.

We are seeking to grow our Converium Life operations significantly and
believe that life reinsurance will represent an increasing percentage of our
business. Although we do not intend to compromise our underwriting standards,
we plan to seek prudent but rapid growth of our life reinsurance business. We
are focusing on the life reinsurance business because, among other reasons, we
believe that the market for life reinsurance is growing. According to
statistics of the life associations of various countries, life insurance growth
rates are above 6% in a number of countries we serve, including Italy, Spain
and certain East Asian countries. In addition, life reinsurance business tends
to be less cyclical than non-life reinsurance due to more predictable claims
experience.

We believe that the demand from life insurers for financial support and
reinsurance services will continue to increase. In order to meet this demand,
we have established a refinancing strategic retrocession facility that provides
our clients with additional capacity derived from the capital markets, while
minimizing the insurance risk assumed by the investment bank effecting the
issuance of the securitized risk product. We believe our capital markets and
other non-traditional expertise will help us bring additional innovative
solutions to our clients and further enhance the market position of our
Converium Life operations.

In addition to the growth in our life insurance markets described above,
we believe that the following factors will also contribute to increased demand
for life reinsurance:



| |  |  | demutualizations of life insurance companies                                     
| | - |  | ---------------------------------------------------------------------------------
|
| |  |  | the increasing importance of non-traditional and more sophisticated life products
|
| |  |  | aging of the population                                                          
|
| |  |  | privatization of benefits that used to be provided by governments                

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| |  |  | deregulation and increased competition among primary insurance
companies from new entrants, such as banks and other financial
services companies                               
| | - |  | -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|
| |  |  | 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

Our Converium Life business is comprised of the following principal lines:

Ordinary life reinsurance.Ordinary life reinsurance, our largest
product, generally involves the reinsurance of individual term life insurance
policies, whole life insurance policies, universal life insurance policies,
joint and survivor insurance policies, deferred annuity policies and endowment
policies. Our ordinary life line of business reinsures all of these products.
Ordinary life reinsurance is written either on a risk premium or modified
co-insurance basis.

Substantially all of our policy revenues with respect to ordinary life
reinsurance are written on an automatic treaty basis. Ordinary life
reinsurance is written on a facultative basis only in limited circumstances,
generally for primary insurers with whom we have automatic treaty reinsurance
business. More than 99% of our ordinary life reinsurance business is written
on a quota share or surplus basis.

We generally require ceding life insurance companies to retain at least
10% of every risk, whether the business is written on a surplus or quota share
basis. We generally seek to limit our own net liability on any one ordinary
life risk to $0.5 million. The majority of the ordinary life reinsurance
agreements remain in force for the life of the underlying policies reinsured.
We are generally entitled to renewal policy revenues absent the death of the
insured, voluntary surrender or lapse of the policy due to non-payment of
premium. In some cases, the ceding company has the right to recapture the
business after a designated period of time.

Group life reinsurance.Group life reinsurance is the reinsurance of
various types of group life policies. Employee-employer group term life cover
represents the majority of such business. Group life reinsurance generally is
written on an annual basis resulting in the terms of such contracts being
subject to renegotiation or cancellation each year.

Disability.Converium Life operations provide reinsurance for disability
coverage, which provides payments or annuities in case of permanent, total or
partial disability. Disability coverage is generally included within a life
insurance contract. Coverage can be defined as disability due to own
occupation or due to any occupation.

Critical illness.Critical illness or dread disease insurance is coverage
to provide lump sum payments in case of certain life threatening diseases. The
four main diseases are heart attack, stroke, coronary artery bypass surgery and
cancer. In the last years critical illness policies have developed very
rapidly in many insurance markets to include a wide range of additional
diseases. Policies can be sold on a stand-alone basis, as accelerated benefit
or as additional rider to a life insurance contract.

Long-term care.A long-term care insurance benefit is paid when an
insured is not able to perform certain activities of daily living (ADLs), such
as washing, feeding, dressing, toileting, transferring and mobility. The
annuity is paid when the insured fails a defined number of ADLs.

Risk premium reinsurance.We provide risk premium reinsurance, which
generally refers to a proportional participation in life insurance policies.

Modified co-insurance.Converium Life operations provide modified
co-insurance, which generally takes the form of a proportional reinsurance
structure to finance our clients initial acquisition costs, such as agent and
broker commissions.

We have developed a team of highly skilled, experienced life underwriters,
many of whom are actuaries or mathematicians. In addition, we utilize a profit
testing system which helps us to determine appropriate pricing.

In addition to our reinsurance products, we offer valuable services in
select target markets to our life insurance clients. These services include:

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| |  |  | product design and pricing                                                        
| | - |  | ----------------------------------------------------------------------------------
|
| |  |  | medical underwriting                                                              
|
| |  |  | claims settlement                                                                 
|
| |  |  | risk strategy and other consulting services                                       
|
| |  |  | providing surplus relief, which we believe is a core concern of some life insurers

The principal markets served and targeted by our Converium Life segment
are:

United States.In the U.S. life reinsurance market, we are an active
provider of retrocessional coverages. We focus on the life retrocessional
market in the United States because we believe we can obtain more predictable
results than available in the U.S. primary life reinsurance market because this
business tends to be written in larger blocks which results in greater
diversification of risk and because it can be written by a relatively small
staff at lower costs. We also provide group life and structured/finite
reinsurance in the United States.

Germany.Germany is one of our core markets. Our principal products in
Germany include risk premium reinsurance and modified co-insurance. In
addition, we are participating in new products in Germany, including unit
linked policies and disability covers. We expect the German life insurance
industry to grow rapidly over the next few years due to, among other things,
cuts in benefits from state pensions under recent changes in German pension
law. We believe these developments will result in increased demand for
modified co-insurance as private companies seek to offer new products to cover
risks previously covered by government pensions. In addition, as with our
German non-life business, we believe a sizeable opportunity exists in Germany
for new structured/finite life reinsurance business as a result of the
forthcoming transition to IAS accounting standards.

Italy.Our principal products in Italy include group life, accident and
modified co-insurance. Since January 2002, we have operated a branch office in
Milan with a team of five people, after having received a license from the
Italian Insurance Supervisory Authority (ISVAP). We believe the Italian market
will grow at attractive rates over the next several years. We plan to
introduce new products in Italy, including long-term care and critical illness
coverages.

France.Our principal products in France include group life and modified
co-insurance. We maintain a branch office in Paris. We expanded our team to
four people in the second quarter of 2001. We are seeking to write flexibly
and be highly responsive to client needs in order to build our relationships in
this large market.

Latin America.Our life reinsurance operations have expanded
significantly in Latin America in the last several years and our net premiums
written have grown from $0.8 million in 1998 to $16.4 million in 2001 primarily
due to the efforts of our representative office in Buenos Aires during 2001.
Our principal products in the region include pension fund and group life
reinsurance, largely written on a proportional basis. We anticipate new
opportunities to accelerate the growth of our portfolio in the region as a
result of the planned liberalization of the Brazilian reinsurance market, as
well as the expected transfer of government sponsored retirement plans to the
private insurance sector, although presently the time when these changes will
be effective is not known.

Middle East.Our principal line of business in the Middle East consists
of group life reinsurance, largely written on a proportional basis. We expect
that increasing awareness of life insurance in this region will accelerate the
growth of personal insurance and our life reinsurance portfolio in this market.

As of December 31, 2001, we provided life reinsurance under treaties with
approximately 230 ceding companies. In 2001, on a combined basis, four ceding
companies each accounted for at least $10 million of our life reinsurance
revenues and in the aggregate represented approximately 40% of our ordinary
life reinsurance revenues. The biggest part of the premium with these four
companies comes from long-duration financing business, that shows sustainable
results with low volatility. Otherwise, we market our ordinary life reinsurance
to a broad cross section of companies, which vary in size, corporate structure
and geographic location. Except for these four companies, no other primary life
ceding company accounted for more than 10% of our life reinsurance revenues in
2001.

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Competition

The reinsurance business is competitive and, except for regulatory
considerations, there are relatively few barriers to entry. We compete with
other reinsurers based on many factors, primarily:



| |  |  | expertise, reputation, experience and qualifications of employees
| | - |  | -----------------------------------------------------------------
|
| |  |  | local presence                                                   
|
| |  |  | client relationships                                             
|
| |  |  | products and services offered                                    
|
| |  |  | premium levels                                                   
|
| |  |  | financial strength                                               
|
| |  |  | contract terms and conditions                                    
|
| |  |  | speed of claims payment                                          

As a direct writer of reinsurance, we compete with a number of major
direct marketers of reinsurance both in local markets and internationally. We
also compete with a number of major reinsurers who write business through
reinsurance brokers, and with Lloyds of London. We believe that our largest
competitors, both locally and internationally, are:



| |  |  | Munich Reinsurance Company                                                                                                       
| | - |  | ---------------------------------------------------------------------------------------------------------------------------------
|
| |  |  | Swiss Reinsurance Company                                                                                                        
|
| |  |  | General Cologne Reinsurance Company, a subsidiary of Berkshire Hathaway, Inc.                                                    
|
| |  |  | Employers Reinsurance Corporation, a subsidiary of General Electric Company                                                      
|
| |  |  | Gerling Global Re Group                                                                                                          
|
| |  |  | Lloyds syndicates active in the London market                                                                                   
|
| |  |  | SCOR                                                                                                                             
|
| |  |  | Hannover Re Group, which is 75% owned by the mutual insurance
group HDI Haftpflichtverband der Deutschen Industrie               
|
| |  |  | companies active in the Bermuda market, including the Partner
Re Group, XL Capital Ltd., Ace Ltd. and RenaissanceRe Holdings Ltd.

Moreover, following the September 11th events, a number of new reinsurers
and other entities have been formed to compete in or with our industry, and a
number of existing market participants have raised new capital which may
enhance their ability to compete.

Non-Life Underwriting, Pricing/Structuring and Accumulation Control

We regard underwriting and pricing as a core skill. Underwriting is the
process by which we identify desirable clients and lines of business, cultivate
profitable opportunities, and assess and manage our exposure, claims settlement
and reserving risk for any particular exposure. In our view, underwriting
requires a deep understanding of the client, their

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business and the market in
which the client operates. In evaluating business opportunities, we rely
heavily on a collaborative underwriting process that emphasizes communication
and information sharing among our underwriting, actuarial/modeling, claims,
legal and finance personnel. Our underwriters bring together all of those
disciplines to properly understand, assess, price and execute policies in a
manner appropriate to the nature of the risk.

Our underwriters coordinate globally to access our centers of expertise
and balance sheet capabilities to optimize solutions for our clients business
needs. We have underwriting specialists throughout our worldwide organization,
covering a wide range of disciplines that helps us assess our global risk
exposures. In an effort to better serve our reinsurance clients,
we integrate our underwriters and actuaries in client management teams.
Specifically, we have developed, on a global basis, significant internal
actuarial expertise, which we deploy to assess our non-life pricing and reserve
adequacy and to develop, associated capital attribution formula and risk
models. Additionally, our underwriting process draws upon our
multidisciplinary specialists, many of whom have advanced academic degrees, and
who include engineers, meteorologists, environmental scientists, economists,
geologists, seismologists and mathematicians. These actuaries and other
specialists are based around the world and work together to ensure and
facilitate the application of best practices and the consideration of the most
recent scientific developments. Moreover, we actively utilize and develop risk
models and other sophisticated tools, many of which are proprietary.

In developing underwriting guidelines, we assess market conditions,
quality of risks, past experience, and expectations about future exposure.
Where appropriate we seek to limit our capacity on a per claim, per event and
per year basis, and employ aggregate annual limits and index clauses, which
reset retention in the event of claims inflation. The overall objective of
these procedures is to achieve an appropriate expected return on equity while
safeguarding our solvency and creditworthiness. In particular, we seek to
maintain a sufficient level of overall capital to retain a strong claims-paying
rating under normal circumstances and a strong investment grade rating in the
event of a significant loss.

During the underwriting process, we carefully seek to ensure that we
employ coherent and consistent structures, pricing and wording such that all of
our contracts and commitments are in line with our underwriting guidelines.
Compliance with these rules is regularly reviewed by our senior management,
which may effect adjustments as deemed appropriate. For non-standard
transactions, our legal staff is involved both in transaction structuring and
contract wording throughout the process.

Additionally, during the underwriting process, we assess and seek to
control the amount and concentration of risk underwritten for various areas by
analyzing aggregates and accumulation by region, peril or line of business,
such as property catastrophe, aviation, marine, agribusiness and credit and
surety. We normally use proprietary as well as commercially available tools to
monitor our accumulations and relate them to our overall risk appetite.
Aggregates are revised regularly and adapted in line with our current strategy
and risk-bearing willingness and ability, and transformed into rules and
parameters for underwriting decisions.

In pricing business, we analyze various aspects of a prospective non-life
reinsureds business including, but not limited to, historical and projected
loss and exposure data, future loss costs, financial stability and history,
classes and nature of underlying business and policy forms, underwriting and
claims guidelines, aggregation of loss potential (between contracts), the
correlation of risk factors relevant to the proposed policy with those relevant
to the rest of our portfolio, existing reinsurance programs (including
potential uncollectible reinsurance) and the quality and experience of
management.

Our core pricing approach is to estimate the underlying frequency and
severity of distributions so that we can develop an aggregate probability
distribution of ultimate loss. In order to understand the cash flows we
estimate premium collection and loss payout patterns. Taking into account the
transaction structure we then create an aggregate probability distribution of
the profit function of the contract after reflection of investment income
generated by the cash flows as well as all expenses and taxes. From this we
estimate the expected net present value of the profit expectation of the
contract as well as the risk capital required by the contract. The risk
capital is a function of the potential for loss from the contract, the duration
of the liabilities and the correlation of the risk factors with the remainder
of our book of business. The contracts expected net present value is compared
to its risk based capital to determine its profitability level. We also
consider other items such as client and line of business desirability and
associated business opportunities. We develop or enhance additional tools to
assess non-traditional contracts where necessary or appropriate. For
specialized lines, such as aviation, agribusiness and credit and surety, we
have developed and continue to enhance pricing models that specify a particular
pricing based on a number of risk factors including, for instance, financial
risks such as interest rate volatility and stock or commodity market

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returns. Our comprehensive approach to risk modeling, and our integration of analytical
expertise in client focused teams, allows us to quantify the potential balance
sheet impact of these measurable risks.

Our models give us the capability to easily and quickly analyze a contract
under numerous structures. This in turn allows us to be creative, innovative
and responsive in seeking to create a structure that satisfies our profit goals
and risk appetite while simultaneously satisfying our clients objectives. Due
to our strong modeling expertise and development of very fast simulation
algorithms and simulations, we are able to price different structures very
promptly. We are able to access our pricing system and database online and
from anywhere around the world via telecommunication. For example, we can at
any time price a particular transaction on site during a client visit in any
region using all relevant information stored on our primary systems in Zurich, provide the client with a prompt quote and
upon binding enter the new treaty into our ledger system.

In order to realize fully the value of this ability we seek to gain a deep
and thorough understanding of the subject business being covered. For most of
our business, including all large and complex contracts, actuaries and other
technical experts are part of the transaction team. They visit the client,
build the models, and jointly with the underwriters price and structure the
transaction. For the remainder of our business, internal actuaries or other
experts including engineers, meteorologists, environmental scientists,
economists, geologists, seismologists and mathematicians provide the analytic
tools for the underwriters use.

In order to provide maximum feedback to our underwriting teams we have
developed management information systems that track the profitability of each
contract from the time it is written until the last dollar is paid. We compare
actual cash flows and ultimate loss ratios with our original expectations.
This information then populates our data base. We then have the ability to
extract information from our database and analyze the relationships between
historic profitability and such variables as size of contract, production
source, structure of transaction and size of client.

With respect to the health-related products offered by our Non-Life
business, we seek to underwrite very prudently, as profit margins can be eroded
in many jurisdictions by the rapid inflation of medical costs and risks in the
behavior of policyholders. In addition, these products are often characterized
by low retentions and high reinsurance commissions paid to the ceding company,
which reduce the profitability of the reinsurer. Additionally, we focus on
minimizing expenses from the health reinsurance we underwrite.

Non-Life Claims Management

Individual claims reported to our Non-Life operating units are initially
monitored and managed by the claims departments at each unit. At this level,
claims administration includes reviewing initial loss reports, monitoring
claims handling activities of clients, requesting additional information where
appropriate, establishing initial case reserves and approving payment of
individual claims. Authority for payment and establishing reserves is always
established in levels, depending upon rank and experience in the company.

In addition to managing reported claims and conferring with ceding
companies on claims matters, our claims departments conduct periodic audits of
specific claims and the overall claims procedures of our clients at the offices
of ceding companies. We rely on our ability to monitor effectively the claims
handling and claims reserving practices of ceding companies in order to
establish the proper reinsurance premium for reinsurance agreements and to
establish proper loss reserves. Moreover, prior to accepting certain risks,
our claims departments are often requested by underwriters to conduct
pre-underwriting claims audits of prospective ceding companies. We attempt to
evaluate the ceding companys claims-handling practices, including the
organization of their claims department, their fact-finding and investigation
techniques, their loss notifications, the adequacy of their reserves, their
negotiation and settlement practices and their adherence to claims-handling
guidelines. Following these audits, the claims departments provide feedback to
the ceding company, including an assessment of the claims operation and, if
appropriate, recommendations regarding procedures, processing and personnel.

In addition to our individual claims departments, we have established a
Claims Services department located in Zurich, which is designed to oversee or
supervise the management of frequent, severe or long-tail claims, particularly
in common law markets (outside of North America) and Asia. In addition, our
Claims Services department functions as a coordinator in cooperative efforts
involving claims services, actuarial, risk modeling and underwriting functions.
For example, our Claims Services personnel help coordinate the establishment
of proper reserving and risk assessment functions

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across our global
organization. These claims specialists also seek to provide value directly to
our customers by way of assessment, consultation, training seminars,
publications and a website.

Generally, our claims department seeks to maintain a payment turnaround
time of two days on undisputed claims. In addition, the claims department
provides other added-value services to customers, e.g., hosting professional
seminars, issuing publications, including the In Focusnewsletter and surveys
on topics of interest, as well as maintaining a claims-related website.

Our North American unit has developed Converium Claim, a website which
facilitates our North American claims management functions. Through Converium
Claim, our clients have convenient and secure access to our claims payment
database to inquire about the status of payments due on proof of loss claims.

Converium Life Underwriting and Claims

We have developed underwriting guidelines, policies and procedures with
the objective of controlling the quality and pricing of the life reinsurance
business we write. Our life reinsurance underwriting process emphasizes close
collaboration among our underwriting, actuarial, administration and claims
departments. We determine whether to write reinsurance business by considering
many factors, including the type of risks to be covered, ceding company
retention and binding authority, product and pricing assumptions and the ceding
companys underwriting standards, financial strength and distribution systems.

We believe that one of our strengths is our expertise in medical
underwriting. We seek to work closely with our clients and, as a value-added
service, share this expertise in order to build client loyalty and better
understand their risks. Additionally, we maintain a website for the German
market that provides information on medical underwriting-related topics which
may be accessed and utilized by our ceding clients.

We generally do not assume 100% of a life reinsurance risk and require the
ceding company to retain at least 10% of every reinsured risk. We regularly
update our underwriting policies, procedures and standards to take into account
changing industry conditions, market developments and changes in medical
technology. We also endeavor to ensure that the underwriting standards and
procedures of our ceding client entities are compatible with ours. Toward this
end, we conduct periodic reviews of our ceding clients underwriting and claims
procedures.

Life, accident and disability claims generally are reported on an
individual basis by the ceding entity. In case of large, difficult or doubtful
claims, cedents provide us with all supporting documents. We also investigate
claims generally for evidence of misrepresentation in the policy application
and approval process. In addition to reviewing and paying claims, we monitor
both specific claims and overall claims handling procedures of ceding
companies.

We monitor the loss development of our life reinsurance treaties and
compare them to our expected returns on a regular basis. In the case of
significant deviations, we may seek to negotiate alternative contract
provisions, including increased premiums or higher retentions.

For our life reinsurance business, the interaction between our actuaries
and underwriters is very close as most of our underwriters are also
mathematicians. We use commercial as well as proprietary tools to assess the
profitability of the business. Our life underwriting seeks to ensure that our
expected stream of distributable profits will earn an adequate estimated risk
adjusted return. Our analysis also includes sensitivity measures to control
the risk exposure of our global portfolio. As part of the underwriting
process, we also, on an annual basis, derive the embedded value of our life
reinsurance portfolio and its change over time which enables us to measure the
growth and profitability of our life reinsurance business.

Catastrophe Risk Management

Natural peril and man-made catastrophe risk management is an essential
part of our overall corporate risk management plan. To help us globally
measure and monitor our exposure to natural catastrophic events, we have
established a Global Catastrophe Group comprised of senior management members
with underwriting, actuarial, risk management and other specialized expertise.
This group meets on a quarterly basis to review relevant aspects of our
catastrophe underwriting and risk management.

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An integral part of our Global Catastrophe Group is our Natural Hazards
Team, located in Zurich. This specialized team provides services and support
to our underwriters and pricing actuaries in our offices around the world.
Natural Hazards Team members are integrated with our actuarial and risk
modeling staff. We believe that centralizing key catastrophe risk functions in
our Natural Hazards Team helps produce a consistent catastrophe exposure
analysis across our global operations. For example, our catastrophe risk
specialists design, maintain and support state-of-the-art risk modeling
software, to which our underwriters have direct access.

In addition, we have adopted a central monitoring system which helps us to
manage our worldwide accumulations of catastrophe risk by peril and region. In
our global analyses we focus on key zones where we face a geographic
concentration or peak exposures, such as U.S. hurricane risk. This centralized
analysis is essential for a global reinsurer such as Converium since we may
write business for the same peril or region from more than one of our worldwide
offices. Also, we endeavor to monitor clash potential, both from lines other
than property catastrophe as well as between certain perils and regions.

A major component of our natural catastrophe risk management approach is
to employ global portfolio optimization and geographic diversification.
Utilizing careful risk selection, pricing, and modeling of portfolio additions,
we seek to diversify our exposures while optimizing available capacity and
maximizing our expected return on equity. This approach helps us to fully
capitalize on the natural catastrophe reinsurance premiums our global balance
sheet will support, while reducing the expected net impact of catastrophe
losses. We believe this strategy leaves us well positioned to write additional
business during periods of improving market conditions.

The principal goals of our natural hazard risk management procedures
include:



| |  |  | 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
probabilistic tools to enhance the utility of our models.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   
| | - |  | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|
| |  |  | Supporting risk mitigation measures:Our global monitoring
system helps us to measure our accumulation of individual risks by
peril and region. During renewal season, we seek to perform these
functions on a continuous basis. In addition, we conduct a combined
analysis for our worldwide portfolio at least on a quarterly basis.
We believe that this centralized, global review helps us to monitor
and manage our natural catastrophe loss potential and to take
remedial action if our accumulations reach unacceptable levels. In
addition, our monitoring system serves as the basis for structuring
our own reinsurance protection.                                                                                                                                                                                                                                                                                                                                                       
|
| |  |  | Assisting with optimal capacity utilization:We use
return-on-equity considerations to help us 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. For example, we led the enhancement of the market
standard for the exchange of exposure data (CRESTA plus) between
primary and reinsurance companies, thereby assisting market
participants to adopt common reporting and better understand their
natural catastrophe exposures. The new data format is easy and
flexible to use. It allows an efficient exposure and loss data
exchange between insurance and reinsurance companies. We believe
that the use of CRESTA plusimproves data quality, will enable more
accurate risk assessment and helps save time 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                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         

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| |  |  | and determine whether we need to take any remedial action. In
addition, we regularly study catastrophe developments to improve
our probabilistic models.
| |  |  | --------------------------------------------------------------------------------------------------------------------------------------------------------

The majority of the natural catastrophe reinsurance we write relates to
exposures within the United States, Europe and Japan. Accordingly, we are
exposed to natural catastrophic events which affect these regions, such as U.S.
hurricane, California earthquake, European windstorm and Japanese earthquake
events. Our estimated potential losses on a probable maximum loss (PML) basis,
before giving effect to our retrocessional protection, are currently managed to
a self-imposed maximum gross limit of $350 million for a 250-year return period
loss.

We use retrocessional reinsurance protection to assist our efforts to
ensure that our risk tolerance is not exceeded on a per event or aggregate
basis. We actively seek to combine traditional reinsurance protection with
capital market solutions, in order to diversify our sources of risk bearing
capital and, in particular, to provide us with additional protection in our
higher retrocessional layers for up to approximately a 250-year event.

We have developed substantial capital markets expertise, which we can use
both to provide additional capacity to our clients and to improve our own
results and risk profile. The key business reasons for using a capital
markets-based solution rather than traditional reinsurance are as follows:



| |  |  | The lack of availability of high credit quality reinsurance
protection at competitive prices for California earthquakes, U.S.
hurricanes and European windstorms
| | - |  | ----------------------------------------------------------------------------------------------------------------------------------------------------------------
|
| |  |  | The ability to achieve protection at stable prices for a multi-year period                                                                                      
|
| |  |  | To obtain better post-event liquidity relief compared to traditional retrocessionaires practices                                                               
|
| |  |  | To diversify sources of risk bearing capacity from more traditional reinsurance products                                                                        

For example, we have entered into a catastrophe agreement with ZIC based
on ZICs transaction with TRINOM Ltd. to reduce our net retained loss for
large catastrophe events that produce losses greater than what is referred to
in the industry as a once in 100 years magnitude. Perils covered by TRINOM
and our catastrophe agreement with ZIC, which we refer to as the CAT
Retrocession Agreement, include U.S. hurricane, U.S. earthquake, and European
windstorm losses that occur before June 18, 2004. See  Retrocessional
Reinsurance.

Lastly, as respects man-made catastrophes such as acts of terrorism, we
have recently introduced a conservative monitoring and accumulation approach.
We utilize a matrix system to track for each contract the level of exclusion
(absolute or partial, sublimit or other) and its level of exposure. This allows
us to assess and estimate our current portfolio-wide terrorism aggregates by
adding contract exposure and taking into account its level of exclusion. While
our methodology is being further developed and refined, it enables a
conservative monitoring of our current exposure.

Retrocessional Reinsurance

We purchase retrocessional reinsurance to better manage risk exposures,
protect against catastrophic losses, access additional underwriting capacity
and to stabilize financial ratios. The insurance or indemnification of
reinsurance is called a retrocession, and a reinsurer of a reinsurer is called
a retrocessionaire. We aggregate our ceded risk across our operations to
achieve superior terms and pricing for our retrocessional coverage and to help
us better assess our overall portfolio risk. Additionally, we incorporate the
use of retrocessional coverage as a component of our underwriting process.

The major types of retrocessional coverage we purchase include the following:



| |  |  | specific coverage for certain property, engineering, marine, aviation, satellite and liability exposures                                                                                          
| | - |  | --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|
| |  |  | catastrophe coverage for property business                                                                                                                                                        
|
| |  |  | casualty clash coverage for potential accumulation of liability
from treaties and facultative agreements covering losses arising from
the same event or occurrence aggregate stop loss protections

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Effective in 2000, we established a control procedure whereby our chief
executive officer, along with the other members of our senior executive team,
reviews the business purpose for all reinsurance purchases. Our senior
executive team, generally our chief executive officer, approves all purchases
before they are bound.

Prior to entering into a retrocessional agreement, we analyze the
financial strength and rating of each retrocessionaire. Afterwards, the
financial performance and rating status of all material retrocessionaires is
monitored.

Retrocession arrangements do not relieve us from our obligations to the
insurers and reinsurers from whom we assume business. The failure of
retrocessionaires to honor their obligations could result in losses to us.
Accordingly, we are exposed to the credit risk of our retrocessionaires. As of
December 31, 2001, we had reinsurance recoverables from retrocessionaires of
approximately $1.7 billion on paid and unpaid losses, loss adjustment expenses,
including IBNR, and unearned premium reserve balances. We hold substantial
amounts of collateral from certain of our retrocessionaires in the form of
letters of credit and funds held balances to collateralize the reinsurance
recoverables.

In the event our retrocessionaires are not able to fulfill their
obligations under our reinsurance agreements with them, Converium will not be
able to realize the full value of the reinsurance recoverable balance. We
record a reserve to the extent that reinsurance recoverables are believed to be
uncollectible. The reserve is based on an evaluation of each
retrocessionaires individual balances and an estimation of their uncollectible
balances.

The following table sets forth Converiums ten largest retrocessionaires
as of December 31, 2001, by ceded premiums written, and their respective A.M.
Best or Standard & Poors claims-paying ability rating.

|                                            |                                                                                                 |                                                |  |               |      |            |              |        |      |   |  |         |               |  |  |  | 
|------------------------------------------- | ----------------------------------------------------------------------------------------------- | ---------------------------------------------- |  | ------------- | ---- | ---------- | ------------ | ------ | ---- | - |  | ------- | ------------- |  |  |  | 
|                                            |                                                                                                 |                                                |  |               |      |            | Amount ceded |        |      |   |  |         | S&P/A.M. Best
|Retrocessionaire                            |                                                                                                 | Retrocessionaire Group                         |  | in $ millions |      | % of total |              | Rating
|                                            |                                                                                                 |                                                |  |               |      |            |              |       
|Hannover Reinsurance                        |                                                                                                 | HDI Haftpflichtverband der Deutschen Industrie |  | $             | 51.1 |            |              |        | 12.8 | % |  | AA/A+  
|Manulife Reinsurance Corporation            |                                                                                                 | Manulife Financial Group                       |  |               | 42.7 |            |              |        | 10.7 |   |  | AA+/A++
|London Life and General Reinsurance Company |                                                                                                 | Great-West Life Assurance Group                |  |               | 33.5 |            |              |        | 8.4  |   |  | NR/A   
|AIG                                         |                                                                                                 | American International Group Inc               |  |               | 32.9 |            |              |        | 8.3  |   |  | AAA/A++
|Zurich Financial Services                   |                                                                                                 | Zurich Financial Services                      |  |               | 28.5 |            |              |        | 7.2  |   |  | AA-/A+ 
|Inter-Ocean Re                              |                                                                                                 | Inter -Ocean Holdings                          |  |               | 27.4 |            |              |        | 6.9  |   |  |         | A/A           | 
|AXA                                         |                                                                                                 | AXA Group                                      |  |               | 25.9 |            |              |        | 6.5  |   |  | AA/NR  
|Interpolis Reinsurance Services Limited     |                                                                                                 | Rabo Bank                                      |  |               | 23.6 |            |              |        | 5.9  |   |  | NR/NR  
|Fortress Re Inc                             |                                                                                                 | National Group                                 |  |               | 18.9 |            |              |        | 4.7  |   |  | NR/A   
|Lloyds Underwriters                         |                                                                                                 | Lloyds                                         |  |               | 13.4 |            |              |        | 3.4  |   |  |         | A/A-          | 
|                                            |                                                                                                 |                                                |  |               |      |            |              |        |      |   |  |         |               |  |  | 
|                                            | Total provided by top ten
retrocessionaries, and percentage
of total retrocessional
reinsurance |                                                |  |               |      |            | $            | 297.9  |      |   |  | 74.7    | %             |  |  |  | 
|                                            |                                                                                                 |                                                |  |               |      |            |              |        |      |   |  |         |               |  |  | 
|                                            | Total retrocessional reinsurance                                                                |                                                |  |               |      |            | $            | 398.6  |      |   |  | 100.0   | %             |  |  |  | 
|                                            |                                                                                                 |                                                |  |               |      |            |              |        |      |   |  |         |               |  |  | 

As Converium Zurich operated as a division of ZIC prior to the Formation
Transactions, a portion of the retrocessional coverage for Converiums account
reflected in the table above reflects contracts to which ZIC, or another
affiliate of Zurich Financial Services, is the legal counterparty to the
retrocessionaire. As a consequence of the Formation Transactions, Converium
Zurich has assumed both the benefits and the financial risks relating to these
third party reinsurance recoverables under the Quota Share Retrocession
Agreement. We manage all third party retrocessions related to the business
reinsured by Converium Zurich. ZIC and ZIB are obligated under the Quota Share
Retrocession Agreement, during its term, to maintain in force, renew or
purchase third party retrocessions covering the reinsurance covered by the
Quota Share Retrocession Agreement at the sole discretion of Converium.

In addition, Zurich Financial Services, through its subsidiaries, provides
us with a degree of retrocessional reinsurance coverage following the Formation
Transactions. In particular, Zurich Financial Services, through its
subsidiaries, has agreed to provide us with coverage relating to potential
losses arising out of the Unicover Occupational Accident Reinsurance Pool
involving Amerisafe and to arrangements that cap our net exposure for losses
and loss adjustment expenses arising out of the September 11th terrorist
attacks at $289.2 million, the amount of loss and loss adjustment expenses we
recorded as of September 30, 2001. As part of these arrangements, subsidiaries
of Zurich Financial Services have agreed to take responsibility for non-payment
by the retrocessionaires of Converium Zurich and Converium Cologne with regard
to losses arising out of the September 11th attacks in excess of the $289.2
million cap. While the cap does not cover non-payment by the retrocessionaires
of Converium North America, our only retrocessionaire for this business is a
unit of

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Zurich Financial Services. Therefore, we are not exposed to potential
non-payments by retrocessionaires for these events in excess of the $289.2
million cap, although we will be exposed to the risk of non-payment of Zurich
Financial Services units and we will be exposed to credit risk from these
subsidiaries of Zurich Financial Services.

Catastrophe Protection

Converium has entered into agreements for coverage of losses related to
certain catastrophic loss events. These agreements include both traditional
reinsurance as well as a catastrophe derivative agreement, as described more
fully below. The traditional reinsurance agreements cover losses from events
in excess of $90.0 million.

On June 8, 2001, ZIC entered into a transaction with Trinom Ltd., a
Bermuda company that ultimately provides ZIC with specific high-limit
catastrophe protection. Trinom is a special purpose entity established by ZIC
in Bermuda, and which issued all of its common shares to a Bermuda trust.
Trinoms business consists solely of issuing three-year catastrophe securities
to third-party qualified investors in the form of preference shares and two
classes of notes. Simultaneous with the offering of these securities, Trinom
entered into a counterparty contract with ZIC whereby Trinom will make payments
to ZIC from its funds to cover defined catastrophic losses in the United States
and Europe. ZIC is required to make payments to Trinom based on the balance of
Trinoms funds and the magnitude of its losses. The owners of the securities
are entitled to receive their original investment, plus interest on the notes
or dividends on the preference shares, both paid quarterly, less any loss
payments made to ZIC.

Additionally, as part of the Formation Transactions, ZIC and Converium
have entered into a catastrophe derivative agreement (the Catastrophe
Agreement) in the form of a purchased option whereby Converium receives
protection from ZIC under terms similar to ZICs protection under the Trinom
transaction. Converium will pay ZIC amounts at least equal to the payments
made by ZIC to Trinom. Similarly, Converium is entitled to receive payments
from ZIC that are similar to those that ZIC is entitled to receive from Trinom.
However, there is no contractual relationship between Converium and Trinom as
only ZIC is the legal counterparty to the Trinom transaction. This Catastrophe
Agreement is effective as of June 18, 2001, and will remain in effect for the
same period as ZICs agreement with Trinom, including any extension thereto.

The coverage ZIC and ultimately Converium have obtained from the Trinom
transaction and the related Catastrophe Agreement is expected to reduce
Converiums net retained loss for large catastrophe events that produce insured
losses greater than what is referred to in the industry as once in 100 years
magnitude. Perils covered by the Trinom transaction and the Catastrophe
Agreement include only U.S. hurricane, U.S. earthquake, and European windstorm
losses that occur before June 18, 2004. Payments from Trinom to ZIC, and
similarly from ZIC to Converium, are based on modeled reinsurance losses for
ZIC and ultimately Converiums exposures at the time of the Trinom transaction.

In a modeled loss contract, the covered partys aggregate exposure to each
geographical region and type of catastrophe, by line of business, is compared
to industry-wide data in order to produce the covered partys market share of
particular loss events by line of business using commercially available natural
catastrophe loss simulation modeling software. The software simulates a
catastrophe, at various levels of severity, by generating certain probabilistic
loss distributions, in order to calculate industry-wide losses and the
corresponding losses for the covered party on a ground-up basis, by line of
business. These losses are then compared to the modeled loss contracts to
determine the amount of the covered partys recovery in respect of such an
event.

Because the Trinom transaction is in two tranches, Converiums coverage
under the Catastrophe Agreement is also effectively in two tranches. The first
tranche provides first event coverages of approximately $65.0 million on 68% of
losses that exceed a range of losses from $209.0 million to $227.0 million; and
the second tranche provides $97.0 million of coverage on 100% of second and
subsequent event losses that exceed a range of losses from $100.0 million to
$133.0 million. The amount of losses that must be incurred before coverage
applies relates to the type of loss event, e.g. earthquake, hurricane or
windstorm. The expected annual cost of the Catastrophe Agreement to Converium
is approximately $9.4 million. However, if Converium collects amounts as a
result of a loss event that is protected by the Catastrophe Agreement,
Converium will be required to pay higher amounts for the remainder of the
Catastrophe Agreements term, and to reduce the recovery by these higher
amounts.

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Loss and Loss Adjustment Expense Reserves

Establishment of Loss and Loss Adjustment Expense Reserves

We are required by applicable insurance laws and regulations and U.S. GAAP
to establish reserves for payment of losses and loss adjustment expenses that
arise from our products. These reserves are balance sheet liabilities
representing estimates of future amounts required to pay claims and claim adjustment
expenses for insured claims which have occurred at or before the balance sheet
date, whether already known to us or not yet reported. Significant periods of
time can elapse between the occurrence of an insured claim, its reporting by
the insured to the primary insurance company and from the insurance company to
its reinsurance company. Loss reserves fall into two categories: reserves for
reported losses and loss adjustment expenses and reserves for incurred but not
reported, or IBNR, losses and loss adjustment expenses.

Upon receipt of a notice of claim from a ceding company, we establish a
case reserve for the estimated amount of the ultimate settlement. Case
reserves are usually based upon the amount of reserves reported by the primary
insurance company and may subsequently be supplemented or reduced as deemed
necessary by our claims department. We also establish reserves for loss
amounts that have been incurred but not yet reported, including expected
development of reported claims. These IBNR reserves include estimated legal
and other loss adjustment expenses. We calculate IBNR reserves by using
generally accepted actuarial techniques. We utilize actuarial tools that rely
on historical and pricing information and statistical models as well as our
pricing analyses. We revise these reserves for losses and loss adjusted
expenses as additional information becomes available and as claims are reported
and paid.

Our estimates of reserves from reported and unreported losses and related
reinsurance recoverable assets are reviewed and updated. Adjustments resulting
from this process are reflected in current income. The analysis relies upon
the basic assumption that past experience, adjusted for the effect of current
developments and likely trends, is an appropriate basis to estimate our current
loss and loss adjustment expense liabilities. Because estimation of loss
reserves is an inherently uncertain process, quantitative techniques frequently
have to be supplemented by professional and managerial judgement. In addition,
trends that have affected development of reserves in the past may not
necessarily occur or affect reserve development to the same degree in the
future.

The uncertainty inherent in loss estimation is particularly pronounced for
long-tail lines such as umbrella, general and professional liability and motor
liability, where information, such as required medical treatment and costs for
bodily injury claims, will only emerge over time. In the overall reserve
setting process, provisions for economic inflation and changes in the social
and legal environment are considered. The uncertainty inherent in the
reserving process for primary insurance companies is even greater for the
reinsurer. This is because of, but not limited to, the time lag inherent in
reporting information from the insurer to the reinsurer and differing reserving
practices among ceding companies. As a result, actual losses and loss
adjustment expenses may deviate, perhaps materially, from expected ultimate
costs reflected in our current reserves.

In setting reserves, we utilize the same integrated, multi-disciplinary
approach we use to establish our reinsurance prices. After an initial analysis
by members of our actuarial staff, preliminary results are shared with
appropriate underwriters, pricing actuaries, claims and finance professionals
and, as appropriate, senior management. Final actuarial recommendations
incorporate feedback from these professionals.

We have developed a proprietary global loss reserve estimation system,
which we refer to as FRAME. It applies a number of standard actuarial
reserving methods on a contract by contract basis. This allows us to calculate
estimates of IBNR for each transaction based on its own characteristics.
Specifically, for each contract, we initially utilize the expected loss ratio
we estimated during the underwriting and pricing process, and apply the
specific paid and incurred loss emergence patterns for that transaction. In
some cases, the initial expected loss ratio is revised over time. For smaller
transactions we apply emergence patterns which we believe are characteristic
for this type of business. Where applicable, we apply the specific terms of
the contract, such as per-loss event limits and aggregate loss limits per
period, within the calculations. In the case of contracts that have
significant structural elements, such as aggregate deductible or loss corridor
provisions, we utilize a probabilistic estimation approach.

In addition to these bottom-up approaches we utilize standard top down
analyses. For these methods we aggregate the majority of our business into a
number of homogeneous classes and apply standard actuarial reserving
techniques. This provides an alternative view that is less dependent on
pricing information.

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The various methods described above allow us to produce a range of reserve
estimates. We review these estimates and establish our reserves at a
reasonable level within the range.

In accordance with U.S. GAAP, we do not establish contingency reserves for
future catastrophic losses in advance of the events occurrence. As a result,
a catastrophe event may cause material volatility in our incurred losses and
reserves and a material impact on our reported income, subject to the effects of
our retrocessional reinsurance. For further details on our catastrophe risk
and reinsurance programs, see  Catastrophe Risk Management and 
Retrocessional Reinsurance.

Adequacy of Reserves

Given the inherent uncertainty of the loss estimation process described
above, we employ a number of methods to develop a range of estimates. On the
basis of our actuarial reviews we believe our liability for gross losses and
loss adjustment expenses, referred to as gross reserves, and our gross reserves
less reinsurance recoverables for losses and loss adjustment expenses ceded,
referred to as net reserves, at the end of all periods presented in our
financial statements were determined in accordance with our established
policies and were reasonable estimates based on the information known at the
time our estimates were made. These analyses were based on, among other
things, original pricing analyses as well as our experience with similar lines
of business and historical trends, such as reserving patterns, exposure growth,
loss payments, pending levels of unpaid claims and product mix, as well as
court decisions and economic conditions. However, since the establishment of
loss reserves is an inherently uncertain process, the ultimate cost of settling
claims may exceed our existing loss and loss adjustment expense reserves,
perhaps materially. Any adjustments which result from changes in reserve
estimates are reflected in our results of operations.

Since reserving is an inherently uncertain process, we retained, in the
second quarter of 2001, the actuarial consulting firm Tillinghast-Towers
Perrin, or Tillinghast, to perform an independent review of our non-life net
reserves as of December 31, 2000. In their analysis, Tillinghast relied on
data available at the time we issued our December 31, 2000 financial
statements, and also on certain information that became available subsequently.
Tillinghast relied on us as to the accuracy and completeness of this data and
information. Based on the Tillinghast analysis, which reflected certain
information that became available after the issuance of our December 31, 2000
financial statements and based on our own evaluations of these new
developments, we recorded in the first half of 2001 additional provisions of
$112 million, net of reinsurance, principally related to accident years 2000
and prior at Converium North America. Tillinghast has confirmed to us that our
net reserves as of December 31, 2000 plus the first half of 2001 reserve
strengthening correspond to Tillinghasts best estimate of our liabilities for
net loss and loss adjustment expenses as of December 31, 2000 for Converium on
a consolidated basis. Tillinghast has not conducted a review with respect to
our reserves subsequent to December 31, 2000.

The $112 million reserve strengthening discussed above was determined in
accordance with our loss reserving policies as described in  Establishment
of Loss and Loss Adjustment Expense Reserves, and was recorded in accordance
with our established accounting policies as described in Note 2(c) of our
financial statements. Under these policies we review and update our reserves
as experience develops and new information becomes known, and we bring our
reserves to a reasonable level within a range of reserve estimates by recording
an adjustment in the period when the new information confirms the need for an
adjustment. The Tillinghast review was begun during the second quarter of 2001
and completed in the third quarter. Tillinghast actuaries had conducted
similar reviews for other insurers and reinsurers and were able to refer to
their proprietary loss development data. Tillinghast also used several
top-down approaches including their broad database of insurance and reinsurance
loss trends. Tillinghast actuaries and our Converium actuaries were also able
to access information that was not known in the first quarter of 2001 when we
completed our year-end 2000 financial reporting to Zurich Financial Services.
This information included most fourth quarter 2000 and some first quarter 2001
reports from our ceding companies who typically report on a one-quarter lag.
Analyses of these reports in relation to earlier periods reports, disclosed
adverse loss development across several lines of business, mainly relating to
general liability, commercial auto liability and umbrella policy business
written in 1996 through 1999. We reviewed and evaluated this new information
as we completed our first half 2001 financial reporting. Our revised estimate
of reserves, based mainly on the new ceding company reported data, was in line
with Tillinghasts principally top-down reserve estimate within its range of
estimates. Accordingly, we recorded an adjustment to loss and loss adjustment
reserves at that time.

In the second half of 2001 we recorded an additional $11.6 million of net
adverse loss development. See  Loss Reserve Development.

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Terry G. Clarke was a consulting actuary with Tillinghast and managing
principal of Towers Perrin prior to his becoming a member of our Board of
Directors. Mr. Clarke retired from Tillinghast on December 31, 2001 and did
not participate in Tillinghasts actuarial review of Converium described above.

Effects of Currency Fluctuations

A significant factor affecting movements in our net reserve balances has
been currency exchange rate fluctuations. These fluctuations affect our
reserves because we report our results in U.S. dollars. As of December 31,
2001, approximately 35.9% of our non-life reinsurance reserves are for
liabilities that will be paid in a currency other than the U.S. dollar. We
establish these reserves in original currency, and then, during our
consolidation process, translate them to U.S. dollars using the exchange rates
as of the balance sheet date. Any increase or decrease in reserves resulting
from this translation process is recorded directly to equity and has no impact
on current earnings. When new losses are incurred or adjustments to prior
years reserve estimates are made, these amounts are reflected in the current
year net income at the average exchange rates for the period.

Loss Reserve Development

The first table below presents changes in the historical non-life loss and
loss adjustment expense reserves that we established in 1994 and subsequent
years. The top lines of the tables show the estimated loss and loss adjustment
reserves, gross and net of reinsurance, for unpaid losses and loss adjustment
expenses as of each balance sheet date, which represent the estimated amount of
future payments for all losses occurring prior to that date. The upper, or
paid, portion of the first table presents the cumulative amount of payments of
the loss and loss adjustment expense amounts through each subsequent year in
respect of the reserves established at each initial year-end. Losses paid in
currencies other than the U.S. dollar are translated at consolidation into U.S.
dollars using the average foreign exchange rates for periods in which they are
paid. The lower, or reserve re-estimated portion, gross and net of
reinsurance, of the first table shows the re-estimate of the initially recorded
loss and loss adjustment expense reserve as of each succeeding period-end,
including claims paid but recalculated using the foreign exchange rates for
each subsequent period-end. The reserve estimates change as more information
becomes known about the actual losses for which the initial reserves were
established. The cumulative redundancy/(deficiency) lines at the bottom of the
table are equal to the initial reserves less the liability re-estimated as of
December 31, 2001.

Conditions and trends that have affected the development of our reserves
for losses and loss adjustment expenses in the past may or may not necessarily
occur in the future, and accordingly, our future results may or may not be
similar to the information presented in the tables below.

In 1997, Zurich Financial Services and its subsidiaries, including the
entities then operating under the Zurich Re brand name, retroactively adopted
International Accounting Standards, or IAS, as of January 1, 1995. As a
consequence, consolidated loss development data for Converium entities is not
available on a consistent accounting basis prior to December 31, 1994 and is
therefore not presented in this annual report. The inconsistencies prior to
December 31, 1994 principally arise from Converium entities having used
different reserving methodologies on a country-by-country basis as was
acceptable under generally accepted accounting principles in Switzerland. As
an example, some European reserving practices have historically tended to be
highly conservative, and therefore not consistent with IAS and U.S. GAAP best
estimate practices. Accordingly, we have only been able to provide a
consolidated loss development table commencing with December 31, 1994.

The table below presents our loss and loss adjustment expense reserve
development as of the dates indicated.

|                                                             |                |   |         |                    |  |      |         |       |  |      |         |       |  |      |         |       |  |      |         |       |  |   |         |       |  |   |         |       |  |   |         |  |  | 
|------------------------------------------------------------ | -------------- | - | ------- | ------------------ |  | ---- | ------- | ----- |  | ---- | ------- | ----- |  | ---- | ------- | ----- |  | ---- | ------- | ----- |  | - | ------- | ----- |  | - | ------- | ----- |  | - | ------- |  |  | 
|                                                             |                |   |         | As of December 31,
|                                                             |                |   |         |                   
|                                                             |                |   |         | 1994               |  | 1995 |         | 1996  |  | 1997 |         | 1998  |  | 1999 |         | 2000  |  | 2001
|                                                             |                |   |         |                    |  |      |         |       |  |      |         |       |  |      |         |       |  |     
|                                                             |                |   |         | ($ in millions)   
|Gross reserves for losses and loss adjustment expenses       |                | $ | 1,468.9 |                    |  | $    | 1,891.4 |       |  | $    | 2,245.3 |       |  | $    | 2,636.4 |       |  | $    | 2,988.1 |       |  | $ | 3,545.7 |       |  | $ | 4,546.0 |       |  | $ | 5,710.5 | 
|Reinsurance recoverable                                      |                |   | 59.6    |                    |  |      | 102.9   |       |  |      | 106.9   |       |  |      | 290.1   |       |  |      | 457.3   |       |  |   | 704.9   |       |  |   | 1,212.2 |       |  |   | 1,545.0 | 
|Initial net reserves for losses and loss adjustment expenses |                | $ | 1,409.3 |                    |  | $    | 1,788.5 |       |  | $    | 2,138.4 |       |  | $    | 2,346.3 |       |  | $    | 2,530.8 |       |  | $ | 2,840.8 |       |  | $ | 3,333.8 |       |  | $ | 4,165.5 | 
|Cumulative paid as of:                                       |                |   |         |                    |  |      |         |       |  |      |         |       |  |      |         |       |  |      |         |       |  |   |         |       |  |   |         |       |  |   |         | 
|                                                             | One year later |   |         | 405.9              |  |      |         | 443.9 |  |      |         | 466.0 |  |      |         | 514.5 |  |      |         | 610.0 |  |   |         | 850.6 |  |   |         | 885.2 |  |   |         |  | 

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|                                                                             |                   |  |         |                    |  |      |         |         |  |      |         |         |  |      |         |         |  |      |         |         |  |  |         |         |  |  |         |         |  |  |  |  |  | 
|---------------------------------------------------------------------------- | ----------------- |  | ------- | ------------------ |  | ---- | ------- | ------- |  | ---- | ------- | ------- |  | ---- | ------- | ------- |  | ---- | ------- | ------- |  |  | ------- | ------- |  |  | ------- | ------- |  |  |  |  |  | 
|                                                                             |                   |  |         | As of December 31,
|                                                                             |                   |  |         |                   
|                                                                             |                   |  |         | 1994               |  | 1995 |         | 1996    |  | 1997 |         | 1998    |  | 1999 |         | 2000    |  | 2001
|                                                                             |                   |  |         |                    |  |      |         |         |  |      |         |         |  |      |         |         |  |     
|                                                                             |                   |  |         | ($ in millions)   
|                                                                             | Two years later   |  |         | 611.1              |  |      |         | 669.4   |  |      |         | 721.2   |  |      |         | 843.0   |  |      |         | 968.8   |  |  |         | 1,339.1 |  |  |         |         |  |  |  |  | 
|                                                                             | Three years later |  |         | 736.2              |  |      |         | 803.1   |  |      |         | 921.7   |  |      |         | 1,064.4 |  |      |         | 1,250.7 |  |  |         |         |  |  |         |         |  |  |  |  | 
|                                                                             | Four years later  |  |         | 815.4              |  |      |         | 927.0   |  |      |         | 1,062.2 |  |      |         | 1,261.7 |  |      |         |         |  |  |         |         |  |  |         |         |  |  |  |  | 
|                                                                             | Five years later  |  |         | 896.8              |  |      |         | 1,007.7 |  |      |         | 1,178.3 |  |      |         |         |  |      |         |         |  |  |         |         |  |  |         |         |  |  |  |  | 
|                                                                             | Six years later   |  |         | 950.0              |  |      |         | 1,093.8 |  |      |         |         |  |      |         |         |  |      |         |         |  |  |         |         |  |  |         |         |  |  |  |  | 
|                                                                             | Seven years later |  |         | 1,006.5            |  |      |         |         |  |      |         |         |  |      |         |         |  |      |         |         |  |  |         |         |  |  |         |         |  |  |  |  | 
|Net reserves re-estimated as of:                                             |                   |  |         |                    |  |      |         |         |  |      |         |         |  |      |         |         |  |      |         |         |  |  |         |         |  |  |         |         |  |  |  | 
|                                                                             | One year later    |  |         | 1,457.6            |  |      |         | 1,763.3 |  |      |         | 1,901.5 |  |      |         | 2,145.6 |  |      |         | 2,292.7 |  |  |         | 2,815.5 |  |  |         | 3,405.3 |  |  |  |  | 
|                                                                             | Two years later   |  |         | 1,499.0            |  |      |         | 1,642.6 |  |      |         | 1,853.5 |  |      |         | 2,051.3 |  |      |         | 2,274.9 |  |  |         | 2,922.4 |  |  |         |         |  |  |  |  | 
|                                                                             | Three years later |  |         | 1,364.6            |  |      |         | 1,617.7 |  |      |         | 1,736.4 |  |      |         | 1,970.4 |  |      |         | 2,300.8 |  |  |         |         |  |  |         |         |  |  |  |  | 
|                                                                             | Four years later  |  |         | 1,396.2            |  |      |         | 1,541.1 |  |      |         | 1,677.3 |  |      |         | 1,989.1 |  |      |         |         |  |  |         |         |  |  |         |         |  |  |  |  | 
|                                                                             | Five years later  |  |         | 1,339.0            |  |      |         | 1,468.9 |  |      |         | 1,661.2 |  |      |         |         |  |      |         |         |  |  |         |         |  |  |         |         |  |  |  |  | 
|                                                                             | Six years later   |  |         | 1,284.5            |  |      |         | 1,452.9 |  |      |         |         |  |      |         |         |  |      |         |         |  |  |         |         |  |  |         |         |  |  |  |  | 
|                                                                             | Seven years later |  |         | 1,260.1            |  |      |         |         |  |      |         |         |  |      |         |         |  |      |         |         |  |  |         |         |  |  |         |         |  |  |  |  | 
|Reinsurance recoverable re-estimated
as of December 31, 2001                 |                   |  | 127.7   |                    |  |      | 241.8   |         |  |      | 333.2   |         |  |      | 414.2   |         |  |      | 669.1   |         |  |  | 1,200.3 |         |  |  | 1,568.9 |         |  |  |  | 
|Gross reserves re-estimated as of
December 31, 2001                          |                   |  | 1,387.8 |                    |  |      | 1,694.7 |         |  |      | 1,994.4 |         |  |      | 2,403.3 |         |  |      | 2,969.9 |         |  |  | 4,122.7 |         |  |  | 4,974.2 |         |  |  |  | 
|Cumulative net redundancy/
(deficiency)                                      |                   |  | 149.2   |                    |  |      | 335.5   |         |  |      | 477.2   |         |  |      | 357.2   |         |  |      | 230.0   |         |  |  | (81.6   | )       |  |  | (71.5   | )       |  |  |  | 
|Cumulative redundancy/
(deficiency) as a
percentage of initial net reserves  |                   |  | 10.6    | %                  |  |      | 18.8    | %       |  |      | 22.3    | %       |  |      | 15.2    | %       |  |      | 9.1     | %       |  |  | (2.9    | )%      |  |  | (2.1    | )%      |  |  |  | 
|Cumulative gross redundancy/
(deficiency)                                    |                   |  | 81.1    |                    |  |      | 196.6   |         |  |      | 250.9   |         |  |      | 233.2   |         |  |      | 18.2    |         |  |  | (577.0  | )       |  |  | (428.2  | )       |  |  |  | 
|Cumulative redundancy/(deficiency)
as a percentage of initial
gross reserves |                   |  | 5.5     | %                  |  |      | 10.4    | %       |  |      | 11.2    | %       |  |      | 8.8     | %       |  |      | 0.6     | %       |  |  | (16.3   | )%      |  |  | (9.4    | )%      |  |  |  | 

As a significant portion of our reserves relate to liabilities payable in
currencies other than U.S. dollars, any fluctuations of the U.S. dollar to
those currencies will have an impact on the reserve redundancy/(deficiency).
As seen from the table above, the net reserve position for 1998 developed
favorably from $2,530.8 million as of December 31, 1998 to $2,300.8 million as
of December 31, 2001, thereby reflecting a redundancy of $230.0 million.
However, as seen from the table below, applying the exchange rate as of
December 31, 1998 to the 1998 reserves re-estimated as of December 31, 2001
would result in re-estimated reserves of $2,463.0 million, or a redundancy of
$67.8 million, illustrating that a substantial part of the apparent redundancy
is due to currency movements, which may or may not persist to the date claims
are actually paid. As a result of these currency movements, the cumulative
redundancy/(deficiency) shown above is consistently higher/(lower) as of
December 31, 2001 than if the reserves were shown on a constant exchange rate
basis for all years presented. Due to inherent volatility of exchange rates,
this effect may change in the future. Accordingly, we expect that future
changes in foreign exchange rates will impact our reserve adequacy
re-estimates. However, with respect to our primary currencies, we believe that
the potential volatility of our liabilities is offset to a large extent by our
efforts to invest in assets denominated in the same currency.

The table above also shows that our net loss reserves have developed
larger redundancies/(lower deficiencies) than our gross loss reserves. Changes in estimates of our
net losses directly impact our reported results. Accordingly, our estimates of
reinsurance recoveries on incurred losses and our collections of those
recoveries from our retrocessionaires also directly impact our reported
results. See  Retrocessional Reinsurance above for a discussion of the
types of retrocessional reinsurance coverage that we purchase.

At December 31, 2001 we recorded $1,545.0 million of reinsurance
recoverables on loss and loss adjustment expense reserves. Approximately 33.1%
of this amount relates to workers compensation business and 26.1% relates to
recoverables in connection with the September 11th terrorist attacks.

At December 31, 2000, we initially estimated $1,212.2 million of
reinsurance recoverables and during 2001 we increased this estimate to
$1,568.9. At December 31, 1999 we initially estimated $704.9 million of
reinsurance recoverables and during 2001 we increased this estimate to $1,200.3
million. These amounts are significantly higher than the reinsurance
recoverable that we had recorded with respect to losses incurred through
December 31, 1998. The increase is substantially related to workers
compensation business written by Converium Reinsurance (North America) Inc.
that we retroceded to other parties.

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For calendar years 1994 through 1997 our re-estimated reinsurance
recoverables increased compared to our original estimates. These increases are
principally related to higher reinsurance recoveries on higher than expected
gross losses on CENY Business which has been 100% retroceded to CIC and CSUS.
See Item 10  Additional Information  C. Material Contracts  Acquisition of
the Converium North America Business  CENY Arrangements.

The following table shows the development of our initial reserves net of
reinsurance using the same exchange rates in effect when each of the initial
reserves was set to re-estimate the reserves in subsequent years.

|                                                                           |  |                    |         |      |  |      |         |      |  |      |         |      |  |      |         |      |  |   |         |   |  |   |         |    |  |   |         |    |  |   |         | 
|-------------------------------------------------------------------------- |  | ------------------ | ------- | ---- |  | ---- | ------- | ---- |  | ---- | ------- | ---- |  | ---- | ------- | ---- |  | - | ------- | - |  | - | ------- | -- |  | - | ------- | -- |  | - | ------- | 
|                                                                           |  | As of December 31,
|                                                                           |  |                   
|                                                                           |  | 1994               |         | 1995 |  | 1996 |         | 1997 |  | 1998 |         | 1999 |  | 2000 |         | 2001
|                                                                           |  |                    |         |      |  |      |         |      |  |      |         |      |  |      |         |     
|                                                                           |  | ($ in millions)   
|Initial net reserves for losses and
loss adjustment expense                |  | $                  | 1,409.3 |      |  | $    | 1,788.5 |      |  | $    | 2,138.4 |      |  | $    | 2,346.3 |      |  | $ | 2,530.8 |   |  | $ | 2,840.8 |    |  | $ | 3,333.8 |    |  | $ | 4,165.5 | 
|Net reserves re-estimated as of:                                           |  |                    |         |      |  |      |         |      |  |      |         |      |  |      |         |      |  |   |         |   |  |   |         |    |  |   |         |    |  |   |         | 
|One year later                                                             |  |                    | 1,410.1 |      |  |      | 1,805.6 |      |  |      | 2,004.9 |      |  |      | 2,108.6 |      |  |   | 2,394.8 |   |  |   | 2,907.9 |    |  |   | 3,457.4 |    |  |   |         | 
|Two years later                                                            |  |                    | 1,479.5 |      |  |      | 1,758.2 |      |  |      | 1,925.4 |      |  |      | 2,078.8 |      |  |   | 2,412.6 |   |  |   | 3,035.5 |    |  |   |         |    |  |   |         | 
|Three years later                                                          |  |                    | 1,387.9 |      |  |      | 1,707.3 |      |  |      | 1,865.4 |      |  |      | 2,016.6 |      |  |   | 2,463.0 |   |  |   |         |    |  |   |         |    |  |   |         | 
|Four years later                                                           |  |                    | 1,405.6 |      |  |      | 1,674.5 |      |  |      | 1,819.3 |      |  |      | 2,035.0 |      |  |   |         |   |  |   |         |    |  |   |         |    |  |   |         | 
|Five years later                                                           |  |                    | 1,382.7 |      |  |      | 1,612.4 |      |  |      | 1,799.4 |      |  |      |         |      |  |   |         |   |  |   |         |    |  |   |         |    |  |   |         | 
|Six years later                                                            |  |                    | 1,338.7 |      |  |      | 1,589.9 |      |  |      |         |      |  |      |         |      |  |   |         |   |  |   |         |    |  |   |         |    |  |   |         | 
|Seven years later                                                          |  |                    | 1,306.6 |      |  |      |         |      |  |      |         |      |  |      |         |      |  |   |         |   |  |   |         |    |  |   |         |    |  |   |         | 
|Cumulative redundancy/(deficiency)                                         |  |                    | 102.7   |      |  |      | 198.6   |      |  |      | 339.0   |      |  |      | 311.3   |      |  |   | 67.8    |   |  |   | (194.7  | )  |  |   | (123.6  | )  |  |   |         | 
|Cumulative redundancy/(deficiency) as a
percentage of initial net reserves |  |                    | 7.3     | %    |  |      | 11.1    | %    |  |      | 15.9    | %    |  |      | 13.3    | %    |  |   | 2.7     | % |  |   | (6.9    | )% |  |   | (3.7    | )% |  |   |         | 

As described below, the loss development triangles show net cumulative redundancies for 1994 through 1998 and net cumulative deficiencies for 1999 and 2000.

In the first half of 2001, Converium recorded $112.0 million of net
adverse loss reserve development as outlined in the preceding section. See 
Adequacy of Reserves.

In the second half of 2001, Converium recorded an additional $11.6 million
of net adverse loss reserve development based on its year-end review of
non-life reserves. Converium Cologne increased its asbestos and environmental
reserves by $11.5 million, in order to increase the survival ratio from 13.1
years at December 31, 2000 to 13.8 years at December 31, 2001. See  Reserves
for Asbestos and Environmental Losses. Converium Cologne also performed an
in-depth analysis of its European and Middle East non-proportional motor book
in light of current trends, including lower interest rates, higher long-term
disability costs and longevity risk. As a result of this review, an additional
$20.0 million in reserves were recorded for European and Middle East motor
lines for years 2000 and prior. Converium Cologne also recorded an additional
$9.8 million of reserves for energy and property business in the Middle East.
Converium North America recorded adverse development of $39.0 million, mainly
related to general liability, auto liability and umbrella business written in
1996 through 1999. Partially offsetting the above, loss reserves at Converium
Zurich developed positively by $69.0 million, reflecting positive development
of $30.0 in our aviation and space lines of business, primarily on
non-proportional treaty business for years 1998 through 2000.

In 2000, Converium recorded $65.4 million of net adverse loss development.
This result was heavily driven by adverse development from the December 1999
European winter storms Anatol, Lothar and Martin. Since these events occurred
in the last week of December 1999, it was difficult to estimate the resulting
losses at December 31, 1999. In addition, Converium North America experienced
adverse loss development mainly related to casualty treaty business from prior
underwriting years.

The principal factors which led to
the favorable reserve developments shown in the accident year 1998 and prior column, as well as all prior columns, include the following:



| |  |  | Over the years, we have increased the portion of our business
derived from specialty lines, in particular aviation and space.
These lines are among the more complex and uncertain lines of
business because of the potential for large losses. In addition, in
specialty lines such as credit and surety business, the correlation
between losses and general economic conditions, and in aviation and
space, the longer reporting periods, increase the uncertainty of the
reserving process. Initial reserve estimates were the best judgment
at the time and reflected this complexity and uncertainty. Over
time, the actual emergence of losses in these lines could be used as
an indication of future loss emergence, or re-estimation of ultimate
loss.
| | - |  | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

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| |  |  | Increasingly, our clients have been able to provide more
detailed and timely loss information. At the same time we have made
technological advances in our reserving process. As a result, we have
been able to perform more comprehensive analyses. This impact
prevails throughout our portfolio. However, it is
particularly noticeable for our traditional book of European
property, European motor and European liability business.                                                                                                                                                                                                                                   
| | - |  | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|
| |  |  | We have entered into several new overseas geographical markets
and had significant expansion in both existing and new markets in
several longer-tailed liability lines of business. New lines of
business and markets are inherently more uncertain than existing
business and markets, where historical experience data can be used to
support the reserving process. Accordingly, our initial estimates of
ultimate losses for this business reflected these additional inherent
uncertainties. Over time, as the actual emergence of losses in these
markets could be used as an indication of future loss emergence, the
re-estimation of losses indicated redundancies.

The payment pattern of our loss and loss adjustment reserves varies from
year to year. We estimate that the mean time to payment, on an undiscounted
basis, of our loss provisions at December 31, 2001, was 4.0 years. We expect
this average payout period to change as our mix of business changes.

Reconciliation of Beginning and Ending Loss and Loss Adjustment Expense
Reserves

The table below is a summary reconciliation of the beginning and ending
reserves for losses and loss adjustment expenses, net of reinsurance, for the
years ended December 31, 2001, 2000 and 1999.

|                                                       |                                                        |                                                      |         |                 |         |      |         |         |         |   |         |         |         | 
|------------------------------------------------------ | ------------------------------------------------------ | ---------------------------------------------------- | ------- | --------------- | ------- | ---- | ------- | ------- | ------- | - | ------- | ------- | ------- | 
|                                                       |                                                        |                                                      |         | 2001            |         | 2000 |         | 1999   
|                                                       |                                                        |                                                      |         |                 |         |      |         |        
|                                                       |                                                        |                                                      |         | ($ in millions)
|As of January 1,                                       |                                                        |                                                      |         |                 |         |      |         |         |         |   |         |        
|Gross reserves for losses and loss adjustment expenses |                                                        | $                                                    | 4,546.0 |                 |         | $    | 3,545.7 |         |         | $ | 2,988.1 |        
|Loss reinsurance recoverable                           |                                                        |                                                      | 1,212.2 |                 |         |      | 704.9   |         |         |   | 457.3   |        
|                                                       |                                                        |                                                      |         |                 |         |      |         |         |         |   |         |        
|                                                       |                                                        | Net reserves for losses and loss adjustment expenses |         |                 | 3,333.8 |      |         |         | 2,840.8 |   |         |         | 2,530.8 | 
|                                                       |                                                        |                                                      |         |                 |         |      |         |         |         |   |         |        
|Losses and loss adjustment expenses incurred:          |                                                        |                                                      |         |                 |         |      |         |         |         |   |         |        
|                                                       | Current year                                           |                                                      |         | 2,039.5         |         |      |         | 1,454.6 |         |   |         | 1,184.8 |        
|                                                       | Prior years                                            |                                                      |         | 123.6           |         |      |         | 65.4    |         |   |         | (130.1  | )      
|                                                       |                                                        |                                                      |         |                 |         |      |         |         |         |   |         |        
|                                                       |                                                        | Total                                                |         |                 | 2,163.1 |      |         |         | 1,520.0 |   |         |         | 1,054.7 | 
|                                                       |                                                        |                                                      |         |                 |         |      |         |         |         |   |         |        
|Losses and loss adjustment expenses paid:              |                                                        |                                                      |         |                 |         |      |         |         |         |   |         |        
|                                                       | Current year                                           |                                                      |         | 359.1           |         |      |         | 222.0   |         |   |         | 53.0    |        
|                                                       | Prior years                                            |                                                      |         | 885.2           |         |      |         | 850.6   |         |   |         | 610.0   |        
|                                                       |                                                        |                                                      |         |                 |         |      |         |         |         |   |         |        
|                                                       |                                                        | Total                                                |         |                 | 1,244.3 |      |         |         | 1,072.6 |   |         |         | 663.0   | 
|                                                       |                                                        |                                                      |         |                 |         |      |         |         |         |   |         |        
|Foreign currency translation effects                   |                                                        |                                                      | (87.1   | )               |         |      | 45.6    |         |         |   | (81.7   | )      
|As of December 31,                                     |                                                        |                                                      |         |                 |         |      |         |         |         |   |         |        
|Net reserves for losses and loss adjustment expenses   |                                                        |                                                      | 4,165.5 |                 |         |      | 3,333.8 |         |         |   | 2,840.8 |        
|Reinsurance recoverable                                |                                                        |                                                      | 1,545.0 |                 |         |      | 1,212.2 |         |         |   | 704.9   |        
|                                                       |                                                        |                                                      |         |                 |         |      |         |         |         |   |         |        
|                                                       | Gross reserves for losses and loss adjustment expenses |                                                      | $       | 5,710.5         |         |      | $       | 4,546.0 |         |   | $       | 3,545.7 |        
|                                                       |                                                        |                                                      |         |                 |         |      |         |         |         |   |         |        

Reserves for Accident Years 1994 and Prior

As of December 31, 2001, net reserves for losses and loss adjustment
expenses included approximately $173.7 million of reserves related to losses
from accident years 1994 and prior.

Reserves for Asbestos and Environmental Losses

We have exposure to liabilities for asbestos and environmental impairment,
from our assumed reinsurance contracts, primarily arising from business written
by Converium Cologne. Our asbestos and environmental exposure primarily
originates from U.S. business written through the London Market and from
treaties directly written with reinsurers in the United States. We cancelled
our relevant London Market reinsurance contracts in 1966 and 1967. At the
time, we reduced our participation in asbestos and environmental-exposed U.S.
treaties, with the eventual result that Converium Cologne

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ceased property and
liability underwriting in the United States in 1990. The A&E reserves are
roughly 50% for asbestos and 50% for environmental. Due to uncertainties as to
the definitions and to incomplete reporting from clients, exact separation of
asbestos and environmental exposures cannot be reached. We believe that
Converium North Americas exposure to asbestos-related and environmental pollution claims is limited due to the
diminutive amount of business written prior to 1987 and the protection provided
by the continuing reinsurance protections described below under Item 10 -
Additional Information  C. Material Contracts. In addition, Converium
Zurichs exposure is also minimal because, under the terms of the Quota Share
Retrocession Agreement, Converium Zurich will only reinsure business written
with an inception or renewal date on or after January 1, 1987. In 1986, our
contract wording was revised, consistent with a general industry change, such
that asbestos and environmental claims were generally excluded.

As of December 31, 2001, our total loss and adjustment expense reserves,
including additional reserves and IBNR reserves, for U.S.-originated asbestos
and environmental losses are approximately $44.6 million or 1.1% of our total
net reserves for losses and loss adjustment expenses. This provision includes
reserves originally communicated by our cedants, together with additional
reserves we established.

We estimate that the survival ratio of our asbestos and environmental risk
portfolio, calculated as the average ratio of reserves held, including IBNR,
over claims paid over the last three years, is approximately 13.8 years.
Survival ratio is an industry measure of the number of years it would take a
company to exhaust its reserves for asbestos and environmental liabilities
based on that companys current level of claims payments. We currently have no
retrocessional protection for our U.S.-originated asbestos and environmental
exposure, other than the arrangements with Zurich Financial Services provided
by the stop-loss agreement described above and the other arrangements described
below under Item 10  Additional Information  C. Material Contracts.

Reserving for asbestos and environmental claims is subject to a range of
uncertainties that has historically been greater than those presented by other
types of claims. Among the complications are a lack of historical data, long
reporting delays and uncertainty as to the number and identity of insureds with
potential exposure. In addition, there are complex, unresolved legal issues
regarding policy coverage and the extent and timing of contractual liability.

In the environmental context, for example, such legal issues include:



| |  |  | whether administrative actions by environmental authorities
constitute a suit which triggers an insurers duty to defend                                                                                                                                        
| | - |  | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|
| |  |  | the timing of injury or damage which triggers comprehensive
general liability coverage                                                                                                                                                                            
|
| |  |  | the allocation of indemnity and defense costs among triggered
policy years or, in some circumstances, to the policyholders                                                                                                                                        
|
| |  |  | the number of occurrences where environmental claims arise
from one or more causes and result in one or more effects                                                                                                                                            
|
| |  |  | the efficacy of policy exclusions for pollution and related matters                                                                                                                                                                                               
|
| |  |  | the extent to which personal injury insurance may apply in the context of environmental losses                                                                                                                                                                    
|
| |  |  | whether environmental clean-up costs are property damage
within the intent of a comprehensive general liability policy, and
whether an action requiring the insured to undertake clean-up
measures is an action for damages within the intent of such a
policy
|
| |  |  | the applicability of so-called owned property exclusions in
comprehensive general liability policies in the context of
environmental claims                                                                                                                     
|
| |  |  | whether sums expended by an insured to investigate the
remediation of hazardous waste constitute loss or expense within
the intent of a comprehensive general liability policy                                                                                

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In the asbestos context, many of these same issues exist, and other issues may arise concerning:



| |  |  | the scope of so-called asbestosis exclusions                                                                                                                                                            
| | - |  | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|
| |  |  | the extent to which policy aggregate limits for product
liability or completed operations apply in the context of a
particular asbestos exposure                                                          
|
| |  |  | the interplay between various insurers policy wordings,
especially in the context of the trigger of coverage, when
determining insurers defense and indemnity obligations for a
particular asbestos loss
|
| |  |  | the existence and nature of defense or defense reimbursement
obligations under various policy forms                                                                                                       
|
| |  |  | the disposition of asbestos claims in the context of
policyholder or insurer insolvencies. These issues are not likely to
be resolved in the near future                                                  

Consequently, traditional loss reserving techniques cannot wholly be
relied on and, therefore, the uncertainty with respect to the ultimate cost of
these types of claims is greater than the uncertainty relating to standard
lines of business. In addition, changes to existing legal interpretation, new
legislation or new court decisions could materially impact our reserves,
results of operations, cash flows and financial position in future periods.

Loss Reserve Development for the United States

Consolidated loss development data for Converium is not available on a
consistent accounting basis prior to December 31, 1994. Accordingly, we have
provided a consolidated loss development table commencing with information as
of December 31, 1994. In order to provide information regarding outstanding
reserves relating to 1994 and prior years, we have provided a ten-year loss
development table for business written by Converium North America. This
business represents 35.0% of our outstanding net reserves as of December 31,
2001 related to 1994 and prior years. The remaining 65.0% represents business
written by Converium Zurich and Converium Cologne. We have not provided
ten-year loss development tables for either Converium Zurich, a former division
of ZIC, or Converium Cologne, as none of this data is available on a consistent
accounting basis prior to December 31, 1994. See  Loss and Loss Adjustment
Expense Reserves  Loss Reserve Development.

The table has been prepared using information from the statutory filings
required in the United States. As such, the information differs from the
consolidated table above as it is prepared on a basis of accounting other than
U.S. GAAP. However, the change in accounting basis does not cause the table
below to be materially different than the U.S. amounts included in the
consolidated table above.

|                                                             |                   |   |                    |       |      |   |       |       |      |   |       |       |      |   |       |       |      |   |       |       |      |   |         |       |  |   |         |         |  |   |         |         |  |   |         |         |  |   |         |  | 
|------------------------------------------------------------ | ----------------- | - | ------------------ | ----- | ---- | - | ----- | ----- | ---- | - | ----- | ----- | ---- | - | ----- | ----- | ---- | - | ----- | ----- | ---- | - | ------- | ----- |  | - | ------- | ------- |  | - | ------- | ------- |  | - | ------- | ------- |  | - | ------- |  | 
|                                                             |                   |   | As of December 31,
|                                                             |                   |   |                   
|                                                             |                   |   | 1992               |       | 1993 |   | 1994  |       | 1995 |   | 1996  |       | 1997 |   | 1998  |       | 1999 |   | 2000  |       | 2001
|                                                             |                   |   |                    |       |      |   |       |       |      |   |       |       |      |   |       |       |      |   |       |       |     
|                                                             |                   |   | ($ millions)      
|Gross reserves for loss and loss
adjustment expenses         |                   | $ | 300.8              |       |      | $ | 323.7 |       |      | $ | 463.5 |       |      | $ | 721.9 |       |      | $ | 882.9 |       |      | $ | 1,244.2 |       |  | $ | 1,473.9 |         |  | $ | 1,825.7 |         |  | $ | 2,581.7 |         |  | $ | 2,845.7 | 
|Reinsurance recoverable                                      |                   |   | 44.6               |       |      |   | 24.2  |       |      |   | 19.5  |       |      |   | 75.1  |       |      |   | 85.2  |       |      |   | 263.9   |       |  |   | 369.7   |         |  |   | 604.8   |         |  |   | 1,134.4 |         |  |   | 1,136.3 | 
|Initial
net reserves for losses
and loss adjustment expenses |                   |   | 256.2              |       |      |   | 299.5 |       |      |   | 444.0 |       |      |   | 646.8 |       |      |   | 797.7 |       |      |   | 980.3   |       |  |   | 1,104.2 |         |  |   | 1,220.9 |         |  |   | 1,447.3 |         |  |   | 1,709.4 | 
|Cumulative paid as of:                                       |                   |   |                    |       |      |   |       |       |      |   |       |       |      |   |       |       |      |   |       |       |      |   |         |       |  |   |         |         |  |   |         |         |  |   |         |         |  |   |         | 
|                                                             | One year later    |   |                    | 7.8   |      |   |       | 100.8 |      |   |       | 94.3  |      |   |       | 157.0 |      |   |       | 179.6 |      |   |         | 206.3 |  |   |         | 287.4   |  |   |         | 346.9   |  |   |         | 395.1   |  |   |         |  | 
|                                                             | Two years later   |   |                    | 147.7 |      |   |       | 149.4 |      |   |       | 183.6 |      |   |       | 270.0 |      |   |       | 315.9 |      |   |         | 396.5 |  |   |         | 510.7   |  |   |         | 628.5   |  |   |         |         |  |   |         |  | 
|                                                             | Three years later |   |                    | 179.3 |      |   |       | 198.7 |      |   |       | 252.3 |      |   |       | 351.0 |      |   |       | 437.2 |      |   |         | 552.3 |  |   |         | 696.0   |  |   |         |         |  |   |         |         |  |   |         |  | 
|                                                             | Four years later  |   |                    | 209.2 |      |   |       | 233.2 |      |   |       | 296.9 |      |   |       | 417.1 |      |   |       | 531.2 |      |   |         | 655.9 |  |   |         |         |  |   |         |         |  |   |         |         |  |   |         |  | 
|                                                             | Five years later  |   |                    | 228.5 |      |   |       | 266.1 |      |   |       | 334.2 |      |   |       | 461.8 |      |   |       | 577.6 |      |   |         |       |  |   |         |         |  |   |         |         |  |   |         |         |  |   |         |  | 
|                                                             | Six years later   |   |                    | 241.5 |      |   |       | 273.4 |      |   |       | 357.2 |      |   |       | 485.3 |      |   |       |       |      |   |         |       |  |   |         |         |  |   |         |         |  |   |         |         |  |   |         |  | 
|                                                             | Seven years later |   |                    | 252.0 |      |   |       | 283.3 |      |   |       | 367.0 |      |   |       |       |      |   |       |       |      |   |         |       |  |   |         |         |  |   |         |         |  |   |         |         |  |   |         |  | 
|                                                             | Eight years later |   |                    | 257.4 |      |   |       | 288.4 |      |   |       |       |      |   |       |       |      |   |       |       |      |   |         |       |  |   |         |         |  |   |         |         |  |   |         |         |  |   |         |  | 
|                                                             | Nine years later  |   |                    | 260.6 |      |   |       |       |      |   |       |       |      |   |       |       |      |   |       |       |      |   |         |       |  |   |         |         |  |   |         |         |  |   |         |         |  |   |         |  | 
|Net
reserves re-estimated as of:                             |                   |   |                    |       |      |   |       |       |      |   |       |       |      |   |       |       |      |   |       |       |      |   |         |       |  |   |         |         |  |   |         |         |  |   |         |         |  |   |         | 
|                                                             | One year later    |   |                    | 254.4 |      |   |       | 312.0 |      |   |       | 444.6 |      |   |       | 639.4 |      |   |       | 816.1 |      |   |         | 982.0 |  |   |         | 1,117.5 |  |   |         | 1,301.9 |  |   |         | 1,611.7 |  |   |         |  | 
|                                                             | Two years later   |   |                    | 275.5 |      |   |       | 323.2 |      |   |       | 446.9 |      |   |       | 651.3 |      |   |       | 823.0 |      |   |         | 971.0 |  |   |         | 1,174.9 |  |   |         | 1,449.3 |  |   |         |         |  |   |         |  | 
|                                                             | Three years later |   |                    | 281.3 |      |   |       | 324.3 |      |   |       | 453.6 |      |   |       | 656.7 |      |   |       | 810.2 |      |   |         | 985.8 |  |   |         | 1,225.9 |  |   |         |         |  |   |         |         |  |   |         |  | 
|                                                             | Four years later  |   |                    | 282.6 |      |   |       | 328.7 |      |   |       | 462.8 |      |   |       | 653.7 |      |   |       | 824.4 |      |   |         | 997.1 |  |   |         |         |  |   |         |         |  |   |         |         |  |   |         |  | 
|                                                             | Five years later  |   |                    | 287.5 |      |   |       | 333.2 |      |   |       | 458.9 |      |   |       | 635.0 |      |   |       | 805.7 |      |   |         |       |  |   |         |         |  |   |         |         |  |   |         |         |  |   |         |  | 
|                                                             | Six years later   |   |                    | 289.3 |      |   |       | 334.8 |      |   |       | 445.0 |      |   |       | 617.2 |      |   |       |       |      |   |         |       |  |   |         |         |  |   |         |         |  |   |         |         |  |   |         |  | 
|                                                             | Seven years later |   |                    | 288.2 |      |   |       | 325.6 |      |   |       | 430.8 |      |   |       |       |      |   |       |       |      |   |         |       |  |   |         |         |  |   |         |         |  |   |         |         |  |   |         |  | 

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|                                                                             |                   |  |                    |       |      |  |       |       |      |  |      |       |      |  |       |       |      |  |        |         |      |  |       |         |  |  |        |         |  |  |        |         |  |  |         |         |  |  |  |  | 
|---------------------------------------------------------------------------- | ----------------- |  | ------------------ | ----- | ---- |  | ----- | ----- | ---- |  | ---- | ----- | ---- |  | ----- | ----- | ---- |  | ------ | ------- | ---- |  | ----- | ------- |  |  | ------ | ------- |  |  | ------ | ------- |  |  | ------- | ------- |  |  |  |  | 
|                                                                             |                   |  | As of December 31, |       |      |  |       |       |      |  |      |       |      |  |       |       |      |  |        |         |      |  |       |         |  |  |        |         |  |  |        |         |  |  |         |         |  |  |  |  | 
|                                                                             |                   |  |                   
|                                                                             |                   |  | 1992               |       | 1993 |  | 1994  |       | 1995 |  | 1996 |       | 1997 |  | 1998  |       | 1999 |  | 2000   |         | 2001
|                                                                             |                   |  |                    |       |      |  |       |       |      |  |      |       |      |  |       |       |      |  |        |         |     
|                                                                             |                   |  | ($ millions)      
|                                                                             | Eight years later |  |                    | 280.7 |      |  |       | 314.3 |      |  |      |       |      |  |       |       |      |  |        |         |      |  |       |         |  |  |        |         |  |  |        |         |  |  |         |         |  |  |  |  | 
|                                                                             | Nine years later  |  |                    | 273.7 |      |  |       |       |      |  |      |       |      |  |       |       |      |  |        |         |      |  |       |         |  |  |        |         |  |  |        |         |  |  |         |         |  |  |  |  | 
|Reinsurance recoverable re-estimated
as of December 31, 2001                 |                   |  | 50.8               |       |      |  | 31.1  |       |      |  | 28.5 |       |      |  | 115.8 |       |      |  | 200.4  |         |      |  | 322.0 |         |  |  | 488.5  |         |  |  | 895.0  |         |  |  | 1,332.8 |         |  |  |  | 
|Gross reserves re-estimated as of:                                           |                   |  |                    |       |      |  |       |       |      |  |      |       |      |  |       |       |      |  |        |         |      |  |       |         |  |  |        |         |  |  |        |         |  |  |         |         |  |  |  | 
|                                                                             | December 31, 2001 |  |                    | 324.5 |      |  |       | 345.4 |      |  |      | 459.3 |      |  |       | 733.0 |      |  |        | 1,006.1 |      |  |       | 1,319.1 |  |  |        | 1,714.4 |  |  |        | 2,344.3 |  |  |         | 2,944.5 |  |  |  |  | 
|                                                                             |                   |  |                    |       |      |  |       |       |      |  |      |       |      |  |       |       |      |  |        |         |      |  |       |         |  |  |        |         |  |  |        |         |  |  |         |         |  |  |  | 
|Cumulative net redundancy/
(deficiency)                                      |                   |  | (17.5              | )     |      |  | (14.8 | )     |      |  | 13.2 |       |      |  | 29.6  |       |      |  | (8.0   | )       |      |  | (16.8 | )       |  |  | (121.7 | )       |  |  | (228.4 | )       |  |  | (164.4  | )       |  |  |  | 
|Cumulative redundancy/(deficiency)
as a percentage of initial net reserves   |                   |  | (6.8               | )%    |      |  | (4.9  | )%    |      |  | 2.9  | %     |      |  | 4.5   | %     |      |  | (1.0   | )%      |      |  | (1.7  | )%      |  |  | (11.0  | )%      |  |  | (18.7  | )%      |  |  | (11.4   | )%      |  |  |  | 
|Cumulative gross redundancy/(deficiency)                                     |                   |  | (23.7              | )     |      |  | (21.7 | )     |      |  | 4.2  |       |      |  | (11.1 | )     |      |  | (123.2 | )       |      |  | (74.9 | )       |  |  | (240.5 | )       |  |  | (518.6 | )       |  |  | (362.8  | )       |  |  |  | 
|Cumulative redundancy/(deficiency) as a percentage of initial gross reserves |                   |  | (7.8               | )%    |      |  | (6.7  | )%    |      |  | 0.9  | %     |      |  | (1.5  | )%    |      |  | (14.0  | )%      |      |  | (6.0  | )%      |  |  | (16.3  | )%      |  |  | (28.4  | )%      |  |  | (14.1   | )%      |  |  |  | 

The loss development triangles show net loss reserve deficiencies of
greater than 10% for 2000, 1999 and 1998 as compared to the original net loss
reserve established. This adverse development is primarily related to loss
reserve increases recorded in calendar year 2001. The development was
comprised principally of $112 million of prior year strengthening connected to
the Tillinghast December 31, 2000 review (as previously described). The
remaining $52 million was mostly comprised of unexpected claims on two
liability treaties and from two companies that were declared insolvent.

We also show gross loss reserves development for calendar years 1996
through 2000. The development in 1998, 1999, and 2000 relates primarily to
workers compensation business assumed by Converium Reinsurance (North America)
Inc. and almost entirely retroceded to other parties. The development in 1996
and 1997 relates to the CENY portfolio of business that was written on the
Converium North America balance sheet and that is subsequently 100% retroceded
to other Centre balance sheets. Accordingly the significant increases in our
re-estimated reinsurance recoverables in these years is attributable to the
increased workers compensation and CENY losses retroceded to our reinsurers.

Investments

Our overall financial results are in large part dependent upon the quality
and performance of our investment portfolio. Net investment income and net
realized capital (losses) gains accounted for 8.4% of our revenues for the year
ended December 31, 2001, 12.1% of our revenues for the year ended December 31,
2000 and 16.9% of our revenues for the year ended December 31, 1999. As of
December 31, 2001, the carrying value of our investment portfolio was $4.9
billion.

Our assets are invested with the objective of maximizing investment
returns consistent with appropriate risk management, diversification, tax and
regulatory considerations, and to provide sufficient liquidity to enable us to
meet our obligations on a timely basis. We principally focus on high quality,
liquid securities, and seek to invest in securities whose durations correspond
to the estimated duration of the reinsurance liabilities they support.

Our approach to fixed income investments is to limit credit risk by
focusing on investments rated A or better and to reduce concentration risk by
limiting the amount that may be invested in securities of any single issue or
issuer. With respect to equity investments, we seek to diversify our equity
portfolio so as to provide a broad exposure across major sectors of individual
stock markets. To reduce the effects of currency exchange rate fluctuations,
we seek to match the currencies of our investments with the currencies of our
underlying reinsurance liabilities.

Our investment practices are governed by guidelines established and
approved by our Board of Directors. Although these guidelines stress
diversification of risks, conservation of principal and liquidity, these
investments are subject to market-wide risks and fluctuations, as well as risks
inherent in particular securities.

At December 31,
2001, predominantly, all of our investments were managed
by affiliates of Zurich Financial Services. We have entered into investment
management agreements with these managers on what we believe to be market
terms. Under these investment management agreements, our portfolio of
investment securities is managed in return for a fee based on the average total
market value of the assets under management, as well as investment performance.
We monitor the performance of, and fees paid to, these investment managers on
a regular basis. In the second quarter of 2002, Zurich

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Financial Services sold
certain of its investment management businesses, including Zurich Scudder
Investments, Inc., which manages a portion of our investment assets, to
Deutsche Bank AG. This transaction is not expected to have a material impact
on our investment results.

The table below presents the carrying value of our consolidated investment
portfolios as of December 31, 2001, 2000 and 1999.

|                                                 |                   |   |                    |         |       |  |          |       |       |   |          |         |       |  |      |       |   |   |         |         |  |  |      |       |  
|------------------------------------------------ | ----------------- | - | ------------------ | ------- | ----- |  | -------- | ----- | ----- | - | -------- | ------- | ----- |  | ---- | ----- | - | - | ------- | ------- |  |  | ---- | ----- | -
|                                                 |                   |   | As of December 31,
|                                                 |                   |   |                   
|                                                 |                   |   | 2001               |         | 2000  |  | 1999    
|                                                 |                   |   |                    |         |       |  |         
|                                                 |                   |   | $                  |         | % of  |  | $        |       | % of  |   | $        |         | % of 
|                                                 |                   |   | millions           |         | Total |  | millions |       | Total |   | millions |         | Total
|                                                 |                   |   |                    |         |       |  |          |       |       |   |          |         |      
|Fixed income securities                          |                   | $ | 2,331.4            |         |       |  | 47.4     | %     |       | $ | 2,236.2  |         |       |  | 51.4 | %     |   | $ | 2,098.9 |         |  |  | 49.6 | %    
|Equity securities                                |                   |   | 701.4              |         |       |  | 14.3     |       |       |   | 611.0    |         |       |  | 14.1 |       |   |   | 557.3   |         |  |  | 13.1 |      
|Funds Withheld Asset/
Zurich Financing Agreement |                   |   | 1,598.5            |         |       |  | 32.5     |       |       |   | 1,335.2  |         |       |  | 30.7 |       |   |   | 1,412.7 |         |  |  | 33.4 |      
|Short-term investments                           |                   |   | 89.5               |         |       |  | 1.8      |       |       |   | 115.1    |         |       |  | 2.6  |       |   |   | 83.8    |         |  |  | 2.0  |      
|Other                                            |                   |   | 195.1              |         |       |  | 4.0      |       |       |   | 52.2     |         |       |  | 1.2  |       |   |   | 80.1    |         |  |  | 1.9  |      
|                                                 |                   |   |                    |         |       |  |          |       |       |   |          |         |       |  |      |       |   |   |         |         |  |  |      |      
|                                                 | Total investments |   | $                  | 4,915.9 |       |  |          | 100.0 | %     |   | $        | 4,349.7 |       |  |      | 100.0 | % |   | $       | 4,232.8 |  |  |      | 100.0 | %
|                                                 |                   |   |                    |         |       |  |          |       |       |   |          |         |       |  |      |       |   |   |         |         |  |  |      |      

The table below presents the investment portfolios of our operating
segments based on carrying value as of December 31, 2001, 2000 and 1999.

|                     |                         |       |      |                    |         |       |     |          |       |       |      |          |         |       |     |      |       |   |      |         |         |  |     |      |       |  
|-------------------- | ----------------------- | ----- | ---- | ------------------ | ------- | ----- | --- | -------- | ----- | ----- | ---- | -------- | ------- | ----- | --- | ---- | ----- | - | ---- | ------- | ------- |  | --- | ---- | ----- | -
|                     |                         |       |      | As of December 31,
|                     |                         |       |      |                   
|                     |                         |       |      | 2001               |         | 2000  |     | 1999    
|                     |                         |       |      |                    |         |       |     |         
|                     |                         |       |      | $                  |         | % of  |     | $        |       | % of  |      | $        |         | % of 
|                     |                         |       |      | millions           |         | Total |     | millions |       | Total |      | millions |         | Total
|                     |                         |       |      |                    |         |       |     |          |       |       |      |          |         |      
|Non-Life Reinsurance |                         |       |      |                    |         |       |     |          |       |       |      |          |         |       |     |      |       |   |      |         |         |  |     |     
|                     | Converium Zurich        |       | $    | 2,273.2            |         |       |     | 46.2     | %     |       | $    | 1,458.3  |         |       |     | 32.0 | %     |   | $    | 1,467.1 |         |  |     | 33.6 | %    
|                     | Converium North America |       |      | 2,387.4            |         |       |     | 48.6     |       |       |      | 2,304.8  |         |       |     | 54.2 |       |   |      | 2,162.2 |         |  |     | 51.9 |      
|                     | Converium Cologne       |       |      | 510.7              |         |       |     | 10.4     |       |       |      | 542.0    |         |       |     | 12.8 |       |   |      | 561.3   |         |  |     | 13.5 |      
|Converium Life       |                         |       | 40.8 |                    |         |       | 0.8 |          |       |       | 44.6 |          |         |       | 1.0 |      |       |   | 42.2 |         |         |  | 1.0 |     
|                     | Eliminations            |       |      | (296.2             | )       |       |     | (6.0     | )     |       |      |         |         |       |     |     |       |   |      |        |         |  |     |     |      
|                     |                         |       |      |                    |         |       |     |          |       |       |      |          |         |       |     |      |       |   |      |         |         |  |     |     
|                     |                         | Total |      | $                  | 4,915.9 |       |     |          | 100.0 | %     |      | $        | 4,349.7 |       |     |      | 100.0 | % |      | $       | 4,232.8 |  |     |      | 100.0 | %
|                     |                         |       |      |                    |         |       |     |          |       |       |      |          |         |       |     |      |       |   |      |         |         |  |     |     

The eliminations line item above represents internal notes issued in 2001
between Converium Zurich and Converium North America, which are eliminated on a
consolidated basis.

Fixed Maturities

As of December 31, 2001, our fixed maturities portfolio, excluding the
Funds Withheld Asset, had a carrying value of $2.3 billion and represented
47.4% of our total investment portfolio, excluding the Funds Withheld Asset, or
79.9% including the Funds Withheld Asset. This represents an increase in
carrying value of $95.2 million, or 4.3%, from December 31, 2000, or an
increase of $358.5 million, or 10.0%, including the Funds Withheld Asset
(described more fully below).

Our fixed income investments are managed by external investment managers
and their performance is measured against benchmarks. We invest in government,
agency and corporate fixed income securities of issuers from around the world
that meet our liquidity and credit standards. We place an emphasis on
investing in listed fixed income securities that we believe to be liquid. We
invest in securities based on the currency and the estimated duration of our
reinsurance liabilities.

The table below presents our fixed income securities portfolio excluding
the Funds Withheld Asset based on carrying value by segment as of December 31,
2001, 2000 and 1999.

|                     |                  |  |   |                    |  |       |  |          |   |       |   |          |  |       |  |     |   |  |   |      |  |  |  |     |   | 
|-------------------- | ---------------- |  | - | ------------------ |  | ----- |  | -------- | - | ----- | - | -------- |  | ----- |  | --- | - |  | - | ---- |  |  |  | --- | - | 
|                     |                  |  |   | As of December 31,
|                     |                  |  |   |                   
|                     |                  |  |   | 2001               |  | 2000  |  | 1999    
|                     |                  |  |   |                    |  |       |  |         
|                     |                  |  |   | $                  |  | % of  |  | $        |   | % of  |   | $        |  | % of 
|                     |                  |  |   | millions           |  | Total |  | millions |   | Total |   | millions |  | Total
|                     |                  |  |   |                    |  |       |  |          |   |       |   |          |  |      
|Non-Life Reinsurance |                  |  |   |                    |  |       |  |          |   |       |   |          |  |       |  |     |   |  |   |      |  |  |  |    
|                     | Converium Zurich |  | $ | 67.2               |  |       |  | 2.9      | % |       | $ | 41.8     |  |       |  | 1.9 | % |  | $ | 34.1 |  |  |  | 1.6 | %

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|               |                         |       |      |                    |         |       |     |          |       |       |      |          |         |       |     |      |       |   |      |         |         |  |     |      |       |  
|-------------- | ----------------------- | ----- | ---- | ------------------ | ------- | ----- | --- | -------- | ----- | ----- | ---- | -------- | ------- | ----- | --- | ---- | ----- | - | ---- | ------- | ------- |  | --- | ---- | ----- | -
|               |                         |       |      | As of December 31,
|               |                         |       |      |                   
|               |                         |       |      | 2001               |         | 2000  |     | 1999    
|               |                         |       |      |                    |         |       |     |         
|               |                         |       |      | $                  |         | % of  |     | $        |       | % of  |      | $        |         | % of 
|               |                         |       |      | millions           |         | Total |     | millions |       | Total |      | millions |         | Total
|               |                         |       |      |                    |         |       |     |          |       |       |      |          |         |      
|               | Converium North America |       |      | 1,930.6            |         |       |     | 82.8     |       |       |      | 1,817.3  |         |       |     | 81.2 |       |   |      | 1,681.5 |         |  |     | 80.1 |      
|               | Converium Cologne       |       |      | 292.8              |         |       |     | 12.6     |       |       |      | 348.4    |         |       |     | 15.6 |       |   |      | 356.4   |         |  |     | 17.0 |      
|Converium Life |                         |       | 40.8 |                    |         |       | 1.7 |          |       |       | 28.7 |          |         |       | 1.3 |      |       |   | 26.9 |         |         |  | 1.3 |     
|               |                         |       |      |                    |         |       |     |          |       |       |      |          |         |       |     |      |       |   |      |         |         |  |     |     
|               |                         | Total |      | $                  | 2,331.4 |       |     |          | 100.0 | %     |      | $        | 2,236.2 |       |     |      | 100.0 | % |      | $       | 2,098.9 |  |     |      | 100.0 | %
|               |                         |       |      |                    |         |       |     |          |       |       |      |          |         |       |     |      |       |   |      |         |         |  |     |     

Most of our fixed income securities are rated by Standard & Poors,
Moodys or similar rating agencies. As of December 31, 2001, approximately 95%
of our fixed income securities portfolio was invested in securities rated A or
better by these agencies and approximately 70% was invested in AAA/Aaa-rated
securities.

The following table summarizes the composition of the fair value of our
fixed income investment portfolio, excluding cash and cash equivalents, as of
December 31, 2001, indicated by rating as assigned by Standard & Poors or
Moodys, using the higher of these ratings for any security where there is a
split rating.

|          |  |              |         |       |  |  |       |  
|--------- |  | ------------ | ------- | ----- |  |  | ----- | -
|          |  | As of       
|          |  | December 31,
|          |  | 2001        
|          |  |             
|          |  | $            |         | % of 
|          |  | millions     |         | Total
|          |  |              |         |      
|AAA/Aaa   |  | $            | 1,623.9 |       |  |  | 69.7  | %
|AA/Aa2    |  |              | 290.8   |       |  |  | 12.5  |  
|A/A2      |  |              | 288.0   |       |  |  | 12.3  |  
|BBB/Baa2  |  |              | 117.1   |       |  |  | 5.0   |  
|BB        |  |              | 10.0    |       |  |  | 0.4   |  
|Not rated |  |              | 1.6     |       |  |  | 0.1   |  
|          |  |              |         |       |  |  |       |  
|Total     |  | $            | 2,331.4 |       |  |  | 100.0 | %
|          |  |              |         |       |  |  |       |  

The table below presents the composition of our fixed income securities
portfolio based on carrying value by scheduled maturity as of December 31,
2001.

|                                      |       |   |              |         |       |  |      |       |  
|------------------------------------- | ----- | - | ------------ | ------- | ----- |  | ---- | ----- | -
|                                      |       |   | As of       
|                                      |       |   | December 31,
|                                      |       |   | 2001        
|                                      |       |   |             
|                                      |       |   | $            |         | % of 
|                                      |       |   | millions     |         | Total
|                                      |       |   |              |         |      
|Due after one year through five years |       | $ | 691.5        |         |       |  | 29.7 | %    
|Due after five years through 10 years |       |   | 585.7        |         |       |  | 25.1 |      
|Due after 10 years                    |       |   | 313.7        |         |       |  | 13.4 |      
|Mortgage and asset backed securities  |       |   | 740.5        |         |       |  | 31.8 |      
|                                      |       |   |              |         |       |  |      |      
|                                      | Total |   | $            | 2,331.4 |       |  |      | 100.0 | %
|                                      |       |   |              |         |       |  |      |      

Equity Securities

As of December 31, 2001, our equity securities portfolio had a carrying
value of $701.4 million. This represents an increase in carrying value of
$90.4 million, or 14.8%, from December 31, 2000. This increase is primarily
due to an investment in PSP Swiss Property AG. As of December 31, 2001, equity
securities comprised approximately 14.3% of our investment portfolio.

Substantially all of our equity portfolio consists of listed securities.
We seek to diversify our equity portfolio so as to provide a broad exposure
across major sectors of individual stock markets. The majority of our equity
portfolio is in developed markets with limited exposure to emerging markets.
The equity markets around the world can produce highly volatile and
significantly varied results due to local and worldwide economic and political
conditions.

Our guidelines also restrict our maximum investment in any one equity
security or industry sector by reference to local benchmarks and applicable
insurance regulations. As of December 31, 2001, no single equity security
represented more than 10% of our equity securities portfolio.

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Funds Withheld Asset/Zurich Financing Agreement

Prior to the Formation Transactions, Converium Zurich did not have a
separate investment portfolio. Instead, its cash flows were managed by Zurich
Financial Services pursuant to an agreement, which we refer to as the Zurich
Financing Agreement. The Zurich Financing Agreement provided for interest
based on a formula designed to reflect a total return on a diverse investment
portfolio weighted approximately 75% to bond indices and 25% to equity indices.
Accordingly, during most of 2000, Converium Zurichs investment income
reflected the overall poor performance of the stock markets for its equity
component and generally declining interest rates for its fixed income
component.

The transfer of Converium Zurichs business to Converium was effective as
of July 1, 2001 by means of the Quota Share Retrocession Agreement. In
addition, on that date, the Zurich Financing Agreement was cancelled and the
Funds Withheld Asset was established. For a description of the Funds Withheld
Asset and Quota Share Retrocession Agreement, see Item 10.  C. Material
Contracts  Acquisition of the Converium Zurich Business  Quota Share
Retrocession Agreement. Its initial balance was $1.3 billion, which was set
to match the net balance of the liabilities, less the premium receivables
(including outstanding collectible balances and reinsurance deposits), on the
business to which the Quota Share Retrocession Agreement applies.

The Funds Withheld Asset is increased by premiums (less premium refunds),
salvage and subrogation, recoveries under retrocession agreements, profit
commissions and other amounts received for the business subject to the Quota
Share Retrocession Agreement, and is reduced by paid claims, profit
commissions, amounts paid to maintain the retrocession agreements and other
amounts paid on the business subject to the Quota Share Retrocession Agreement.
The balance of the Funds Withheld Asset will decrease over time. We expect
that the balance of the Funds Withheld Asset will have decreased by at least
half within three years. However, business historically written on the ZIC and
Zurich Insurance Bermuda (ZIB) balance sheets will be renewed and written on
the Converium balance sheet. As a result, we will generate invested assets
from the new and renewal business written on the Converium balance sheet which
we expect to at least partially offset reductions of the balance of the Funds
Withheld Asset.

As of December 31, 2001, the Funds Withheld Asset was $1.6 billion. There
was an increase of $0.3 million for 2001 which was substantially due to
premium receipts.

Under the Quota Share Retrocession Agreement, the interest payable to
Converium Switzerland on the Funds Withheld Asset is based on fixed interest
rates tied to each of our major functional currencies. These interest rates
were calculated as if the assets had been invested in fixed income securities
denominated in the functional currencies payable on the Funds Withheld Asset as
of July 1, 2001 and reflected the estimated duration of the underlying
reinsurance liabilities as of that date. During 2001, the weighted average
interest rate based on the currency mix on the Funds Withheld Asset was 5.4%
and at December 31, 2001, the weighted average interest rate was 5.3%.
Interest payable on the Funds Withheld Asset is paid in cash, not credited to
the Funds Withheld Asset.

Interest on the Funds Withheld Asset is payable quarterly in the
currencies of the assets held and the amount of interest payable will vary due
to changes in the currency mix of the Funds Withheld Asset and changes in
foreign exchange rates. Among other things, this structure is designed to
reduce our exposure to foreign currency movement.

Under the Quota Share Retrocession Agreement, the Funds Withheld Asset may
be prepaid to us in whole or in part as of the end of any calendar quarter. In
the event that the Funds Withheld Asset is prepaid, we would have to reinvest
these assets in investments which may not provide yields comparable to those
under the Quota Share Retrocession Agreement. To the extent we are not able to
invest these funds at comparable yields, our investment income could be
adversely affected.

As a result of the amendment of the Zurich Financing Agreement on January
1, 2001 and its subsequent cancellation on July 1, 2001, and the establishment
of the Funds Withheld Asset, we expect our investment results to differ from
those we reported before. In particular, we believe that the bond yield
basis by which interest on the Funds Withheld Asset is calculated, the
elimination of the 25% equity component and our ability to invest our new
capital and assets arising from future business will reduce the volatility of
our investment earnings as compared with the total return basis of calculating
income under the Zurich Financing Agreement. For example, if we had obtained
the 5.4% weighted average interest rate reflecting the initial currency
composition of the Funds Withheld Assets, on the average of the beginning and
ending balance under the Zurich Financing Agreement in 2000, our investment
income in 2000 on a pre-tax basis would have been approximately $30 million
higher. In addition, as the balance of the Funds Withheld Asset declines, we
believe that our

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investment results may improve as a result of our ability to
manage our investments in response to changing market conditions and on a more
diverse basis. However, we cannot assure you that we will experience improved
investment results in the future, or that these results will contribute
materially to our results of operations.

Short-Term Investments

As of December 31, 2001, our investment portfolio included short-term
investments with a carrying value of $89.5 million. These investments
represented 1.8% of our total investment portfolio. Our short-term investment
portfolio includes investments in fixed-term deposits and fiduciary
investments. These investments generally have maturities of between three
months and one year. As of December 31, 2001, none of our short-term
investments portfolio is restricted as to its use.

Other Investments

As part of our overall investment strategy, we make investments that are
generally referred to as alternative investments, principally private equity
funds. For this purpose, we use the term private equity funds to refer to
passive, structured investments, generally in the legal form of limited
partnerships, managed by third party investment managers. Such investments
include Insurance Partners, L.P. and Capital Z Financial Services Fund II, L.P.

Our exposure to private equity fund investments as of December 31, 2001
was approximately $70.0 million. This figure represents the sum of the fair
market value of invested capital and remaining unpaid commitments. Of this
total, the value of remaining unpaid commitments was approximately $15.3
million.

Real Estate

In late 2001, Converium acquired approximately $139.4 million of
residential and commercial rental properties from subsidiaries of Zurich
Financial Services. As of December 31, 2001, we had $143.3 million of
investments in real estate, most of which were located in Switzerland, and our
real estate portfolio represented 2.9% of our total investment portfolio.

Reinsurance Assets

Retrocession agreements do not relieve us from our obligations to the
reinsureds from whom we assume business. Accordingly, we are exposed to the
credit risk of our retrocessionaires. We hold substantial collateral as
security under retrocessional agreements in the form of deposits, securities
and/or letters of credit. As of December 31, 2001, we had reinsurance
recoverables from retrocessionaires of approximately $1.7 billion on paid and
unpaid losses and loss adjustment expenses and unearned premium reserve
balances, which includes recoverables totaling $362.9 million related to the
Unicover Occupational Accident Reinsurance Pool. On an individual basis, none
of the recoverables from these retrocessionaires exceeds 10% of equity.
Recoverables from subsidiaries of Zurich Financial Services total 11.7% of
equity at December 31, 2001. Recoverables from one other third-party
retrocessionaire were 16.5% of equity at December 31, 2001. Such
retrocessionaire is rated AA+ by Standard & Poors. There were no other
recoverables from any other retrocessionaire that exceeded 10% of equity at
December 31, 2001.

Capital Expenditures

In the three years ending December 31, 2001, we invested a total of $57.1
million in fixed assets. Most of these amounts were invested in equipment and
information technology, and were financed from our free cash flow. We
currently intend to continue to make capital investments at a similar pace and,
in particular, to further enhance our global intellectual informational
technology platforms.

Ratings

A.M. Best has rated Converium A (Excellent), Standard & Poors has rated
Converium A+ (Strong) and Moodys has rated Converium A1 (Good).

A.M. Best states that its A (Excellent) rating is assigned to those
companies which, in its opinion, have, on balance, achieved excellent financial
strength, operating performance and market profile when compared to the
standards established by

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A.M. Best and have demonstrated a strong ability to
meet their ongoing obligations to policyholders. The A (Excellent) rating is
the third highest of fifteen ratings assigned by A.M. Best, which range from
A++ (Superior) to F (In liquidation).

Standard & Poors A range (A+, A and A-) is the third highest of
four ratings ranges within what Standard & Poors considers the secure
category. An insurer rated A is believed by Standard & Poors to have strong
financial security characteristics, but to be somewhat more likely to be
affected by business conditions than are insurers with higher ratings. A plus
(+) or minus (-) shows relative standing in a rating category.

Moodys states that insurance companies rated A (Good) offer good
financial security. However, elements may be present which suggest a
susceptibility to impairment sometime in the future. Numeric modifiers are
used to refer to the ranking within the group, with 1 being the highest and 3
being the lowest, however, the financial strength of companies within a generic
rating symbol is broadly the same.

Other agencies may rate Converium or one or more of our subsidiaries on an
unsolicited basis.

Our A.M. Best, Standard & Poors and Moodys ratings are not designed to
be, and do not serve as, measures of protection or valuation offered to
investors and these claims-paying ratings should not be relied on with respect
to making an investment in our securities. A.M. Best, Standard & Poors and
Moodys review their ratings periodically and we cannot assure you that we will
maintain our current ratings in the future.

Regulation

General

The business of reinsurance is regulated in most countries, although the
degree and type of regulation varies significantly from one jurisdiction to
another. Reinsurers are generally subject to less direct regulation than
primary insurers in most countries. In Switzerland and Germany, we operate
under relatively less intensive regulatory regimes. Historically, neither
Swiss nor German regulations have materially restricted our business. However,
in the United States licensed reinsurers must comply with financial supervision
standards comparable to those governing primary insurers. Accordingly, our
U.S. subsidiaries are subject to extensive regulation under state statutes
which delegate regulatory, supervisory and administrative powers to state
insurance commissioners.

This regulation, which is described in more detail below, generally is
designed to protect policyholders rather than investors, and relates to such
matters as rate setting; limitations on dividends and transactions with
affiliates; solvency standards which must be met and maintained; the licensing
of insurers and their agents; the examination of the affairs of insurance
companies, which includes periodic market conduct examinations by the
regulatory authorities; annual and other reports, prepared on a statutory
accounting basis; establishment and maintenance of reserves for unearned
premiums and losses; and requirements regarding numerous other matters. U.S.
regulations accordingly have in the past materially affected our U.S. business
operations, although not, we believe, in a manner disproportionate to or
unusual in
our industry. We allocate considerable time and resources to comply with these
requirements, and could be adversely affected if a regulatory authority
believed we had failed to comply with applicable law or regulation.

We believe that Converium and all of its subsidiaries are in material
compliance with all applicable laws and regulations pertaining to their
business and operations. Set forth below is a summary of the material
reinsurance regulations applicable to us.

Switzerland

Converium Switzerland has received an operating license from the Swiss
Federal Ministry of Justice and Police (Eidgensossisches Justiz-und
Polizeidepartement)(the Swiss Ministry of Justice and Police). Converium
Switzerland is subject to continued supervision by the Federal Office for
Private Insurance (Bundesamt für Privatversicherungswesen)(the FOPI), an
administrative unit of the Swiss Ministry of Justice and Police, pursuant to
the Swiss Insurance Supervisory Act of June 23, 1978, as amended
(Versicherungsaufsichtsgesetz). The FOPI has supervisory authority as well as
the authority to make decisions to the extent that the Swiss Ministry of
Justice and Police is not explicitly designated by law.

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Unlike insurance business, which is strictly regulated in Switzerland,
regulation of reinsurance business is less intensive and most of the technical
rules for direct insurers are not applicable to the reinsurance business. The
supervision exercised by the FOPI is mainly indirect through the supervision of
direct insurance companies and the reinsurance arrangements which they have
established. Reinsurance companies from other countries which conduct only
reinsurance business in Switzerland from their foreign domicile are exempt from
supervision by the FOPI.

Under current regulations, Swiss insurance and reinsurance companies
cannot operate in any field other than reinsurance and insurance. This rule is
subject to exceptions, which are granted by the FOPI. Generally, these
exceptions apply if the nature and volume of the proposed non-insurance or
non-reinsurance business does not threaten the solvency of the company.
Investments in an entity operating outside the reinsurance or insurance field
are subject to supervisory authority approval if the investment represents more
than 20% (or 10% in the case of a life insurance business) of the share or
cooperative capital of the non-insurance entity or if the investment represents
more than 10% of the insurers or reinsurers shareholders equity. Approval
is granted if the investment does not threaten the solvency of the company.

The FOPI requires each reinsurance company to submit a business plan which
provides details about the calculation of its technical reserves and about its
retrocession policies, and information about the reinsurers solvency. The
FOPI initially examines documents relating to the companys solvency,
organization and management. If all legal requirements are met, an operating
license is granted by the Swiss Ministry of Justice and Police. Thereafter,
companies must submit an annual business report, including financial
statements, detailing information on all aspects of their business activities,
such as premium income, paid out benefits, reserves and profits.

United States

General U.S. State Supervision

Insurance and reinsurance regulation is enforced by the various state
insurance departments and the extent and nature of regulation varies from state
to state. Converium Reinsurance (North America) Inc. is a
Connecticut-domiciled reinsurer which is licensed, accredited or approved in
all 50 states, is an accredited reinsurer in the District of Columbia and is an
admitted reinsurer for the United States Treasury. Converium Insurance (North
America) Inc. is a New Jersey-domiciled insurer licensed in 49 states
(excluding only New Hampshire) and the District of Columbia (as a reinsurer).
In addition, some states consider an insurer to be commercially domiciled in
their states if the insurer writes insurance premiums that exceed certain
specified thresholds. As a commercially domiciled insurer, an insurer would
be subject to some of the requirements normally applicable only to insurers
domiciled in those states, including, in particular, certain requirements of
the insurance holding company laws. Converium Insurance (North America) Inc.
is currently commercially domiciled in California.

Insurance Holding Company
Regulation

We and our U.S. insurance and reinsurance subsidiaries are subject to
regulation under the insurance holding company laws of various states. The
insurance holding company laws and regulations vary from state to state, but
generally require insurers and reinsurers that are subsidiaries of insurance
holding companies to register and file with state regulatory authorities
certain reports including information concerning their capital structure,
ownership, financial condition and general business operations. Generally, all
transactions involving the insurers in a holding company system and their
affiliates must be fair and, if material, require prior notice and approval or
non-disapproval by the state insurance department. Further, state insurance
holding company laws typically place limitations on the amounts of dividends or
other distributions payable by insurers and reinsurers. Connecticut and New
Jersey, the jurisdictions in which Converium Reinsurance (North America) Inc.
and Converium Insurance (North America) Inc. are domiciled, each provide that,
unless the prior approval of the state insurance commissioner has been
obtained, dividends may be paid only from earned surplus and the annual amount
payable is limited to the greater of 10% of policyholder surplus at the end of
the prior year or 100% of statutory net income for the prior year (excluding
realized gains, in the case of the New Jersey insurer). In addition, Converium
Reinsurance (North America) Inc. may not, for a period of two years from the
date of any change of control, make any dividends to its shareholders without
the prior approval of the Insurance Commissioner.

State insurance holding company laws also require prior notice or state
insurance department approval of changes in control of an insurer or reinsurer
or its holding company. The insurance laws of Connecticut and New Jersey
provide that no corporation or other person may acquire control of a domestic
insurance or reinsurance company unless it has given notice to such company and
obtained prior written approval of the state insurance commissioner. Any
purchaser of 10% or more of the outstanding voting securities of an insurance
or reinsurance company or its holding company is presumed to have acquired

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control, unless this presumption is rebutted. Therefore, an investor who
intends to acquire 10% or more of our outstanding voting securities may need to
comply with these laws and would be required to file notices and reports with
the Connecticut and New Jersey insurance commissioners prior to such
acquisition.

In addition, many state insurance laws require prior notification to the
state insurance department of a change in control of a non-domiciliary
insurance company licensed to transact insurance in that state. While these
pre-notification statutes do not authorize the state insurance departments to
disapprove the change in control, they authorize regulatory action in the
affected state if particular conditions exist such as undue market
concentration. Any future transactions that would constitute a change in
control of Converium Holdings (North America) Inc. or either of its U.S.
insurance subsidiaries may require prior notification in the states that have
adopted pre-acquisition notification laws.

Insurance Regulation

Converium Insurance (North America) Inc. is subject to broad state
insurance department administrative powers with respect to all aspects of the
insurance business including: licensing to transact business, licensing agents,
admittance of assets to statutory surplus, regulating premium rates, approving
policy forms, regulating unfair trade and claims practices, methods of
accounting, establishing reserve requirements and solvency standards, and
regulating the type, amounts and valuations of investments permitted and other
matters.

State insurance laws and regulations require our U.S. insurance and
reinsurance subsidiaries to file financial statements with insurance
departments everywhere they do business, and the operations of our U.S.
insurance and reinsurance subsidiaries and accounts are subject to the
examination by those departments at any time. Our U.S. insurance and
reinsurance subsidiaries prepare statutory financial statements in accordance
with accounting practices and procedures prescribed or permitted by these
departments.

State insurance departments conduct periodic examinations of the books and
records, financial reporting, policy filings and market conduct of insurance
companies domiciled in their states, generally once
every three to five years. Examinations are generally carried out in
cooperation with the insurance departments of other states under guidelines
promulgated by the National Association of Insurance Commissioners, or the
NAIC. The Connecticut Department of Insurance last completed a financial
examination of Converium Reinsurance (North America) Inc. for the four-year
period ending December 31, 1997. The New Jersey Department of Banking and
Insurance last completed a financial examination of Converium Insurance (North
America) Inc. for the five-year period ending December 31, 1995 and is
currently conducting a financial examination for the five-year period ending
December 31, 2000. In each completed examination, the state insurance
department found no material deficiencies.

Reinsurance Regulation

Converium Reinsurance (North America) Inc. is subject to insurance
regulation and supervision that is similar to the regulation of licensed
primary insurers in many respects. Generally, state regulatory authorities
monitor compliance with, and periodically conduct examinations regarding, state
mandated standards of solvency, licensing requirements, investment limitations,
restrictions on the size of risks which may be reinsured, deposits of
securities for the benefit of reinsureds, methods of accounting, and reserves
for unearned premiums, losses and other purposes. However, in contrast with
primary insurance policies which are regulated as to rate, form, and content,
the terms and conditions of reinsurance agreements generally are not subject to
regulation by state insurance regulators.

Converium Reinsurance (North America) Inc. is accredited or approved to
write reinsurance in certain states. The ability of any primary insurer, as
reinsured, to take credit for the reinsurance placed with reinsurers is a
significant component of reinsurance regulation. Typically, a primary insurer
will only enter into a reinsurance agreement if it can obtain credit on its
statutory financial statements for the reinsurance ceded to the reinsurer.
Credit is usually granted when the reinsurer is licensed or accredited in the
state where the primary insurer is domiciled. In addition, many states allow
credit for reinsurance ceded to a reinsurer that is licensed in another state
and which meets certain financial requirements, or if the primary insurer is
provided with collateral to secure the reinsurers obligations.

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U.S. Reinsurance Regulation of our Non-U.S. Reinsurance Subsidiaries

Converium Switzerland and Converium Germany, our non-U.S. reinsurance
subsidiaries, also assume reinsurance from primary U.S. insurers. In order for
primary U.S. insurers to obtain financial statement credit for the reinsurance
obligations of our non-U.S. reinsurers, our non-U.S. reinsurers must satisfy
reinsurance requirements. Non-U.S. reinsurers that are not licensed in a state
generally may become accredited by filing certain financial information with
the relevant state commissioner and maintaining a U.S. trust fund for the
payment of valid reinsurance claims in an amount equal to the reinsurers U.S.
reinsurance liabilities covered by the trust plus an additional $20 million.
In addition, unlicensed and unaccredited reinsurers may secure the U.S. primary
insurer with funds equal to its reinsurance obligations in the form of cash,
securities, letters of credit or reinsurance trusts.

NAIC Ratios

The NAIC has developed a set of financial relationships or tests known as
the NAIC Insurance Regulatory Information System to assist state regulators in
monitoring the financial condition of insurance companies and identifying
companies that require special attention or action by insurance regulatory
authorities. A second set of confidential ratios, called Financial Analysis
Solvency Tracking System, FAST, are also used for monitoring. Insurance
companies generally submit data quarterly to the NAIC, which in turn analyzes
the data using prescribed financial data ratios, each with defined usual
ranges. If an insurance companys results vary significantly from expected
ranges, regulators may make further inquiries. Regulators have the authority
to impose remedies ranging from increased monitoring to certain business
limitations to various degrees of supervision. Neither our U.S. insurance nor
our reinsurance subsidiary are currently subject to increased regulatory
scrutiny based on these ratios.

Risk-Based Capital

The Risk-Based Capital for Insurers Model Act, or the Model Act, as it
applies to non-life insurers and reinsurers, was adopted by the NAIC in 1993.
The main purpose of the Model Act is to provide a tool for insurance regulators
to evaluate the capital of insurers relative to the risks assumed by them and
determine whether there is a need for possible corrective action. U.S.
insurers and reinsurers are required to report the results of their risk-based
capital calculations as part of the statutory annual statements filed with
state insurance regulatory authorities. The Model Act provides for four
different levels of regulatory actions based on annual statements, each of
which may be triggered if an insurers Total Adjusted Capital, as defined in
the Model Act, is less than a corresponding level of risk-based capital
(RBC).

The Company Action Level is triggered if an insurers Total Adjusted
Capital is less than 200% of its Authorized Control Level RBC, as defined in
the Model Act. At the Company Action Level, the insurer must submit a RBC plan
to the regulatory authority that discusses proposed corrective actions to
improve its capital position. The Regulatory Action Level is triggered if an
insurers Total Adjusted Capital is less than 150% of its Authorized Control
Level RBC. At the Regulatory Action Level, the regulatory authority will
perform a special examination of the insurer and issue an order specifying
corrective actions that must be followed. The Authorized Control Level is
triggered if an insurers Total Adjusted Capital is less than 100% of its
Authorized Control Level RBC, and at that level the regulatory authority is
authorized (although not mandated) to take regulatory control of the insurer.
The Mandatory Control Level is triggered if an insurers Total Adjusted Capital
is less than 70% of its Authorized Control Level RBC, and at that level the
regulatory authority must take regulatory control of the insurer. Regulatory
control may lead to rehabilitation or liquidation of an insurer. As of
December 31, 2001, the Total Adjusted Capital of each of our U.S. reinsurance
subsidiary and our U.S. insurance subsidiary exceeded applicable minimum RBC
levels.

The Gramm-Leach-Bliley Act

In November 1999, the Gramm-Leach-Bliley Act of 1999, or the GLBA, was
enacted, implementing fundamental changes in the regulation of the financial
services industry in the United States. The GLBA permits the transformation of
the already converging banking, insurance and securities industries by
permitting mergers that combine commercial banks, insurers and securities firms
under one holding company, a financial holding company. Bank holding
companies and other entities that qualify and elect to be treated as financial
holding companies may engage in activities, and acquire companies engaged in
activities that are financial in nature or incidental or complementary to
such financial activities. Such financial activities include acting as
principal, agent or broker in the underwriting and sale of life, property,
casualty and other forms of insurance and annuities. However, although a bank
cannot act as an insurer nor can it own an insurer as a subsidiary in most

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circumstances, a financial holding company can own any kind of insurer,
insurance broker or agent. Under the GLBA, national banks retain their
existing ability to sell insurance products in some circumstances.

Under state law, the financial holding company must apply to the insurance
commissioner in the insurers state of domicile for prior approval of the
acquisition of the insurer. Under the GLBA, no state may prevent or restrict
affiliations between banks and insurers, insurance agents or brokers. Further,
states cannot prevent or significantly interfere with bank or bank subsidiary
sales activities. Finally, both bank and bank affiliates can obtain licenses
as producers.

Until the passage of the GLBA, the Glass-Steagall Act of 1933, as amended,
had limited the ability of banks to engage in securities-related businesses,
and the Bank Holding Company Act of 1956, as amended, had restricted banks from
being affiliated with insurers. With the passage of the GLBA, among other
things, bank holding companies may acquire insurers, and insurance holding
companies may acquire banks. The ability of banks to affiliate with insurers
may materially affect our U.S. insurance and reinsurance subsidiaries product
lines by substantially increasing the number, size and financial strength of
potential competitors.

Insurance Guaranty Association Assessments

Each state has insurance guaranty association laws under which property
and casualty insurers doing business in the state may be assessed by state
insurance guaranty associations for certain obligations of
insolvent insurance companies to policyholders and claimants. These laws do
not apply to reinsurers. Typically, states assess each member insurer in an
amount related to the member insurers proportionate share of the business
written by all member insurers in the state. While we cannot predict the
amount and timing of any future assessments on our insurance companies under
these laws, we have established reserves that we believe are adequate for
assessments relating to insurance companies that are currently subject to
insolvency proceedings.

Losses caused by the September 11th terrorist attacks may result in the
insolvency of certain U.S. insurance companies, increasing the possibility that
we will be assessed by state insurance guaranty associations.

Possible Initiatives Relating to the September 11th Events

The terrorist attacks in the United States on September 11, 2001 are
expected to result in significant losses for the insurance industry.
Congressional committees have held hearings concerning the effects of these
losses on the industry. Various state insurance commissioners have also met to
discuss these issues. U.S. insurance associations, Congressional leaders and
Administration officials have been working on proposals for U.S. Federal
programs to provide insurance or reinsurance coverage for terrorism and/or war
risks. In addition, state legislators in at least one state have stated they
intend to introduce legislation that would restrict insurers ability to
exclude or limit coverage for war or terrorism risks.

We cannot predict what other proposals may be made in connection with or
as a result of the September 11th terrorist attacks, what legislation, if any,
may be introduced or enacted or what effect any such legislation may have on
us.

Germany

Converium Germany is regulated in Germany and is engaged exclusively in
the reinsurance business. It is thus an insurance enterprise within the
meaning of the German Insurance Supervision Act and as such is subject to
governmental supervision. This supervision is exercised by the Federal
Insurance Supervisory Office located in Bonn.

In contrast to insurance enterprises, companies that engage exclusively in
reinsurance activities are subject to a narrower scope of governmental
supervision. The supervisory authoritys monitoring of reinsurers consists of
ensuring that they comply with the specific accounting regulations applicable
to insurance enterprises. For this purpose, reinsurance enterprises are
required to submit quarterly and annual financial statements to the supervisory
authority.

In addition, reinsurers are obligated to submit detailed reports on the
nature and volume of their business to the supervisory authority in accordance
with the Ordinance on Reporting by Insurance Enterprises to the Federal
Insurance Supervisory Office.

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The supervisory authority may, at its discretion, perform inspections at
the reinsurers premises to verify compliance with these statutory obligations.

In current practice, for the most part German reinsurers are only
indirectly supervised, principally through the supervision of primary insurance
companies. Exploration of subjecting German reinsurance companies to a more
extensive form of regulation and supervision has not progressed very far to
date. However, German reinsurance companies may become subject to more intense
regulation in the future. In particular, the Federal Insurance Supervisory
Office requires German insurance companies to monitor their reinsurance
agreements, which has led to the installation of internal rating systems for
reinsurers by German insurance companies.

European Union Directives

Our businesses in the United Kingdom and Germany, as well as in the other
member states of the European Union, or EU, and the European Economic Area, or
EEA, are impacted by EU directives. These directives are implemented through
legislation in each member state. Switzerland, which is not a member state of
the EU, entered into a treaty with the EU in 1989 which allows Swiss direct
insurers, other than life insurers, the free establishment of branches and
subsidiaries within the EU. Without being part of the EEA nor being bound by
contract, Switzerland reviews and largely conforms its financial services
regulations with EU Directives.

C.     ORGANIZATIONAL STRUCTURE

We are a multinational group of companies with insurance subsidiaries and
other companies organized in jurisdictions worldwide. Our significant
subsidiaries are Converium AG, Converium Holdings (North America) Inc., which
holds our subsidiaries Converium Reinsurance (North America) Inc. and Converium
Insurance (North America) Inc., and Converium Rückversicherung (Deutschland)
AG. Converium owns, directly or indirectly, 100% of all of our operating
companies, except for Converium Rückversicherung (Deutschland) AG of which we
own 98.6% of the outstanding shares. Third party investors own the balance of
the ordinary shares, which are listed on the Düsseldorf stock exchange
(Rheinisch-Westfälische Börse zu Düsseldorf).

The following chart summarizes our corporate structure.

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chart



|(1) |  | The balance of the equity in Converium Rückversicherung (Deutschland) AG is
held by public shareholders.                                                                                                                              
|--- |  | --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|   
|(2) |  | The balance of the equity in HVAG is held by a group of
individuals; the balance of the equity in SATEC is held by its
management; and the balance of the equity in MDU Services is held
by The Medical Defence Union Limited, London.
|   
|(3) |  | SATEC S.R.L.; San Marco 2887, 30124 Venice, Italy; underwriting
agency.                                                                                                                                                               
|   
|(4) |  | MDU Services Ltd.; 230 Blackfriars Road, London, SEI 8PJ, UK; insurance
agency and management services.                                                                                                                               

D.     PROPERTY, PLANTS AND EQUIPMENT

Our operational head office is located at General Guisan  Quai 26, 8002
Zurich, Switzerland, where we lease an aggregate of 227,226 square feet. We
also maintain offices at:



| |  |  | our U.S. headquarters in New York, New York, at One Chase Manhattan
Plaza, New York, NY 10005 where we sublease an aggregate of 77,013
square feet and
| | - |  | ------------------------------------------------------------------------------------------------------------------------------------------------------
|
| |  |  | our German headquarters in Cologne, Germany, at Clever Strasse 36,
50668 Köln, Germany where we lease an aggregate of 44,918 square feet              

In addition to our headquarter offices, we lease space for our branch and
marketing offices. In addition, we have administrative offices in Stamford,
Connecticut. We believe that these facilities are adequate for our present
needs in all material respects. We also hold other properties for investment
purposes.

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ITEM 5. OPERATING AND FINANCIAL REVIEW AND PROSPECTS

A.     OPERATING RESULTS

You should read the following discussion and analysis in conjunction with
our consolidated financial statements including the related notes to those
financial statements. Our consolidated financial statements have been prepared
in accordance with U.S. GAAP. This discussion contains forward-looking
statements that involve risks and uncertainties. Our actual results may differ
materially from the results described or implied by these forward-looking
statements. You should read the information under Risk Factors on page 3 of
this annual report for information about material risks and uncertainties that
affect our business and Cautionary Note Regarding Forward-Looking Statements
on page ii for information about our presentation of forward-looking
information.

Overview

Converium is a leading global professional reinsurer, which offers a full
range of traditional non-life and life reinsurance products as well as
innovative non-traditional solutions to help clients manage capital and risk.
Our principal lines of non-life reinsurance include liability, property,
motor, credit and surety, workers compensation, aviation and space, accident
and health, marine, engineering and other specialized lines. The principal
life reinsurance product is ordinary life reinsurance.

Converium was formed through the restructuring and integration of
substantially all of the third party assumed reinsurance business of Zurich
Financial Services formerly operated under the Zurich Re brand name. On
December 1, 2001, Converium entered into an agreement with Zurich Financial
Services, referred to as the Master Agreement, which sets forth the terms of
our separation from Zurich Financial Services. On December 11, 2001, Zurich
Financial Services sold 87.5% of its interest in Converium to the public in a
global offering, representing our legal separation from Zurich Financial
Services. Subsequently, on January 9, 2002, Zurich Financial Services sold to
the public its remaining 12.5% interest in Converium as a result of the
underwriters exercise of their over-allotment option, which sales resulted in
the public owning 100% of our shares. See Item 4.  Information on the
Company  A. History and Development of the Company.

Subsequent to these Formation Transactions, Converium has operated as an
independent company. However, under the Master Agreement, Converium has
several ongoing business relationships with Zurich Financial Services. See
Item 10.  Additional Information  C. Material Contracts and the notes to
the consolidated financial statements.

Based on calendar year 2000 third party net premiums written, Converium
ranks among the ten largest global professional reinsurers. Converium is rated
A (Excellent) by A.M. Best Company, Inc., A+ (Strong) by Standard & Poors
Corporation and A1 (Good) by Moodys Investors Service, Inc.

We organize our business and allocate our capital and other resources
through four operating segments:



| |  |  | Converium Zurich  Non-Life reinsurance       
| | - |  | ----------------------------------------------
|
| |  |  | Converium North America  Non-Life reinsurance
|
| |  |  | Converium Cologne  Non-Life reinsurance      
|
| |  |  | Converium Life  Life reinsurance             

We prepare segregated financial information for each of our operating
segments. In the future, we plan to continue conducting our business and
measuring our financial and operating performance based on these segments.

We derive our revenues principally from:



| |  |  | 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
|
| |  |  | interest on premium and loss deposits withheld by our clients                                           

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Our costs and expenses principally consist of:



| |  |  | losses and loss adjustment expenses, which include:
| | - |  | ---------------------------------------------------



| |                                                                                   
| | ----------------------------------------------------------------------------------
| |           
non-life reinsurance and insurance losses and loss adjustment expenses
|
| |           
death and other life reinsurance benefits                             



| |  |  | operating and administration costs, which include:
| | - |  | --------------------------------------------------



| |                                                                                                           
| | ----------------------------------------------------------------------------------------------------------
| |           
treaty and individual risk underwriting acquisition costs, commonly referred to as commissions
|
| |           
overhead costs, predominantly consisting of salaries and related costs                        
|
| |           
interest expenses                                                                             
|
| |           
income taxes                                                                                  

Our profitability depends to a large extent on:



| |  |  | 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                       
|
| |  |  | our ability to efficiently and effectively manage risk, including retrocessions

When reviewing our financial statements, there are certain business
characteristics that affect the reporting of our results. The most significant
factors are set forth below.

Formation Transactions and Consolidated Financial Statements

We prepare our financial statements on a U.S. GAAP basis. For periods
prior to December 11, 2001, we derived the financial information in this annual
report from the historical financial statements of Zurich Financial Services.
These statements present the financial condition, results of operations and
cash flows of the businesses which, prior to the Formation Transactions, were
owned by Zurich Financial Services and now comprise Converium. The Formation
Transactions included the:



| |  |  | creation of Converium Holding AG, based in Zug, Switzerland, as a separate legal entity                                                                                                                                                                                                     
| | - |  | --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|
| |  |  | reinsurance by Converium Switzerland under the Quota Share Retrocession Agreement described below of
substantially all of the third party reinsurance business historically underwritten under the Zurich Re
brand name by the Zurich Re Zurich business unit of Zurich Financial Services
|
| |  |  | establishment of the Funds Withheld Asset contemplated by the Quota Share Retrocession Agreement in
conjunction with the cancellation of the Zurich Financing Agreement                                                                                                                     
|
| |  |  | transfer by Zurich Financial Services and its subsidiaries of cash and other assets and liabilities to
Converium                                                                                                                                                                            

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The assets transferred to us included:



| |  |  | approximately $70 million in shares in PSP Swiss Property Ltd., Zug, a company listed on the SWX Swiss
Exchange               
| | - |  | ------------------------------------------------------------------------------------------------------------------------------
|
| |  |  | approximately $50 million in units of Zurich Invest Aktien Euroland, an investment fund quoted on the
Frankfurt Stock Exchange
|
| |  |  | approximately $5 million in shares in Private Equity Holding Ltd., Zug, a company listed on the SWX Swiss
Exchange            
|
| |  |  | the shareholders equity of the legal entities comprising our operating businesses                                            
|
| |  |  | the operating assets of the Converium Zurich business                                                                         

The balance of the assets transferred to us consists of cash, of which
approximately $135 million was used by Converium Switzerland to acquire
residential and commercial rental properties located in Switzerland from
subsidiaries of Zurich Financial Services.

Our financial results reflect the effects of the intercompany financing
agreement between Converium Switzerland and an affiliate of Zurich Financial
Services, which we refer to as the Zurich Financing Agreement. This agreement
was established to help measure the profitability and cash flows of the
reinsurance operations of Zurich Insurance Company, or ZIC, and historically
accounted for substantially all of the investment returns of the Zurich Re
Zurich business unit of Zurich Financial Services. As a consequence of the
Formation Transactions, this agreement was cancelled, effective July 1, 2001.

Accordingly, our financial statements may not necessarily reflect the
results that Converium would have achieved on a stand-alone basis, mainly
because of different investment results. See  Investment Results for a
discussion of the impact on our investment results of the cancellation of the
Zurich Financing Agreement, the establishment of the Funds Withheld Asset
contemplated by the Quota Share Retrocession Agreement, and the related capital
contribution to Converium Switzerland by Zurich Financial Services and its
subsidiaries.

The following is a description of certain transactions that have been
entered into by Converium and Zurich Financial Services and their respective
subsidiaries to establish Converium as a stand-alone legal entity.

Converium Zurich.Historically, Converium Zurich was not a separate legal
entity and underwrote substantially all of its business pursuant to reinsurance
policies issued by ZIC and Zurich International (Bermuda) Limited, or ZIB, both
subsidiaries of Zurich Financial Services, and was operated as the Zurich Re
Zurich business unit of Zurich Financial Services. These insurance
subsidiaries were retained by Zurich Financial Services. In June 2001, we
incorporated Converium AG, based in Zurich, which is a wholly owned subsidiary
of Converium Holding AG and is referred to as Converium Switzerland. Since
October 1, 2001, Converium Zurich has written its new and renewal business on
the balance sheet of the new legal entity. The
third party reinsurance business written by ZIC and ZIB under the Zurich Re
brand name with an inception date on or after January 1, 1987 was reinsured by
Converium Zurich pursuant to the Quota Share Retrocession Agreement. See Item
10.  Additional Information  C. Material Contracts  Acquisition of the
Converium Zurich Business  Quota Share Retrocession Agreement for a
description of this agreement. This business is reflected in our financial
statements as if it had been written by Converium Zurich from the date of
inception of the business.

The transfer of the Converium Zurich business was accomplished pursuant to
the Quota Share Retrocession Agreement, on a funds withheld basis. This means
that Converium Zurich assumed all the liabilities (except certain liabilities
arising from the September 11th terrorist attacks), primarily consisting of
loss and loss adjustment expense reserves plus unearned premium balances,
relating to the business. ZIC and ZIB retained the assets which support this
business, and Converium Zurich receives an investment return derived from these
assets in the form of interest. In this annual report, we refer to the assets
retained by ZIC and ZIB as the Funds Withheld Asset. See  Investment
Results and Item 4.  Information on the Company  B. Business Overview -
Investments. Under the Quota Share Retrocession Agreement, ZIC and ZIB remain
the legal counter-parties for the original insureds and Converium Zurich
reinsures ZIC and ZIB. Converium Zurich retains the profits and losses from
this business.

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Converium Zurich has financial risks relating to the gross loss and loss
adjustment expense reserves and related third party reinsurance recoverables
arising out of the business reinsured under the Quota Share Retrocession
Agreement. We manage all third party retrocessions related to the reinsured
business and bear the credit risk for uncollectible reinsurance balances (with
the exception of reinsurance for September 11th events). Additionally, we
have a right of offset under the Quota Share Retrocession Agreement so that
reinsurance balances owed to ZIC and ZIB may be offset against the Funds
Withheld Asset directly. The Quota Share Retrocession Agreement provides that
ZIC and ZIB may not, during its term, cancel these existing third party
retrocessions for the benefit of the reinsurance policies covered under the
agreement without the consent of Converium.

Under the Quota Share Retrocession Agreement, the interest payable to
Converium Switzerland on the Funds Withheld Asset is based on fixed interest
rates tied to each of our major functional currencies. These interest rates
were calculated as if the assets had been invested in fixed income securities
denominated in the functional currencies as of July 1, 2001 and reflect the
estimated duration of the underlying reinsurance liabilities as of that date.
Interest on the Funds Withheld Asset is payable quarterly in the currencies of
the assets held and the amount of interest payable will vary due to changes in
the currency mix of the Funds Withheld Asset and changes in foreign exchange
rates. Among other things, this structure is designed to reduce our exposure
to foreign currency movements.

Converium North America.In North America, our business is conducted
through the legal entities Converium Reinsurance (North America) Inc. and
Converium Insurance (North America) Inc., which are held through Converium
Holdings (North America) Inc. Converium Reinsurance (North America) Inc. and
Converium Insurance (North America) Inc. have historically been known as Zurich
Reinsurance (North America), Inc., and ZC Insurance Company, respectively.
Converium Holdings (North America) Inc. is a newly created Delaware holding
company established to own our North American reinsurance and insurance
operations.

Historically, a number of Zurich Financial Services business units wrote
business not managed by us on the Converium Reinsurance (North America) Inc.
balance sheets. These units included Zurich Financial Services internal
reinsurance division, referred to as GRI, and the Centre Group of companies,
referred to as Centre Group. As part of the Formation Transactions, the
business underwritten by GRI and Centre Group has been either novated or
retroceded to affiliates of Zurich Financial Services pursuant to certain
reinsurance and novation agreements. See Item 10.  Additional Information -
C. Material Contracts. for a description of this agreement. Our financial
statements reflect the business that remains the financial responsibility of
Converium North America and exclude novated business from all periods
presented. The business that will be retroceded is reported as 100% ceded for
all periods presented. Converium North America will only have financial
responsibility for the retroceded business if these affiliates of Zurich
Financial Services do not meet
their reinsurance obligations. However, this risk is mitigated by the fact
that we hold reinsurance deposits to collateralize the retroceded liabilities.

Converium Cologne and Converium Life.Converium Cologne and Converium
Life conduct their business through Converium Rückversicherung (Deutschland)
AG, which we refer to as Converium Germany. Converium Germany was historically
known as Zürich Rückversicherung (Köln) AG, or ZRK. Historically, Zurich Re
Zurich, ZIC and GRI all wrote reinsurance business through policies issued by
Converium Germany. As part of the Formation Transactions, business not managed
by us but written on policies issued by Converium Germany was novated, commuted
or retroceded to affiliates of Zurich Financial Services or third parties. Our
financial statements reflect the business that remains the financial
responsibility of Converium Cologne and exclude novated and commuted business
from all periods presented.

Critical Accounting Policies

The accounting policies for premiums and non-life loss and loss adjustment
expense reserves described more fully below are those we consider critical in
preparing our financial statements. These policies include
significant estimates made by management using information available at the
time the estimates are made. However, as described below, these estimates
could change materially if different information or assumptions were used. The
descriptions below are summarized and have been simplified for clarity. A more
detailed description of these and other significant accounting policies used by
us in preparing our financial statements is included in the Notes to the
Consolidated and Historical Combined Financial Statements.

Premiums

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When we underwrite business, we receive premiums for assuming the risk.
When our client is an insurance company, we classify this as assumed premiums
written, and when our client is not an insurance company, we classify it as
direct premiums written. When combined, assumed premiums and direct premiums
are referred to as gross premiums. Should we choose to purchase reinsurance
protection for the business that we underwrite, then the premiums paid to the
retrocessionaire for the protection are recorded as ceded premiums written.
The amount represented by gross premiums written less ceded premiums written is
referred to as net premiums written.

Premiums written during one reporting period do not necessarily represent
the risks actually carried during that period. In a typical reporting period
we generally earn a portion of the premiums written during that period together
with premiums which were written during earlier periods. Likewise, some part
of our premiums written will not be earned until future periods. We allocate
premiums written but not yet earned to an unearned premium reserve, which
represents a liability on our balance sheet. As time passes, the unearned
premium reserve is gradually reduced and the corresponding amount is released
through the income statement as premiums earned. Premiums are typically earned
on a pro rata basis over the period that the coverage is in effect. Our
premium earned and written estimates are regularly reviewed and enhanced as
information is reported to us by our clients and we are able to refine our
estimates and assumptions. Our estimation procedures are also affected by the
timeliness and comprehensiveness of the information our clients provide to us.

We write a wide range of different types of insurance and reinsurance
policies, some of which are earned during periods shorter than one reporting
period, while some are earned during substantially longer periods. This mix of
business can change significantly from one period to the next and these changes
can cause the relationship between written and earned premiums to differ,
perhaps significantly, on a year-to-year basis. In our analysis of trends, we
relate the change in premiums earned to the change in premiums written.
Typically, differences in the percentage growth or decline between premiums
written and earned mainly reflect differences in our mix of business from year
to year.

Non-Life Loss and Loss Adjustment Reserves

We are required by applicable insurance laws and regulations as well as
U.S. GAAP to establish reserves for payment of losses and loss adjustment
expenses that arise from our non-life reinsurance and insurance businesses.
Loss and loss adjustment reserves are based on estimates of future payments to
settle claims, including legal and other expenses. We estimate our loss and
loss adjustment reserves on the basis of the facts available at the time the
loss and loss adjustment expense reserves are established and use actuarial
methodologies which are commonly used in our industry. Our estimates of losses
and loss adjustment expenses are subject to assumptions reflecting economic and
other factors such as inflation rates, changes in legislation, court rulings,
case law and prevailing concepts of liability, which can change over time. We
review and update our estimates and record changes to our loss and loss
adjustment reserves in current income. See Item 4  B. Business
Overview  Establishment of Loss
and Loss Adjustment Expense Reserves for a description of this process.

Our non-life losses and loss adjustment expenses include property
catastrophe incurred losses. For the year ended December 31, 1999, we had an
internal quota share facility in effect that allocated property catastrophe
premiums and loss experience on a contractual percentage basis among our three
non-life segments. Our accident year 1999 included material catastrophe
losses, which we define for this purpose as individual loss events that
resulted in $10.0 million or more of incurred losses to us. These losses
resulted from the 1999 European winter storms Anatol, Lothar and Martin and are
reflected in our results of operations for each of 2000 and 1999. These
European storm events occurred at the end of the fourth quarter of 1999.
Accordingly, loss estimates provided to us by our clients for the 1999 year-end
close were necessarily based on limited information. When more complete claim
information became available in 2000, we increased our estimated loss
liabilities to reflect the higher reported claims. The only natural
catastrophe event that impacted our financial results for 2001 was
the El Salvador earthquake totaling $14.2 million.

The table below presents these identified natural catastrophe losses in
2001, 2000 and 1999 by segment and year.

|                        |                                                    |   |            |      |      |   |                |      |  |   |      |      | 
|----------------------- | -------------------------------------------------- | - | ---------- | ---- | ---- | - | -------------- | ---- |  | - | ---- | ---- | 
|                        |                                                    |   | Year Ended
|                        |                                                    |   |            |      |      |   | December 31,   |      |  |   |     
|                        |                                                    |   |           
|                        |                                                    |   | 2001       |      | 2000 |   | 1999          
|                        |                                                    |   |            |      |      |   |               
|                        |                                                    |   |            |      |      |   | ($in millions) |      |  |   |     
|Converium Zurich        |                                                    | $ | 14.2       |      |      | $ | 8.1            |      |  | $ | 11.0 |     
|Converium North America |                                                    |   |           |      |      |   | 8.3            |      |  |   | 11.2 |     
|Converium Cologne       |                                                    |   |           |      |      |   | 3.2            |      |  |   | 4.3  |     
|                        |                                                    |   |            |      |      |   |                |      |  |   |      |     
|                        | Total losses incurred from identified catastrophes |   | $          | 14.2 |      |   | $              | 19.6 |  |   | $    | 26.5 | 
|                        |                                                    |   |            |      |      |   |                |      |  |   |      |     

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September 11th Events

The September 11th terrorist attacks in the United States represent the
largest loss event in the insurance industrys history. As of December 31,
2001, we recorded gross losses and loss adjustment expenses of $692.9 million
arising out of the terrorist attacks. Net of retrocessional recoveries and the
cap from Zurich Financial Services, our recorded losses and loss adjustment
expenses were $289.2 million, attributable primarily to our aviation and
property lines of business. The remainder of the losses were from our workers
compensation, life and third party liability lines of business. Our gross
estimates are subject to adjustment as more information becomes known and as
claims are received.

Zurich Financial Services, through its subsidiaries, has agreed to
arrangements that cap our net exposure for losses and loss adjustment expenses
arising out of the September 11th terrorist attacks at $289.2 million. As part
of these arrangements, these subsidiaries of Zurich Financial Services have
agreed to take responsibility for non-payment by the retrocessionaires of
Converium Zurich and Converium Cologne with regard to losses arising out of the
September 11th attacks in excess of the $289.2 million cap. While the cap does
not cover non-payment by the retrocessionaires of Converium North America, our
only retrocessionaire for this business is a unit of Zurich Financial Services.
Therefore, we are not exposed to potential non-payments by retrocessionaires
for these events in excess of the $289.2 million cap, although we will be
exposed to the risk of non-payment of Zurich Financial Services units and we
will be exposed to credit
risk from these subsidiaries of Zurich Financial Services. See Note 8 to our
financial statements and Item 10.  Additional Information  C. Material
Contracts  September 11th Coverage.

Enron Chapter 11 Reorganization

On December 2, 2001, Enron Corporation announced that it and certain of
its subsidiaries had filed voluntary petitions for Chapter 11 reorganization in
the United States. Converium recorded incurred losses of $67.0 million pre-tax
($48.0 million post-tax) for the year ended December 31, 2001, representing
Converiums aggregate limits under existing reinsurance contracts in connection
with Enron. These exposures resulted principally from credit and surety and,
to a lesser extent, liability lines of business in our Converium Zurich and
Converium North America operating segments.

These estimates reflect Converiums aggregate limits under the related
contracts. As of the date of this annual report, all of the facts and
circumstances relating to Enrons reorganization are not known. Accordingly,
the losses Converium may ultimately incur, and the timing of any loss payment,
will be affected by numerous factors including the actions of third parties,
possible judicial rulings and other contingencies.

Exchange Rate Fluctuations

In view of our global scale and the fact that more of our business is
transacted in U.S. dollars than in any other currency, we report our
consolidated financial information in U.S. dollars. However, a large portion
of our consolidated revenues and expenses are denominated in other currencies
including the Euro, British pound, Swiss franc, and Japanese yen. Since these
currencies are functional currencies for our business units, translation
differences related to the assets and liabilities of these business units are
recorded directly in shareholders equity. Exchange rate differences arising
from holding assets, other than investment assets, and liabilities denominated
in non-functional currencies are recorded as income or expense, as the case may
be, in our income statement. These amounts were not material in any period
presented.

Our reported premiums, losses and expenses are also affected by exchange
rate fluctuations. Business written in currencies other than the U.S. dollar
is translated at average exchange rates for the period, and therefore exchange
rate movements from period to period can have a significant effect on our U.S.
dollar reported premiums, losses and expenses.

Investment Results

Investment results are an important part of our overall profitability. We
seek to minimize the effect of interest rate and stock market fluctuations
through the diversification of our investment portfolio. Our diversification
strategy seeks to match, to the extent possible, assets and liabilities by
currency and maturity. The decline in the average pre-tax yield in 2001 mainly
reflects poorly performing stocks resulting in $82.5 million of impairment
losses on our equity portfolio during the year. The

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decline in the average
pre-tax realized yield in 2000 mainly reflects the decline in interest rate
levels related to the Zurich Financing Agreement.

We reported net investment income of $228.7 million for 2001 as compared
to $176.0 million for 2000, an increase of $52.7 million or 29.9%. The
increase is from Converium Zurich, primarily due to the Funds Withheld
Asset/Zurich Financing Agreement explained more fully below. Our net
investment income was $176.0 million in 2000 compared to $214.0 million in
1999, representing a decrease of $38.0 million, or 17.8%. The decrease in
investment income primarily related to lower returns attributed to the Zurich
Financing Agreement.

Prior to the Formation Transactions, Converium Zurich did not have a
separate investment portfolio. Instead, its cash flows were managed by Zurich
Financial Services pursuant to the Zurich Financing Agreement. The Zurich
Financing Agreement provided for interest based on a formula designed to
reflect a total return on a diverse investment portfolio weighted approximately
75% to bond indices and 25% to equity indices. Accordingly, during most of
2000, Converium Zurichs investment income reflected the overall poor
performance of the stock markets for its equity component and generally
declining interest rates for its fixed income component.

Effective January 1, 2001, the Zurich Financing Agreement was amended to
provide a fixed interest return. Effective July 1, 2001, the Zurich Financing
Agreement was cancelled and the Funds Withheld Asset was established. The
interest payable to Converium Zurich on the Funds Withheld Asset is based on
fixed interest rates tied to each of our major functional currencies. These
interest rates were calculated as if the assets had been invested in fixed
income securities denominated in the functional currencies payable on the Funds
Withheld Asset as of July 1, 2001 and reflected the estimated duration of the
underlying reinsurance liabilities as of that date. For 2001 the weighted
average interest rated based on the currency mix on the Funds Withheld Asset
was 5.4% and at December 31, 2001, the weighted average interest rate was 5.3%

If we had obtained the 5.4% weighted average interest rate on the average
of the beginning and ending balance under the Zurich Financing Agreement in
2000, our investment income in 2000 on a pre-tax basis would have been
approximately $30 million higher.

Equity securities comprised approximately 14% of our investment portfolio
at December 31, 2001. The majority of our equity portfolio is in developed
markets with limited exposure to emerging markets. The equity markets around
the world can produce highly volatile and significantly varied results due to
local and worldwide economic and political conditions.

We had net realized capital losses in 2001 of $18.4 million, compared to
net realized gains of $83.7 million in 2000 and $76.3 million in 1999. The
decrease of $102.1 million in 2001 reflects $82.5 million of impairment losses
on our equity portfolios following continued deterioration in global stock
markets, particularly in the telecommunications and technology sectors in North
America where market values were substantially below our cost for a number of
months, and where we did not expect values to recover in the near term.

The following table shows the average pre-tax yields and investment
results on our investment portfolio for the years ended December 31, 2001, 2000
and 1999. The average pre-tax yield is calculated by dividing total investment
income for the period, net of investment expenses and realized capital gains
(losses), by the average of the beginning and period end investment balances
(including cash and cash equivalents).

|                                                 |       |   |                                                               |       |       |  |          |     |        |   |          |   |          |   |         |       |       |  |          |     |          |   |         |   |       |   |       |       |  |  |          |     |  |   |      |   | 
|------------------------------------------------ | ----- | - | ------------------------------------------------------------- | ----- | ----- |  | -------- | --- | ------ | - | -------- | - | -------- | - | ------- | ----- | ----- |  | -------- | --- | -------- | - | ------- | - | ----- | - | ----- | ----- |  |  | -------- | --- |  | - | ---- | - | 
|                                                 |       |   | Net Investment Income and Net Realized Capital Gains (Losses)
|                                                 |       |   | Year Ended December 31,                                      
|                                                 |       |   |                                                              
|                                                 |       |   | 2001                                                          |       | 2000  |  | 1999    
|                                                 |       |   |                                                               |       |       |  |         
|                                                 |       |   |                                                               |       |       |  |          |     |        |   | Realized |   |          |   |         |       |       |  |          |     | Realized |   |         |   |       |   |       |       |  |  | Realized
|                                                 |       |   |                                                               |       |       |  | Pre-tax  |     | gains  |   |          |   |          |   | Pre-tax |       | gains |  |          |     |          |   | Pre-tax |   | gains
|                                                 |       |   | Income                                                        |       | yield |  | (losses) |     | Income |   | yield    |   | (losses) |   | Income  |       | yield |  | (losses)
|                                                 |       |   |                                                               |       |       |  |          |     |        |   |          |   |          |   |         |       |       |  |         
|                                                 |       |   | ($in millions, except for percentages)                       
|Fixed maturity securities                        |       | $ | 130.0                                                         |       |       |  | 5.7      | %   |        | $ | 45.9     |   |          | $ | 124.7   |       |       |  | 5.8      | %   |          | $ | 3.0     |   |       | $ | 114.6 |       |  |  | 5.7      | %   |  | $ | (8.6 | )
|Equity securities                                |       |   | 9.7                                                           |       |       |  | 1.5      |     |        |   | (64.6    | ) |          |   | 9.2     |       |       |  | 1.6      |     |          |   | 83.8    |   |       |   | 9.0   |       |  |  | 1.7      |     |  |   | 84.0 |  
|Funds Withheld Asset/
Zurich Financing Agreement |       |   | 75.7                                                          |       |       |  | 5.2      |     |        |   | 0.0      |   |          |   | 40.1    |       |       |  | 2.9      |     |          |   | 0.0     |   |       |   | 74.6  |       |  |  | 5.6      |     |  |   | 0.0  |  
|Short-term and other                             |       |   | 18.1                                                          |       |       |  | 3.6      |     |        |   | 0.3      |   |          |   | 8.7     |       |       |  | 3.3      |     |          |   | (3.1    | ) |       |   | 21.5  |       |  |  | 5.7      |     |  |   | 0.9  |  
|Less investment expenses                         |       |   | (4.8                                                          | )     |       |  |          |     |        |   |          |   |          |   | (6.7    | )     |       |  |          |     |          |   |         |   |       |   | (5.7  | )     |  |  |          |     |  |   |      |  
|                                                 |       |   |                                                               |       |       |  |          |     |        |   |          |   |          |   |         |       |       |  |          |     |          |   |         |   |       |   |       |       |  |  |          |     |  |   |      |  
|                                                 | Total |   |                                                               | 228.7 |       |  |          | 4.7 |        |   |          |   |          |   |         | 176.0 |       |  |          | 4.0 |          |   |         |   |       |   |       | 214.0 |  |  |          | 5.0 |  |   |      |   | 
|                                                 |       |   |                                                               |       |       |  |          |     |        |   |          |   |          |   |         |       |       |  |          |     |          |   |         |   |       |   |       |       |  |  |          |     |  |   |      |  

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|                                    |  |   |                                                               |   |       |  |          |  |        |  |          |  |          |   |         |  |       |  |          |  |          |  |         |  |       |   |       |  |  |  |          |  |  |  |  |  | 
|----------------------------------- |  | - | ------------------------------------------------------------- | - | ----- |  | -------- |  | ------ |  | -------- |  | -------- | - | ------- |  | ----- |  | -------- |  | -------- |  | ------- |  | ----- | - | ----- |  |  |  | -------- |  |  |  |  |  | 
|                                    |  |   | Net Investment Income and Net Realized Capital Gains (Losses)
|                                    |  |   | Year Ended December 31,                                      
|                                    |  |   |                                                              
|                                    |  |   | 2001                                                          |   | 2000  |  | 1999    
|                                    |  |   |                                                               |   |       |  |         
|                                    |  |   |                                                               |   |       |  |          |  |        |  | Realized |  |          |   |         |  |       |  |          |  | Realized |  |         |  |       |   |       |  |  |  | Realized
|                                    |  |   |                                                               |   |       |  | Pre-tax  |  | gains  |  |          |  |          |   | Pre-tax |  | gains |  |          |  |          |  | Pre-tax |  | gains
|                                    |  |   | Income                                                        |   | yield |  | (losses) |  | Income |  | yield    |  | (losses) |   | Income  |  | yield |  | (losses)
|                                    |  |   |                                                               |   |       |  |          |  |        |  |          |  |          |   |         |  |       |  |         
|                                    |  |   | ($in millions, except for percentages)                       
|Net realized capital (losses) gains |  |   | (18.4                                                         | ) |       |  |          |  |        |  |          |  |          |   | 83.7    |  |       |  |          |  |          |  |         |  |       |   | 76.3  |  |  |  |          |  |  |  |  | 
|                                    |  |   |                                                               |   |       |  |          |  |        |  |          |  |          |   |         |  |       |  |          |  |          |  |         |  |       |   |       |  |  |  |          |  |  |  |  | 
|Net investment income and           |  |   |                                                               |   |       |  |          |  |        |  |          |  |          |   |         |  |       |  |          |  |          |  |         |  |       |   |       |  |  |  |          |  |  |  |  | 
|net realized capital (losses)gains  |  | $ | 210.3                                                         |   |       |  | 4.3      |  |        |  |          |  |          | $ | 259.7   |  |       |  | 5.9      |  |          |  |         |  |       | $ | 290.3 |  |  |  | 6.8      |  |  |  |  | 
|                                    |  |   |                                                               |   |       |  |          |  |        |  |          |  |          |   |         |  |       |  |          |  |          |  |         |  |       |   |       |  |  |  |          |  |  |  |  | 

The average pre-tax realized investment yields of our investment portfolio
for the years ended December 31, 2001, 2000, and 1999 were 4.3%, 5.9%, and 6.8%
respectively. The average pre-tax yield is calculated by dividing net
investment income and net realized capital gains (losses) for the period, by
the average of the beginning and period end investment balances (including cash
and cash equivalents). The declines in the average pre-tax realized yield in
2001 and 2000 mainly reflect poorly performing stocks as well as continued
decline in interest rate levels as described above for the Zurich Financing
Agreement.

As a result of the amendment of the Zurich Financing Agreement on January
1, 2001 and its subsequent cancellation on July 1, 2001, and the establishment
of the Funds Withheld Asset on July 1, 2001, we expect our investment results
to differ from those we reported before. In particular, we believe that the
bond yield basis by which income on the Funds Withheld Asset is calculated, the
elimination of the 25% equity component and our ability to invest our new
capital and assets arising from future business will reduce the volatility of
our investment earnings as compared with the total return basis of calculating
investment income under the Zurich Financing Agreement. In addition, as the
balance of the Funds Withheld Asset declines, we believe that our investment
results may improve as a result of our ability to manage our investments in
response to changing market conditions and on a more diverse basis. However,
we cannot assure you that we will experience improved investment results in the
future, or that these results will contribute materially to our results of
operations.

Under the Quota Share Retrocession Agreement, the Funds Withheld Asset may
be prepaid to us in whole or in part as of the end of any calendar quarter. In
the event that the Funds Withheld Asset is prepaid, we would have to reinvest
these assets in investments which may not provide yields comparable to those
payable under the Quota Share Retrocession Agreement. To the extent we are not
able to invest these funds at comparable yields, our investment income could be
adversely affected.

As a result of the changes described above, Converium Zurichs investment
income is comprised of:



| |  |  | Interest income on the Funds Withheld Asset,                                                                                                                                                           
| | - |  | -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|
| |  |  | Investment income on the asset portfolio we possess, in addition to
the Funds Withheld Asset, plus                                                                                                     
|
| |  |  | Investment income on the new fixed income and equity securities to be
purchased by Converium Zurich with its newly contributed capital, as
well as cash flow from new and renewal reinsurance business.

We invested the additional cash contributed to us by Zurich Financial
Services in accordance with our investment policies. See Item 4. -
Information on the Company  B. Business Overview  Investments.

Restructuring Charge

In connection with the Formation Transactions, Converium incurred $50
million in restructuring costs during 2001. Any restructuring costs relating
to the Formation Transactions in excess of this amount have been borne by
Zurich Financial Services. The restructuring costs, according to the Master
Agreement, include the cost and expenses of the Formation Transactions,
including advisors fees, retention plan costs expensed in 2001 and stamp duty
taxes.

Income Tax

We are subject to local income tax requirements in the jurisdictions in
which we operate. The income tax expense reflected in our financial statements
therefore reflects a number of different local tax rates, and as a result may
change from one period to the next depending on both the amount and the
geographic contribution of our taxable income.

The income tax we pay is based on local tax statements in which our
reported income and expenses may differ from that reported in our financial
statements. For example, we were a party to certain types of reinsurance
contracts for which resulting income and expense may not be recognized as
taxable income or expense in the United States.

As a result of changes in our geographic contribution of taxable income as
well as changes in the amount of our non-taxable income and expense, the
relationship between our reported income before tax and
our income tax expense may

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change significantly from one period to the next.
For more information about our income tax expenses, see Note 11 to our
financial statements.

Regulatory and Legislative Environment

Our business is subject to regulation in all of the jurisdictions in which
we operate. Regulation includes compliance with applicable laws covering
operating and reporting requirements, monitoring of solvency and reserves and
asset valuation. Changes in government policy or taxation also may affect our
results of operations. In addition, political, judicial and legislative
developments could broaden the intent and scope of coverage of existing
policies written by our clients, which may result in additional liabilities for
reinsurers. See Item 4.  Information on the Company  B. Business Overview -
Regulation.

Combined Results of Operations

The table below presents summary income statement data for the years ended
December 31, 2001, 2000 and 1999.

|                                                              |                                     |   |                         |          |      |   |                |          |   |   |          |          |  
|------------------------------------------------------------- | ----------------------------------- | - | ----------------------- | -------- | ---- | - | -------------- | -------- | - | - | -------- | -------- | -
|                                                              |                                     |   | Year Ended December 31,
|                                                              |                                     |   |                        
|                                                              |                                     |   | 2001                    |          | 2000 |   | 1999          
|                                                              |                                     |   |                         |          |      |   |               
|                                                              |                                     |   |                         |          |      |   | ($in millions) |          |   |   |         
|Revenues:                                                     |                                     |   |                         |          |      |   |                |          |   |   |          |         
|Gross premiums written                                        |                                     | $ | 2,881.2                 |          |      | $ | 2,565.8        |          |   | $ | 1,928.7  |         
|                                                              |                                     |   |                         |          |      |   |                |          |   |   |          |         
|Net premiums written                                          |                                     | $ | 2,482.6                 |          |      | $ | 1,996.0        |          |   | $ | 1,570.2  |         
|                                                              |                                     |   |                         |          |      |   |                |          |   |   |          |         
|Net premiums earned                                           |                                     | $ | 2,295.2                 |          |      | $ | 1,861.5        |          |   | $ | 1,401.5  |         
|Net investment income and net realized capital (losses) gains |                                     |   | 210.3                   |          |      |   | 259.7          |          |   |   | 290.3    |         
|Other (loss) income                                           |                                     |   | (5.8                    | )        |      |   | 29.3           |          |   |   | 22.1     |         
|                                                              |                                     |   |                         |          |      |   |                |          |   |   |          |         
|                                                              | Total revenues                      |   |                         | 2,499.7  |      |   |                | 2,150.5  |   |   |          | 1,713.9  |  
|                                                              |                                     |   |                         |          |      |   |                |          |   |   |          |         
|Benefits, losses and expenses:                                |                                     |   |                         |          |      |   |                |          |   |   |          |         
|Losses and loss adjustment expenses and life benefits         |                                     |   | (2,300.5                | )        |      |   | (1,604.5       | )        |   |   | (1,138.7 | )       
|Underwriting acquisition costs                                |                                     |   | (508.1                  | )        |      |   | (454.4         | )        |   |   | (340.3   | )       
|Operating and administration expenses                         |                                     |   | (146.4                  | )        |      |   | (116.0         | )        |   |   | (112.8   | )       
|Interest expense                                              |                                     |   | (24.2                   | )        |      |   | (17.1          | )        |   |   | (17.5    | )       
|Amortization of goodwill                                      |                                     |   | (7.8                    | )        |      |   | (7.3           | )        |   |   | (6.2     | )       
|Restructuring costs                                           |                                     |   | (50.0                   | )        |      |   |               |          |   |   |         |         
|                                                              |                                     |   |                         |          |      |   |                |          |   |   |          |         
|                                                              | Total benefits, losses and expenses |   |                         | (3,037.0 | )    |   |                | (2,199.3 | ) |   |          | (1,615.5 | )
|                                                              |                                     |   |                         |          |      |   |                |          |   |   |          |         
|                                                              | (Loss) income before tax            |   |                         | (537.3   | )    |   |                | (48.8    | ) |   |          | 98.4     |  
|                                                              |                                     |   |                         |          |      |   |                |          |   |   |          |         
|Income tax benefit (expense)                                  |                                     |   | 169.9                   |          |      |   | 19.5           |          |   |   | (40.6    | )       
|                                                              |                                     |   |                         |          |      |   |                |          |   |   |          |         
|                                                              | Net (loss) income                   |   | $                       | (367.4   | )    |   | $              | (29.3    | ) |   | $        | 57.8     |  
|                                                              |                                     |   |                         |          |      |   |                |          |   |   |          |         

The net income as presented in our financial statements is not necessarily
representative of the net income and return on equity we would have achieved as
a stand-alone legal entity, principally with respect to investment results.
See  Investment Results.

Year Ended December 31, 2001 Compared to Year Ended December 31, 2000

Converium Consolidated Net (Loss) Income

We reported a net loss of $367.4 million for 2001 compared to a net loss
of $29.3 million for 2000. As discussed below, pre-tax losses of $289.2
million were recognized for the September 11th terrorist attacks, net pre-tax
adverse loss development of $123.6 million was recorded related to accident
years 2000 and prior, $67.0 million in pre-tax losses were incurred relating to
the Enron Chapter 11 reorganization and $28.5 million in ceded premiums were
recorded for September 11th terrorist attacks and other coverages from Zurich
Financial Services.

In addition, the net loss included $82.5 million in pre-tax charges
against income for publicly traded equity investments that were impaired. The
impairment charges reflect continued deterioration in global stock markets,
particularly in North America. As a result of these charges, our gross pre-tax
unrealized losses in our equity portfolio declined from $65.9

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million at
December 31, 2000 to $25.1 million at December 31, 2001 and our net pre-tax
unrealized position improved from a loss of $1.3 million at December 31, 2000
to a gain of $22.1 million at December 31, 2001.

The above charges were offset by a tax benefit of $169.9 million in 2001
compared to a benefit of $19.5 million in 2000.

Converium Consolidated Premiums

Our consolidated gross premiums written in 2001 were $2,881.2 million,
compared to $2,565.8 million in 2000, representing an increase of $315.4
million, or 12.3%. Our consolidated net premiums written in 2001 were $2,482.6
million, compared to $1,996.0 million in 2000, representing an increase of
$486.6 million, or 24.4%. The increase in gross premiums written is less than
the increase in net premiums written partially due to the elimination of
certain treaties where Converium North America assumed the risk and then
retroceded material amounts to other reinsurers.

The increase in premiums written in 2001 was driven predominately by
increasing our share of clients business upon renewal and by new business
written by Converium Zurich, which had an increase in net premiums written of
$366.7 million, as described more fully in the segment discussions which
follow.

The above premium growth was offset by reduced premium volume due to the
non-renewal of certain treaties in 2001 that did not meet our underwriting
performance targets, primarily in the liability lines.

Our consolidated net premiums earned in 2001 were $2,295.2 million
compared to $1,861.5 million in 2000, representing an increase of $433.7
million, or 23.3%. This increase reflects our growth in net premiums written.

Converium Consolidated Net Investment Income and Net Realized Capital
(Losses) Gains

Our consolidated net investment income was $228.7 million in 2001 compared
to $176.0 million in 2000, representing an increase of $52.7 million, or 29.9%.
The increase is from Converium Zurich, primarily due to the Funds Withheld
Asset/Zurich Financing Agreement, as described more fully in the segment
discussions which follow.

Converiums consolidated net realized capital losses were $18.4 million in
2001 compared to net realized capital gains of $83.7 million in 2000,
representing a decrease of $102.1 million. The decrease reflects $82.5 million
of impairment losses on our equity portfolio following continued deterioration
in global stock markets, particularly in the telecommunication and technology
sectors in North America where market values were substantially below our cost
for a number of months, and where we did not expect value to recover in the
near term.

Converium Consolidated Other (Loss) Income

Our other loss in 2001 was $5.8 million compared to other income of $29.3
million in 2000, representing a decrease of $35.1 million. Reasons for this
decrease include the decline in the market value of our investments in private
equity funds of $6.2 million relative to 2000 and interest expense of $6.7
million on an aggregate excess of loss cover purchased by Converium North
America in 2001, with the balance primarily representing reduced interest
income on third-party reinsurance deposits.

Converium Consolidated Losses and Loss Adjustment Expenses and Life
Benefits

Our consolidated net losses and loss adjustment expenses and life benefits
in 2001 were $2,300.5 million compared to $1,604.5 million in 2000,
representing an increase of $696.0 million, or 43.4%. The
adjusted non-life loss and loss adjustment expense ratio was 76.6% in 2001,
compared to 82.9% in 2000. The adjusted ratio was calculated excluding the
impact of the following loss events: the September 11th terrorist attacks,
including the related ceded premium to Zurich Financial Services, the Enron
Chapter 11 reorganization and net reserve development. The actual non-life loss
and loss adjustment expense ratio was 99.7% in 2001, compared to 86.6% in 2000.

The September 11th terrorist attacks in the United States represent the
largest loss event in the insurance industrys history. As of December 31,
2001, we recorded gross losses and loss adjustment expenses of $692.9 million
arising out of the terrorist attacks. Net of retrocessional recoveries and the
cap from Zurich Financial Services, our recorded losses and loss adjustment
expenses were $289.2 million, coming primarily from our aviation and property
lines of business. The remainder of

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the losses were from our workers
compensation, life and third-party liability lines of business. Our gross
estimates are subject to adjustment as more information becomes known and as
claims are received.

Zurich Financial Services, through its subsidiaries, has agreed to
arrangements that cap our net exposure for losses and loss adjustment expenses
arising out of the September 11th terrorist attacks at $289.2 million. As
part of these arrangements, these subsidiaries of Zurich Financial Services
have agreed to take responsibility for non-payment by the retrocessionaires of
Converium Zurich and Converium Germany with regard to losses arising out of the
September 11th attacks in excess of the $289.2 million cap. While the cap
does not cover non-payment by the retrocessionaires of Converium North America,
our only retrocessionaire for this business is a unit of Zurich Financial
Services. Therefore, we are not exposed to potential non-payments by
retrocessionaires for these events in excess of the $289.2 million cap,
although we will be exposed to the risk of non-payment of Zurich Financial
Services units and we are exposed to credit risk from these subsidiaries of
Zurich Financial Services.

On December 2, 2001, Enron Corporation announced that it and certain of
its subsidiaries had filed voluntary petitions for Chapter 11 reorganization.
We recorded $67.0 million in losses as of December 31, 2001, representing our
aggregate limits under existing reinsurance contracts in connection with Enron.
These exposures result principally from credit and surety and, to a lesser
extent, from liability lines of business in the Converium Zurich and Converium
North America operating segments.

In the first half of 2001, we recorded $112.0 million of net adverse loss
reserve development. In the second quarter of 2001, we retained an actuarial
consulting firm to perform an independent review of non-life net reserves as of
December 31, 2000. The review began during the second quarter of 2001 and was
completed in the third quarter of 2001. The independent analysis reflected
certain information that became available after the issuance of the December
31, 2000 financial statements, including most of fourth quarter 2000 and some
first quarter 2001 reports from ceding companies, who typically report on a
one-quarter lag. Based on the independent review and our own evaluations of
these new developments, additional provisions of $112.0 million, net of
reinsurance, were recorded in the first half of 2001, principally related to
accident years 2000 and prior at Converium North America. The adverse loss
development mainly related to general liability, commercial auto liability and
umbrella treaty business written in 1996 through 1999. The net amounts of
reserve development by segments were $125.0 million of adverse development at
Converium North America offset by $13.0 million of net positive development at
Converium Zurich.

In the second half of 2001, we recorded an additional $11.6 million of net
adverse loss reserve development based on our year end review of non-life
reserves. Converium Cologne increased its asbestos and environmental reserves
by $11.5 million, in order to increase the survival ratio from 13.1 years at
December 31, 2000 to 13.8 years at December 31, 2001. Converium Cologne also
performed an in-depth analysis of its European and Middle Eastern
non-proportional motor book in light of current trends, including lower
interest rates, higher long-term disability costs and longevity risk. As a
result of this review, an additional $20.0 million in reserves were recorded
for European and Middle Eastern motor lines for years 2000 and prior.
Converium Cologne also recorded an additional $9.8 million of reserves for
energy and property business in the Middle East. Converium North America
recorded adverse development of $39.0 million, mainly related to general
liability, auto liability and umbrella business written in 1996 through 1999.
Partially offsetting the above, loss reserves at Converium Zurich developed
positively by $69.0 million, reflecting positive development of $30.0 in
aviation and space, primarily on non-proportional treaty business
for the years 1998 through 2000. Additional positive development was
experienced in casualty lines of business.

In addition to the adverse loss development discussed above, in the fourth
quarter of 2001 Converium Cologne recorded a loss of $26.8 million for
liability and recall costs related to the withdrawal of a German
cholesterol-reducing drug (Bayer Lipobay®, or Baycol®).

Converium Consolidated Underwriting Acquisition Costs

Our underwriting acquisition costs, which primarily relate to commissions
on treaty and individual risk business, were $508.1 million in 2001 compared to
$454.4 million in 2000, representing an increase of $53.7 million, or 11.8%.
This increase is mainly related to the increase in net premiums earned. Our
non-life underwriting expense ratio in 2001 was 23.2%, compared to 23.9% in
2000. This decrease is due to a lower underwriting expense ratio for Converium
Zurich and the non-renewal by Converium Cologne of several contracts with high
commissions.

Converium Consolidated Operating and Administration Expenses

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Our operating and administration expenses in 2001 were $146.4 million
compared to $116.0 million in 2000, representing an increase of $30.4 million,
or 26.2%. This increase was the result of growth and an increased cost level
required for new functions and departments required as an independent company,
such as treasury, investor relations and communications. In addition, various
costs related to the initial public offering, such as share-based compensation,
increased operating and administration expenses in 2001. Despite the increase
in operating and administration expenses, the administration expense ratio
declined to 6.1% in 2001, compared to 6.4% in 2000.

Converium Consolidated Interest Expense, Amortization of Goodwill and
Restructuring Costs

Our interest expense in 2001 was $24.2 million compared to $17.1 million
in 2000, representing an increase of $7.1 million, or 41.5%. This increase is
principally due to an increase in short-term borrowings from Zurich Financial
Services, which caused Converium to have a higher average amount outstanding
during 2001.

Amortization of goodwill in 2001 was $7.8 million compared to $7.3 million
in 2000, representing an increase of $0.5 million, or 6.9%.

Restructuring costs in 2001 were $50.0 million. The restructuring charges
include the costs and expenses of the Formation Transactions, including
advisors fees, retention plan costs expensed in 2001 and stamp duty taxes in
Switzerland. Any restructuring costs relating to the Formation Transactions in
excess of this amount will be borne by Zurich Financial Services.

Converium Consolidated Income Tax Benefit

Our income tax benefit was $169.9 million in 2001 compared to a
consolidated income tax benefit of $19.5 million in 2000, representing an
increase of $150.4 million. The large increase in the income tax benefit was a
result of Converiums increased pre-tax losses.

Year Ended December 31,
2000 Compared to Year Ended December 31, 1999

Converium Consolidated Net Income (Loss)

We reported a consolidated net loss of $29.3 million for 2000 compared to
consolidated net income of $57.8 million in 1999, representing a decrease of
$87.1 million. This decrease was primarily due to increased losses and loss
adjustment expenses, including significant adverse loss development from prior
years, and reduced net investment income and net realized capital gains. This
was partially offset by an
income tax benefit of $19.5 million in 2000 as compared to income tax expense
of $40.6 million in 1999 due to the losses incurred during 2000. The
components of net income are described below.

Converium Consolidated Premiums

Our consolidated gross premiums written in 2000 were $2,565.8 million,
compared to $1,928.7 million in 1999, representing an increase of $637.1
million, or 33.0%. Our consolidated net premiums written in 2000 were $1,996.0
million, compared to $1,570.2 million in 1999, representing an increase of
$425.8 million, or 27.1%.

Our premium growth in 2000 compared with 1999 was primarily driven by the
traditional non-life reinsurance treaty business. Predominantly this growth
was from Converium Zurich, where net premiums written increased by $248.8
million, or 43.7% and Converium North America, where net premiums written
increased by $167.4 million, or 24.7% as described more fully in the segment
discussions which follow.

Our consolidated net premiums earned in 2000 were $1,861.5 million
compared to $1,401.5 million in 1999, representing an increase of $460.0
million, or 32.8%. This increase primarily reflected our 27.1% growth in net
premiums written.

Converium Consolidated Net Investment Income and Net Realized Capital
Gains

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Our consolidated net investment income was $176.0 million in 2000 compared
to $214.0 million in 1999, representing a decrease of $38.0 million, or 17.8%.
The decrease in investment income primarily related to lower returns attributed
to the Zurich Financing Agreement. See  Overview  Investment Results.

Converiums consolidated net realized capital gains were $83.7 million in
2000 compared to $76.3 million in 1999, representing an increase of $7.4
million, or 9.7%.

Converium Consolidated Other Income (Loss)

We reported consolidated other income of $29.3 million in 2000 compared to
$22.1 million in 1999, representing an increase of $7.2 million, or 32.6%. The
increase in other income in 2000 was primarily due to interest income on third
party reinsurance deposits.

Converium Consolidated Losses and Loss Adjustment Expenses and Life
Benefits

Our consolidated net losses and loss adjustment expenses and life benefits
in 2000 were $1,604.5 million compared to $1,138.7 million in 1999,
representing an increase of $465.8 million, or 40.9%. The increase is
attributable to losses and loss adjustment expenses and life benefits at
Converium Zurich of $154.5 million, at Converium North America of $253.0
million, at Converium Cologne of $56.3 million, and at Converium Life of $2
million. These increases resulted principally from the 32.8% increase in our
net premiums earned, and from adverse development of $19.6 million from the
1999 European winter storms Anatol, Lothar and Martin, and $45.8 million of net
adverse development in other lines of business. The net amounts of reserve
development for our segments were $81.0 million of adverse development at
Converium North America, $25.4 million of adverse development at Converium
Cologne, $41.0 million of net positive development at Converium Zurich. The
factors which caused these developments are described more fully in the segment
discussions below.

Converium Consolidated Underwriting Acquisition Costs

These costs primarily relate to commissions on treaty and individual risk
business. Our consolidated underwriting acquisition costs were $454.4 million
in 2000 compared to $340.3 million in 1999, representing an increase of $114.1
million, or 33.5%. This was in line with our growth in net premiums earned of
32.8%.

Converium Consolidated Operating and Administration Expenses

Our consolidated operating and administration expenses were $116.0 million
in 2000 compared to $112.8 million in 1999, representing an increase of $3.2
million, or 2.8%. The increase primarily related to increased headcount and
related overhead costs and increased information technology costs to support
our growth.

Converium Consolidated Interest Expense and Amortization of Goodwill

Our interest expense for the year ended December 31, 2000 was $17.1
million compared to $17.5 million for the year ended December 31, 1999,
representing a decrease of $0.4 million, or 2.3%. This decrease is principally
due to a decrease in interest expense on short term borrowings from Zurich
Financial Services which had a lower average amount outstanding for the year
ended December 31, 2000.

Amortization of goodwill for the year ended December 31, 2000 was $7.3
million compared to $6.2 million for the year ended December 31, 1999,
representing an increase of $1.1 million, or 17.7%. This increase results from
six months amortization of goodwill in 2000 related to our acquisition of MDU
Services Ltd. in May 2000. Goodwill on this acquisition is being amortized
over 9.5 years.

Converium Consolidated Income Tax Benefit (Expense)

Income tax benefit was $19.5 million in 2000 compared to a consolidated
income tax expense of $40.6 million in 1999, representing a decrease of $60.1
million. This change reflects the losses we incurred at both Converium North
America and Converium Cologne. This decrease in our effective tax rate in 2000
is a result of an increase in non-taxable reinsurance recoveries of $20.5
million, offset by an $18.1 million increase in the unrecognized benefits of
Converium Zurichs tax loss carryforward which will not accrue to Converium
after the global offering.

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Results of Operations by Operating Segment

To measure the financial performance of our operating segments, we exclude
certain items such as income taxes, interest expense on debt, goodwill
amortization and restructuring costs. The table below reconciles our segment
income to our consolidated net income as set forth above and in our financial
statements.

|                             |                    |       |        |                         |        |      |       |       |       |   |       |       |       | 
|---------------------------- | ------------------ | ----- | ------ | ----------------------- | ------ | ---- | ----- | ----- | ----- | - | ----- | ----- | ----- | 
|                             |                    |       |        | Year Ended December 31,
|                             |                    |       |        |                        
|                             |                    |       |        | 2001                    |        | 2000 |       | 1999 
|                             |                    |       |        |                         |        |      |       |      
|                             |                    |       |        | ($in millions)         
|Converium Zurich             |                    | $     | (178.7 | )                       |        | $    | 10.8  |       |       | $ | 10.0  |      
|Converium North America      |                    |       | (197.9 | )                       |        |      | (28.7 | )     |       |   | 78.4  |      
|Converium Cologne            |                    |       | (71.6  | )                       |        |      | (16.8 | )     |       |   | 34.5  |      
|                             |                    |       |        |                         |        |      |       |       |       |   |       |      
|                             | Converium Non-Life |       |        | (448.2                  | )      |      |       | (34.7 | )     |   |       | 122.9 |      
|Converium Life               |                    |       | (7.1   | )                       |        |      | 10.3  |       |       |   | (0.8  | )    
|                             |                    |       |        |                         |        |      |       |       |       |   |       |      
|                             |                    | Total |        |                         | (455.3 | )    |       |       | (24.4 | ) |       |       | 122.1 | 
|                             |                    |       |        |                         |        |      |       |       |       |   |       |      
|Interest expense on debt     |                    |       | (24.2  | )                       |        |      | (17.1 | )     |       |   | (17.5 | )    
|Amortization of goodwill     |                    |       | (7.8   | )                       |        |      | (7.3  | )     |       |   | (6.2  | )    
|Restructuring costs          |                    |       | (50.0  | )                       |        |      |      |       |       |   |      |      
|Income tax benefit (expense) |                    |       | 169.9  |                         |        |      | 19.5  |       |       |   | (40.6 | )    
|                             |                    |       |        |                         |        |      |       |       |       |   |       |      
|Net (loss) income            |                    | $     | (367.4 | )                       |        | $    | (29.3 | )     |       | $ | 57.8  |      
|                             |                    |       |        |                         |        |      |       |       |       |   |       |      

Non-Life

The table below presents information regarding results of operations of
our Non-Life business for the years ended December 31, 2001, 2000 and 1999.
This information is further discussed on a segment basis below.

|                                                              |                           |   |                         |          |      |   |          |          |   |   |          |          |  
|------------------------------------------------------------- | ------------------------- | - | ----------------------- | -------- | ---- | - | -------- | -------- | - | - | -------- | -------- | -
|                                                              |                           |   | Year Ended December 31,
|                                                              |                           |   |                        
|                                                              |                           |   | 2001                    |          | 2000 |   | 1999    
|                                                              |                           |   |                         |          |      |   |         
|                                                              |                           |   | ($in millions)         
|Revenues:                                                     |                           |   |                         |          |      |   |          |          |   |   |          |         
|Gross premiums written                                        |                           | $ | 2,891.1                 |          |      | $ | 2,556.8  |          |   | $ | 1,838.8  |         
|                                                              |                           |   |                         |          |      |   |          |          |   |   |          |         
|Net premiums written                                          |                           | $ | 2,341.2                 |          |      | $ | 1,881.6  |          |   | $ | 1,485.4  |         
|                                                              |                           |   |                         |          |      |   |          |          |   |   |          |         
|Net premiums earned                                           |                           | $ | 2,170.1                 |          |      | $ | 1,755.5  |          |   | $ | 1,321.8  |         
|Net investment income and net realized
capital (losses) gains |                           |   | 208.2                   |          |      |   | 263.0    |          |   |   | 280.1    |         
|Other (loss) income                                           |                           |   | (18.8                   | )        |      |   | 7.7      |          |   |   | 20.6     |         
|                                                              |                           |   |                         |          |      |   |          |          |   |   |          |         
|                                                              | Total revenues            |   |                         | 2,359.5  |      |   |          | 2,026.2  |   |   |          | 1,622.5  |  
|                                                              |                           |   |                         |          |      |   |          |          |   |   |          |         
|Benefits, losses and expenses:                                |                           |   |                         |          |      |   |          |          |   |   |          |         
|Losses and loss adjustment expenses                           |                           |   | (2,163.6                | )        |      |   | (1,520.0 | )        |   |   | (1,056.2 | )       
|Underwriting acquisition costs                                |                           |   | (502.4                  | )        |      |   | (419.9   | )        |   |   | (333.6   | )       
|Operating and administration expenses                         |                           |   | (141.7                  | )        |      |   | (121.0   | )        |   |   | (109.8   | )       
|                                                              |                           |   |                         |          |      |   |          |          |   |   |          |         
|                                                              | Total losses and expenses |   |                         | (2,807.7 | )    |   |          | (2,060.9 | ) |   |          | (1,499.6 | )
|                                                              |                           |   |                         |          |      |   |          |          |   |   |          |         
|                                                              | Segment (loss) income     |   | $                       | (448.2   | )    |   | $        | (34.7    | ) |   | $        | 122.9    |  
|                                                              |                           |   |                         |          |      |   |          |          |   |   |          |         
|Ratios:                                                       |                           |   |                         |          |      |   |          |          |   |   |          |         
|Loss ratio                                                    |                           |   | 99.7                    | %        |      |   | 86.6     | %        |   |   | 79.9     | %       
|Underwriting expense ratio                                    |                           |   | 23.2                    | %        |      |   | 23.9     | %        |   |   | 25.2     | %       
|Administration expense ratio                                  |                           |   | 6.0                     | %        |      |   | 6.4      | %        |   |   | 7.4      | %       
|Combined ratio                                                |                           |   | 128.9                   | %        |      |   | 116.9    | %        |   |   | 112.5    | %       
|Adjusted combined ratio (1)                                   |                           |   | 105.4                   | %        |      |   | 113.2    | %        |   |   | 122.3    | %       



---

|(1) |  | The adjusted combined ratio is calculated excluding the impact of the
following events: the September 11th terrorist attacks, including the
related ceded premium to Zurich Financial Services, the Enron Chapter 11
reorganization and net reserve development.
|--- |  | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

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Converium Zurich

The table below presents information regarding results of operations of
our Converium Zurich segment for the years ended December 31, 2001, 2000 and
1999.

|                                                     |                           |   |                         |          |      |   |         |        |   |   |        |        |  
|---------------------------------------------------- | ------------------------- | - | ----------------------- | -------- | ---- | - | ------- | ------ | - | - | ------ | ------ | -
|                                                     |                           |   | Year Ended December 31,
|                                                     |                           |   |                        
|                                                     |                           |   | 2001                    |          | 2000 |   | 1999   
|                                                     |                           |   |                         |          |      |   |        
|                                                     |                           |   | ($ in millions)        
|Revenues:                                            |                           |   |                         |          |      |   |         |        |   |   |        |       
|Gross premiums written                               |                           | $ | 1,440.3                 |          |      | $ | 1,020.0 |        |   | $ | 626.2  |       
|                                                     |                           |   |                         |          |      |   |         |        |   |   |        |       
|Net premiums written                                 |                           | $ | 1,185.0                 |          |      | $ | 818.3   |        |   | $ | 569.5  |       
|                                                     |                           |   |                         |          |      |   |         |        |   |   |        |       
|Net premiums earned                                  |                           | $ | 1,012.4                 |          |      | $ | 715.9   |        |   | $ | 470.6  |       
|Net investment income and net realized capital gains |                           |   | 89.3                    |          |      |   | 47.0    |        |   |   | 77.3   |       
|Other income                                         |                           |   | 3.2                     |          |      |   | 12.0    |        |   |   | 8.1    |       
|                                                     |                           |   |                         |          |      |   |         |        |   |   |        |       
|                                                     | Total revenues            |   |                         | 1,104.9  |      |   |         | 774.9  |   |   |        | 556.0  |  
|                                                     |                           |   |                         |          |      |   |         |        |   |   |        |       
|Benefits, losses and expenses:                       |                           |   |                         |          |      |   |         |        |   |   |        |       
|Losses and loss adjustment expenses                  |                           |   | (1,026.9                | )        |      |   | (569.2  | )      |   |   | (414.7 | )     
|Underwriting acquisition costs                       |                           |   | (202.1                  | )        |      |   | (150.2  | )      |   |   | (96.1  | )     
|Operating and administration expenses                |                           |   | (54.6                   | )        |      |   | (44.7   | )      |   |   | (35.2  | )     
|                                                     |                           |   |                         |          |      |   |         |        |   |   |        |       
|                                                     | Total losses and expenses |   |                         | (1,283.6 | )    |   |         | (764.1 | ) |   |        | (546.0 | )
|                                                     |                           |   |                         |          |      |   |         |        |   |   |        |       
|                                                     | Segment (loss) income     |   | $                       | (178.7   | )    |   | $       | 10.8   |   |   | $      | 10.0   |  
|                                                     |                           |   |                         |          |      |   |         |        |   |   |        |       
|Ratios:                                              |                           |   |                         |          |      |   |         |        |   |   |        |       
|Loss ratio                                           |                           |   | 101.4                   | %        |      |   | 79.5    | %      |   |   | 88.1   | %     
|Underwriting expense ratio                           |                           |   | 20.0                    | %        |      |   | 21.0    | %      |   |   | 20.4   | %     
|Administration expense ratio                         |                           |   | 4.6                     | %        |      |   | 5.5     | %      |   |   | 6.2    | %     
|Combined ratio                                       |                           |   | 126.0                   | %        |      |   | 106.0   | %      |   |   | 114.7  | %     

Year Ended December 31, 2001 Compared to Year Ended December 31, 2000

Converium Zurich Segment (Loss) Income

Converium Zurich reported a segment loss of $178.7 million in 2001
compared to segment income of $10.8 million in 2000, representing a decrease of
$189.5 million. This decrease was primarily due to net losses of $210.0
million arising out of the September 11th terrorist attacks and $27.7 million
related to the Enron reorganization. These losses were partially offset by
increased net investment income and net realized capital gains of $42.3
million. The components of segment income are described below.

Converium Zurich Premiums

Converium Zurichs gross premiums written in 2001 were $1,440.3 million
compared to $1,020.0 million in 2000, representing an increase of $420.3
million, or 41.2%. Net premiums written in 2001 were $1,185.0 million compared
to $818.3 million in 2000, representing an increase of $366.7 million, or
44.8%. Converium Zurichs premium growth in 2001 resulted from both the
traditional treaty business and the structured/finite business. Growth was in
most lines of business and regions and primarily resulted from increasing our
share of clients business upon renewal and from new business.

Converium Zurichs non-proportional net premiums written in 2001 were
$257.4 million compared to $265.1 million in 2000, representing a decrease of
$7.7 million, or 2.9%. Converium Zurichs proportional net premiums written in
2001 were $824.7 million compared to $474.2 million in 2000, representing an
increase of $350.5 million, or 73.9%. For a discussion of non-proportional and
proportional reinsurance, see Item 4.  Information on the Company  B.
Business Overview  Our Business  Types of Reinsurance.

Although non-proportional business decreased overall, we experienced
growth in some lines including motor, where net premiums written increased
$20.0 million, or 65.6% and liability, where net premiums written increased
$7.2 million, or 15.8%.

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Offsetting this growth in 2001 was a decrease of $12.3 million in
non-proportional multi-peril business, $13.3 million in non-proportional
aviation and space business and $3.6 million in non-proportional engineering
business.

For proportional business, the largest growth lines in 2001 were:



| |  |  | motor, where net premiums written increased $83.8 million, or 161.1%             
| | - |  | ---------------------------------------------------------------------------------
|
| |  |  | aviation and space, where net premiums written increased $76.9 million, or 92.5% 
|
| |  |  | multi-peril, where net premiums written increased $58.1 million, or 100.0%       
|
| |  |  | property, where net premiums written increased $40.0 million, or 43.0%           
|
| |  |  | liability, where net premiums written increased $26.2 million, or 36.0%          
|
| |  |  | accident and health, where net premiums written increased $16.0 million, or 64.3%
|
| |  |  | credit and surety, where net premiums written increased $14.5 million, or 16.6%  
|
| |  |  | marine, where net premiums written increased $10.4 million, or 62.2%             

In our structured/finite business, net premiums written were $102.9
million in 2001 compared to $78.9 million in 2000, representing an increase of
$24.0 million, or 30.4%. This growth resulted primarily from the liability and
property lines of business.

Converium Zurichs largest growth regions in 2001 compared to 2000 were:



| |  |  | United Kingdom, where net premiums written increased $288.9 million,
or 94.9%, primarily due to opportunistic expansion in the motor line,
following our reallocation in 2000 of the market responsibility for
the United Kingdom from Converium Cologne to Converium Zurich
our markets in Latin America, where net premiums written increased
$49.9 million, or 69.9%
| | - |  | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|
| |  |  | our markets in the Far East/Pacific Rim, where net premiums written
increased $32.3 million, or 38.1%                                                                                                                                                                                                                                                                   
|
| |  |  | business originating in North America, primarily sourced through the
London market, where net premiums written increased $24.7 million, or
29.8%                                                                                                                                                                                                                        
|
| |  |  | our markets in the Near/Middle East and Northern Africa, where net
premiums written increased $7.7 million, or 33.8%                                                                                                                                                                                                                                                    

Partially offsetting this growth was a decrease of $16.2 million in the
aggregate on business from Israel, Italy, Portugal, Switzerland and the
Netherlands, a decrease of $12.9 million in business from Germany and $7.6
million in business from France. The decrease in Germany was largely a result
of our transfer of underwriting responsibility for Germany to Converium
Cologne.

Converium Zurichs net premiums earned in 2001 were $1,012.4 million
compared to $715.9 million in 2000, representing an increase of $296.5 million,
or 41.4%. This increase primarily reflected our growth in net premiums
written.

Converium Zurich Net Investment Income and Net Realized Capital Gains

Converium Zurich reported net investment income and net realized capital
gains of $89.3 million in 2001 compared to $47.0 million in 2000, representing
an increase of $42.3 million, or 90.0%.

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Prior to the Formation Transactions, Converium Zurich did not have a
separate investment portfolio. Instead, its cash flows were managed by Zurich
Financial Services pursuant to the Zurich Financing Agreement. The Zurich
Financing Agreement provided for interest based on a formula designed to
reflect a total return on a diverse investment portfolio weighted approximately
75% to bond indices and 25% to equity indices. Accordingly, during most of
2000, Converium Zurichs investment income reflected the overall poor
performance of the stock markets for its equity component and generally
declining interest rates for its fixed income component.

Effective January 1, 2001, the Zurich Financing Agreement was amended to
provide a fixed interest return. Effective July 1, 2001, the Zurich Financing
Agreement was cancelled and the Funds Withheld Asset was established. Under
the Quota Share Retrocession Agreement, the interest payable on the Funds
Withheld Asset is based on fixed interest rates tied to each of our major
functional currencies. These interest rates were calculated as if the assets
had been invested in fixed income securities denominated in the functional
currencies payable on the Funds Withheld Asset and reflected the estimated
duration of the underlying reinsurance liabilities as of that date. As a
result, the volatility of our investment earnings was reduced and our
investment income in 2001 improved.

For 2001 the weighted
average interest rate based on the currency mix on the
Funds Withheld Asset was 5.4%. If we had obtained the 5.4% weighted average
interest rate on the average of the beginning and ending balance under the
Zurich Financing Agreement in 2000, our investment income in 2000 on a pre-tax
basis would have been approximately $30.0 million higher.

For a description of the Funds Withheld Asset and the Quota Share
Retrocession Agreement, see Item 10.  Additional Information  C. Material
Contracts  Acquisition of the Converium Zurich Business  Quota Share
Retrocession Agreement.

Converium Zurich Other Income

Converium Zurich reported other income in 2001 of $3.2 million compared to
$12.0 million in 2000, representing a decrease of $8.8 million. This decrease
primarily reflects a decrease in other technical income.

Converium Zurich Losses and Loss Adjustment Expenses

Converium Zurichs losses and loss adjustment expenses in 2001 were
$1,026.9 million compared to $569.2 million for 2000, representing an increase
of $457.7 million, or 80.4%. Net losses and loss adjustment expenses primarily
increased by $210.0 million arising out of the September 11th terrorist attacks
and $27.7 million due to the Enron reorganization. Without these events, the
increase in loss and loss adjustment expenses would have been $220.0 million,
or 38.7%. This increase in losses and loss adjustment expenses is reflective
of the increase in net premiums earned of 41.4%. Losses and loss adjustment
expenses for 2001 were partially offset by net positive loss reserve
developments of $82.0 million for aviation and space, casualty and liability
business written in prior years. We had been experiencing more favorable
claims reporting data from most of our ceding companies than previously
anticipated. Over time, as the actual emergence of losses could be used as an
indication of future loss emergence, we revised these redundancies. During
2001, we determined that we could credibly believe that the actual loss
emergence would ultimately be better than initial expectations and therefore
adjusted our reserves accordingly. Our loss and loss adjustment expense ratio
increased to 101.4% for 2001 from 79.5% for 2000, including 23.5 points related
to the September 11th terrorist attacks and the Enron reorganization.
Therefore, excluding these events, our loss and loss adjustment expense ratio
would have been 77.9%, a 1.6 point decrease from our loss and loss adjustment
expense ratio in 2000.

Converium Zurich Underwriting Acquisition Costs

Converium Zurichs underwriting acquisition costs were $202.1 million in
2001 compared to $150.2 million in 2000, representing an increase of $51.9
million, or 34.6%. This increase in underwriting acquisition costs is
reflective of the increase in net premiums earned of 41.4%. Our underwriting
expense ratio decreased by 1.0 point to 20.0% in 2001 from 21.0% in 2000.

Converium Zurich Operating and Administration Expenses

Converium Zurichs operating and administration expenses were $54.6
million in 2001 compared to $44.7 million in 2000, representing an increase of
$9.9 million, or 22.2%. The increase in costs represents increased headcount
and related overhead costs due to the establishment of new corporate and
operational functions related to being a stand-alone company, such as

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treasury,
investor relations, marketing, communications and information technology.
However, our administration expense ratio, as a percentage of net premiums
written, decreased by 0.9 points to 4.6% in 2001 from 5.5% in 2000 due to
increased premium volume.

Converium Zurich Combined Ratios

Converium Zurichs combined ratio increased by 20.0 points to 126.0% in
2001 from 106.0% in 2000. This increase was driven by a 23.5 point increase in
the loss ratio due to the September 11th terrorist attacks and the Enron
reorganization. This increase was partially offset by the improvement
of 1.6
points in our underlying loss ratio, 1.0 point improvement in our underwriting expense
ratio and 0.9 points improvement in our administration expense ratio.

Year Ended December 31, 2000 Compared to Year Ended December 31, 1999

Converium Zurich Segment Income (Loss)

Converium Zurichs segment income remained relatively constant at $10.8
million for 2000 compared to segment income of $10.0 million in 1999,
representing an increase of $0.8 million, or 8.0%. The components of segment
income are described below.

Converium Zurich Premiums

Converium Zurichs gross premiums written in 2000 were $1,020.0 million
compared to $626.2 million in 1999, representing an increase of $393.8 million,
or 62.9%. Net premiums written in 2000 were $818.3 million compared to $569.5
million in 1999, representing an increase of $248.8 million, or 43.7%.
Converium Zurichs net premium written growth in 2000 compared with 1999 was
primarily driven by traditional treaty business growth. In 2000, we grew in
most of our lines and regions primarily through increased volume. In addition,
in selected markets such as the Caribbean, Japanese and Australian property
catastrophe markets, we experienced significant price increases as well.
Converium Zurichs non-proportional business in 2000 was $265.1 million
compared to $151.0 million in 1999, representing an increase of $114.1 million,
or 75.6%. Converium Zurichs proportional business in 2000 was $474.2 million
compared to $313.1 million in 1999, representing an increase of $161.1 million,
or 51.5%.

For non-proportional business, the largest growth lines were:



| |  |  | property, where net premiums written increased $66.8 million, or 137.5%
| | - |  | -----------------------------------------------------------------------
|
| |  |  | motor, where net premiums written increased $18.6 million, or 156.3%   
|
| |  |  | liability, where net premiums written increased $15.3 million, or 50.3%

Partially offsetting this growth was a decrease in non-proportional
aviation and space business to $34.3 million in 2000 from $47.6 million in
1999.

For proportional business, the largest growth lines were:



| |  |  | liability, where net premiums written increased $40.7 million, or 127.2%        
| | - |  | --------------------------------------------------------------------------------
|
| |  |  | motor, where net premiums written increased $36.7 million, or 239.9%            
|
| |  |  | aviation and space, where net premiums written increased $35.4 million, or 74.2%
|
| |  |  | engineering, where net premiums written increased $22.9 million, or 76.9%       

In our structured/finite business, net premiums written were $78.9 million
in 2000 compared to $105.4 million in 1999, representing a decrease of $26.5
million, or 25.1%. Our comparative net premiums written reflect that in 1999
we entered into a significant structured/finite transaction in connection with
our strategic alliance with the MDU.

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Excluding structured/finite business, Converium Zurichs largest growth
regions in 2000 compared to 1999 were:



| |  |  | United Kingdom, where net premiums written increased $97.3 million, or
47.0%, primarily by opportunistic expansion in the motor line,
following our reallocation of the market responsibility for the United
Kingdom from Converium Cologne to Converium Zurich
| | - |  | ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|
| |  |  | Belgium, Israel, Spain, Italy, Portugal, Switzerland and the
Netherlands, where our aggregate net premiums written increased $67.5
million, or 63.3%                                                                                                           
|
| |  |  | our markets in the Far East/Pacific Rim, where net premiums written
increased $36.7 million, or 76.5%                                                                                                                                                          
|
| |  |  | our markets in Latin America, where net premiums written increased
$28.7 million, or 67.2%                                                                                                                                                                     
|
| |  |  | business originating in North America, sourced through the London
market, where net premiums written increased $27.4 million, or 49.6%                                                                                                                         

Partially offsetting this growth was a decrease in business from Germany,
to $28.8 million in 2000 from $36.5 million in 1999, and a decrease in business
from France, to $49.4 million in 2000 from $58.3 million in 1999. The decrease
in Germany was largely a result of our transfer of underwriting responsibility
for Germany to Converium Cologne. Additionally, Converium Zurichs reported
growth was partially offset by the devaluation of most European currencies
against the U.S. dollar. On a constant exchange rate basis, Converium Zurichs
net premiums written increased 54.6%.

Converium Zurichs net premiums earned in 2000 were $715.9 million
compared to $470.6 million in 1999, representing an increase of $245.3 million,
or 52.1%. This increase primarily reflected our 43.7% growth in net premiums
written.

Converium Zurich Net Investment Income and Net Realized Capital Gains

Converium Zurich reported net investment income and net realized capital
gains of $47.0 million in 2000 compared to $77.3 million in 1999, representing
a decrease of $30.3 million, or 39.2%. The investment yield attributed to
Converium Zurich in 2000 was 3.3% compared to 5.7% in 1999. This decline was
primarily due to decreased returns attributed to the total investment return on
the 25% equity security component of the Zurich Financing Agreement. See 
Investment Results.

Converium Zurich Other Income

Converium Zurich reported other income in 2000 of $12.0 million compared
to $8.1 million in 1999, representing an increase of $3.9 million, or 48.1%.
The increase primarily reflected increased net interest income on third party
reinsurance deposits.

Converium Zurich Losses and Loss Adjustment Expenses

Converium Zurichs losses and loss adjustment expenses in 2000 were $569.2
million compared to $414.7 million in 1999, representing an increase of $154.5
million, or 37.3%. The losses and loss adjustment expenses ratio, as a
percentage of net premiums earned, decreased to 79.5% in 2000 from 88.1% in
1999.

Converium Zurich recorded property catastrophe net losses from the 1999
European winter storms Anatol, Lothar and Martin were $8.1 million at December
31, 2000 and $11.0 million at December 31, 1999. This added 1.1 points to the
2000 loss ratio and 2.3 points to the 1999 loss ratio.

Converium Zurich recorded favorable loss reserve development on prior
years of $41.0 million in 2000 and $125.6 million in 1999 from most lines of
business, particularly aviation and credit and surety, reflecting accident
years 1999 and prior. This favorable development improved Converium Zurichs
loss ratio by 5.7 points in 2000, and by 26.7 points in 1999. This favorable
development resulted principally from the approach we adopted to initially
estimate ultimate losses on these more complex and uncertain lines of business.
See Item 4.  Information on the Company  B. Business Overview  Loss and
Loss Adjustment Expense Reserves  Loss Reserve Development for an expanded
discussion of these factors.

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Converium Zurich Underwriting Acquisition Costs

Converium Zurichs underwriting acquisition costs were $150.2 million in
2000 compared to $96.1 million in 1999, representing an increase of $54.1
million, or 56.3%. The underwriting expense ratio, as a percentage of net
earned premiums, increased to 21.0% in 2000 from 20.4% in 1999.

The increase in the underwriting expense ratio was principally due to a
net increase in reserves under profit sharing agreements with cedents on
certain structured/finite treaties. This increase was partially offset by the
higher rate of growth of our non-proportional businesses compared to
proportional business, which accounted for a 0.2 point decrease in our
underwriting expense ratio. Generally, non-proportional business pays lower
commissions than proportional business.

Converium Zurich Operating and Administration Expenses

Converium Zurichs operating and administration expenses were $44.7
million in 2000 compared to $35.2 million in 1999, representing an increase of
$9.5 million, or 27.0%. The increase in costs represents increased headcount
and related overhead costs plus increased information technology costs to
support our growth. The administration expense ratio, as a percentage of net
premiums written, decreased by 0.7 points to 5.5% in 2000 from 6.2% in 1999.

Converium Zurich Combined Ratios

Converium Zurichs combined ratio decreased by 8.7 points to 106.0% in
2000 from 114.7% in 1999. This decrease was primarily driven by an 8.6 point
improvement in the loss ratio, partially offset by the 0.6 point increase in
the underwriting expense ratio.

Converium North America

The table below presents information regarding results of operations of
our Converium North America segment for the years ended December 31, 2001, 2000
and 1999.

|                                                              |                |                           |         |                         |          |      |         |       |        |   |        |       |        |  
|------------------------------------------------------------- | -------------- | ------------------------- | ------- | ----------------------- | -------- | ---- | ------- | ----- | ------ | - | ------ | ----- | ------ | -
|                                                              |                |                           |         | Year Ended December 31,
|                                                              |                |                           |         |                        
|                                                              |                |                           |         | 2001                    |          | 2000 |         | 1999 
|                                                              |                |                           |         |                         |          |      |         |      
|                                                              |                |                           |         | ($ in millions)        
|Revenues:                                                     |                |                           |         |                         |          |      |         |       |        |   |        |      
|Gross premiums written                                        |                | $                         | 1,150.9 |                         |          | $    | 1,295.5 |       |        | $ | 934.8  |      
|                                                              |                |                           |         |                         |          |      |         |       |        |   |        |      
|Net premiums written                                          |                | $                         | 898.4   |                         |          | $    | 844.7   |       |        | $ | 677.3  |      
|                                                              |                |                           |         |                         |          |      |         |       |        |   |        |      
|Net premiums earned                                           |                | $                         | 882.4   |                         |          | $    | 815.4   |       |        | $ | 628.7  |      
|Net investment income and net realized
capital (losses) gains |                |                           | 104.4   |                         |          |      | 159.1   |       |        |   | 145.1  |      
|Other (loss) income                                           |                |                           | (24.4   | )                       |          |      | (7.2    | )     |        |   | 5.7    |      
|                                                              |                |                           |         |                         |          |      |         |       |        |   |        |      
|                                                              | Total revenues |                           |         | 962.4                   |          |      |         | 967.3 |        |   |        | 779.5 |       
|                                                              |                |                           |         |                         |          |      |         |       |        |   |        |      
|Benefits, losses and expenses:                                |                |                           |         |                         |          |      |         |       |        |   |        |      
|Losses and loss adjustment expenses                           |                |                           | (837.2  | )                       |          |      | (723.4  | )     |        |   | (470.4 | )    
|Underwriting acquisition costs                                |                |                           | (251.3  | )                       |          |      | (207.5  | )     |        |   | (169.0 | )    
|Operating and administration expenses                         |                |                           | (71.8   | )                       |          |      | (65.1   | )     |        |   | (61.7  | )    
|                                                              |                |                           |         |                         |          |      |         |       |        |   |        |      
|                                                              |                | Total losses and expenses |         |                         | (1,160.3 | )    |         |       | (996.0 | ) |        |       | (701.1 | )
|                                                              |                |                           |         |                         |          |      |         |       |        |   |        |      
|                                                              |                | Segment (loss) income     |         | $                       | (197.9   | )    |         | $     | (28.7  | ) |        | $     | 78.4   |  
|                                                              |                |                           |         |                         |          |      |         |       |        |   |        |      
|Ratios:                                                       |                |                           |         |                         |          |      |         |       |        |   |        |      
|Loss ratio                                                    |                |                           | 94.9    | %                       |          |      | 88.7    | %     |        |   | 74.8   | %    
|Underwriting expense ratio                                    |                |                           | 28.5    | %                       |          |      | 25.5    | %     |        |   | 26.9   | %    
|Administration expense ratio                                  |                |                           | 8.0     | %                       |          |      | 7.7     | %     |        |   | 9.1    | %    
|Combined ratio                                                |                |                           | 131.4   | %                       |          |      | 121.9   | %     |        |   | 110.8  | %    

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Year Ended December 31, 2001 Compared to Year Ended December 31, 2000

Converium North America Segment (Loss) Income

Converium North America reported a segment loss of $197.9 million in 2001
as compared to a segment loss of $28.7 million in 2000, a decrease of $169.2
million. This was primarily attributable to an increase in the estimate of net
loss and loss adjustment expense reserves of $164.0 million related to prior
accident years. We also incurred net loss and loss adjustment expense amounts
of $58.2 million related to the September 11th terrorist attacks and $39.3
million related to the Enron reorganization. Additionally, we experienced in
2001 a reduction of $54.7 million in net investment income and net realized
capital (losses) gains and a $17.2 million decrease in other (loss) income.
These items were partially offset by $52.1 million benefit under
an aggregate excess treaty covering the 2001 accident year pursuant to which we
ceded the casualty losses in excess of a set loss ratio (the 2001 Aggregate
Excess Treaty). The components of segment income are described below.

Converium North America Premiums

Converium North Americas gross premiums written for 2001 were $1,150.9
million compared to $1,295.5 million in 2000, representing a decrease of $144.6
million, or 11.2%. Reflecting our underwriting strategy in 2001, certain
treaties whereby Converium North America assumed the risk and then retroceded
material amounts to other reinsurers were not renewed and resulted in a decline
of $281.1 million in gross premiums. This decline was partially offset by
growth in our core portfolio business, predominantly in the specialty areas of
accident & health, agribusiness and the Risk Strategies division.

Converium North Americas net premiums written for 2001 were $898.4
million compared to $844.7 million in 2000, representing an increase of $53.7
million, or 6.4%. The increase in net premiums written reflects growth in the
specialty areas of accident and health, agribusiness and the Risk Strategies
division, partially offset by cessions of $98.7 million in premiums pursuant to
the 2001 Aggregate Excess Treaty. The treaties that were assumed and then
ceded, as mentioned above, did not have a significant effect on the net
premiums written as the vast majority of these premiums were retroceded.

Converium North Americas net premiums earned in 2001 were $882.4 million
compared to $815.4 million in 2000, representing an increase of $67.0 million,
or 8.2%. This growth reflects the increase in net premiums written in 2001.

Converium North America Net Investment Income and Net Realized Capital
(Losses) Gains

Converium North America reported net investment income and net realized
capital (losses) gains of $104.4 million in 2001 compared to $159.1 million in
2000, representing a decrease of $54.7 million, or 34.4%. Net realized capital
losses were $10.8 million in 2001 compared to net realized capital gains of
$48.5 million in 2000, a decrease of $59.3 million. This was due to the
declining equity markets in the United States and includes a provision of $59.3
million for publicly-traded equity investments that were impaired. Net
investment income was higher by $4.6 million in 2001, reflecting a higher
invested asset base and a higher return on a high yield bond fund.

Converium North America Other (Loss) Income

Converium North America reported other loss in 2001 of $24.4 million
compared to other loss of $7.2 million in 2000, representing an increased loss
of $17.2 million. This increased loss was partially due to the change in the
market value of our investments in private equity funds, which declined $13.8
million in 2001 as compared to $8.1 million in 2000, an increased loss of $5.7
million. We account for our investments in these funds based on our
proportionate share of the partnerships results and report these results in
other income. Also reflected in 2001 is $6.7 million of interest expense on
funds held related to the 2001 Aggregate Excess Treaty which did not exist in
2000. The third major component of the increased loss is a write-down of $3.5
million in 2001 related to miscellaneous assets.

Converium North America Losses and Loss Adjustment Expenses

Converium North Americas losses and loss adjustment expenses incurred in
2001 were $837.2 million compared to $723.4 million in 2000, representing an
increase of $113.8 million, or 15.7%. This is as compared to an increase in
the earned premiums of 8.2%. The loss ratio increased 6.2 points to 94.9% in
2001 from 88.7% in 2000.

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During 2001, Converium North America increased loss and loss adjustment
reserves by approximately $164.0 million relating to accident years 2000 and
prior. The loss reserve increases mainly related to liability treaty business.
See Item 4.  Information on the Company  B. Business Overview  Loss and
Loss Adjustment Expense Reserves  Adequacy of Reserves. During the second
half of 2001, Converium North America incurred net losses of $58.2 million
arising out of the September 11th terrorist attacks and $39.3 million related
to the Enron reorganization. The assumed losses were partially offset by
cessions of $157.5 million pursuant to the 2001 Aggregate Excess Treaty.

Converium North America Underwriting Acquisition Costs

Converium North Americas underwriting acquisition costs in 2001 were
$251.3 million compared to $207.5 million for 2000, representing an increase of
$43.8 million, or 21.1%. This increase in commissions generally corresponded
with the increase in net premiums earned of 8.2% after reflecting that the
cessions pursuant to the 2001 Aggregate Excess Treaty had premiums of $98.7
million with no commission benefit. Converium North Americas underwriting
expense ratios were 28.5% in 2001 and 25.5% in 2000. The increase in the
commission ratio is driven by the premium cessions pursuant to the 2001
Aggregate Excess Treaty, which did not contain a ceding commission benefit to
Converium North America. Without the 2001 Aggregate Excess Treaty, the
commission ratio in 2001 would have been 25.6%, which is consistent with the
percentage in 2000.

Converium North America Operating and Administration Expenses

Converium North Americas operating and administration expenses in 2001
were $71.8 million compared to $65.1 million in 2000, representing an increase
of $6.7 million, or 10.3%. Approximately $3.0 million of this increase is due
to personnel costs related to the transition to new compensation plans in
connection with our becoming a stand-alone company, with the remainder
representing increases in ongoing operating expenses. The administration
expense ratio increased to 8.0% in 2001 from 7.7% in 2000.

Converium North America Combined Ratios

Converium North Americas combined ratio increased to 131.4% in 2001 from
121.9% in 2000, mainly due to an increase of 6.2 points in the loss ratio and
3.0 points in the underwriting expense ratio as described above.

Year Ended December 31, 2000 Compared to Year Ended December 31, 1999

Converium North America Segment Income (Loss)

Converium North America reported a segment loss of $28.7 million for 2000
compared to pre-tax income of $78.4 million for 1999, a decrease of $107.1
million. The reduction was primarily due to an increase in the combined ratio
of 11.1 points, and a $12.9 million reduction in other income, partially offset
by a $14.0 million increase in net investment income and net realized capital
gains. The components of segment income are described below.

Converium North America Premiums

Converium North Americas gross premiums written in 2000 were $1,295.5
million compared to $934.8 million in 1999, representing an increase of $360.7
million, or 38.6%. Net premiums written in 2000
were $844.7 million compared to $677.3 million in 1999, representing an
increase of $167.4 million, or 24.7%.

Net premium written growth in 2000 was heavily driven by traditional
treaty business. The treaty growth was primarily due to new lines of business,
including agribusiness and accident and health, a large structured/finite motor
treaty generating approximately $83.7 million of net premiums written and
expanded treaty participations on in-force liability and property business.

Converium North Americas net premiums earned in 2000 were $815.4 million
compared to $628.7 million in 1999, representing an increase of $186.7 million,
or 29.7%, reflecting the growth in net premiums written.

Converium North America Net Investment Income and Net Realized Capital
Gains
84Table of Contents

Converium North America reported net investment income and net realized
capital gains in 2000 of $159.1 million compared to $145.1 million in 1999,
representing an increase of $14.0 million, or 9.6%. The increase in 2000 was
due to an increase in net realized capital gains of $6.3 million, and an
increase in net investment income of $7.7 million. Our comparative results
were affected by our decision to take a relatively high amount of capital gains
during a period of generally favorable prevailing market conditions during 1999
and early 2000, offset by generally higher yields in 2000 on invested assets
and an increase in the cash and invested asset base.

Converium North America Other Income (Loss)

Converium North America reported a loss in 2000 of $7.2 million with
respect to other income compared to other income of $5.7 million in 1999,
representing a decline of $12.9 million. This decline was primarily due to the
change in market value of our investments in private equity funds. We account
for our investments in these funds based on our proportionate share of the
partnerships results and report these results in other income.

Converium North America Losses and Loss Adjustment Expenses

Converium North Americas losses and loss adjustment expenses incurred in
2000 were $723.4 million compared to $470.4 million in 1999, representing an
increase of $253.0 million, or 53.8%. The loss ratio increased 13.9 points to
88.7% in 2000 from 74.8% in 1999. The increase in losses and loss adjustment
expenses was due to increased premium volume as well as approximately $81.0
million in adverse loss development.

The adverse loss development was comprised of $43.7 million of higher than
expected claims on two liability treaties, $22.9 million of unexpected claims
from two companies that were declared insolvent, and $8.3 million of late
reported claims from the 1999 European winter storms discussed below and $6.1
million from several other lines of business.

The $43.7 million of higher than expected claims on the two liability
treaties arose from two lines of business, professional liability and
accidental contamination, where expected claims were significantly
underestimated at the time the business was written and priced in the
mid-to-late 1990s. The losses on these treaties were not reported to us until
2000 and were significantly different from historical experience. In both of
the above cases, we undertook underwriting and claims audits during 2000 to
further understand the nature of the losses and the subsequent reporting of
them to us.

The professional liability losses emerged from an excess and surplus lines
treaty written in 1997 that was priced on the assumption that there would be a
small volume of miscellaneous professional liability exposures. Our subsequent
adverse development was caused by losses from the miscellaneous professional
liability product line which included a concentration of losses from a single
class (nursing homes) that was, in retrospect, significantly underpriced when
written in 1997 and 1998. This class was not a target or identified class when
the treaty was written. During 2000, reported losses started to develop
significantly on the nursing
home component of the treaty and at December 31, 2000, the reported loss on the
nursing home business was approximately $27.5 million.

The accidental contamination losses emerged in the excess of loss layers
of a treaty that became effective in 1996. When originally analyzed this
treaty was projected to have an 80% expected loss ratio. The actual frequency
and severity of accidental contamination claims reported in 2000 was greater
than expected and was significantly different from our historical experience.

The adverse loss development described above added 9.9 points to the loss
ratio. Absent the adverse loss development, the loss ratio grew approximately
4 points from 1999. This portion of the increase primarily reflects our
expectation, based on recent claims experience, that the 2000 year liability
business would develop at higher loss ratios than in 1999.

Converium North America recorded property catastrophe net losses from the
1999 European winter storms Anatol, Lothar and Martin of $8.3 million in 2000
and $11.2 million in 1999. This resulted in an increase of 1.0 points in our
2000 combined ratio and of 1.8 points in our 1999 combined ratio.

Converium North America Underwriting Acquisition Costs

Converium North Americas underwriting acquisition costs in 2000 were
$207.5 million compared to $169.0 million in 1999, representing an increase of
$38.5 million, or 22.8%. This increase in commissions generally corresponded
with the

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increase in premiums earned. Converium North Americas commission
rates were 25.5% in 2000 and 26.9% in 1999. The decrease in the underwriting
expense ratio was principally the result of a large structured/finite treaty in
2000 with approximately $62.8 million in earned premium which required us to
pay no commission.

Converium North America Operating and Administration Expenses

Converium North Americas operating and administration expenses for 2000
were $65.1 million compared to $61.7 million in 1999, representing an increase
of $3.4 million, or 5.5%. This increase primarily related to increased
headcount and related overhead costs and increased information technology
expenses. The administration expense ratio decreased to 7.7% in 2000 from 9.1%
in 1999. The decrease in Converium North Americas administration expense
ratio was primarily attributable to growth in premium volume.

Converium North America Combined Ratios

Converium North Americas combined ratio increased to 121.9% for 2000 from
110.8% for 1999, mainly due to an increase of 13.9 points in the loss ratio,
offset slightly by decreases in the underwriting expense and administrative
expense ratios as described above.

Converium Cologne

The table below presents information regarding results of operations of
our Converium Cologne segment for the years ended December 31, 2001, 2000 and
1999.

|                                                              |                           |   |                         |        |      |   |        |        |   |   |        |        |  
|------------------------------------------------------------- | ------------------------- | - | ----------------------- | ------ | ---- | - | ------ | ------ | - | - | ------ | ------ | -
|                                                              |                           |   | Year Ended December 31,
|                                                              |                           |   |                        
|                                                              |                           |   | 2001                    |        | 2000 |   | 1999  
|                                                              |                           |   |                         |        |      |   |       
|                                                              |                           |   | ($ in millions)        
|Revenues:                                                     |                           |   |                         |        |      |   |        |        |   |   |        |       
|Gross premiums written                                        |                           | $ | 299.9                   |        |      | $ | 241.3  |        |   | $ | 277.8  |       
|                                                              |                           |   |                         |        |      |   |        |        |   |   |        |       
|Net premiums written                                          |                           | $ | 257.8                   |        |      | $ | 218.6  |        |   | $ | 238.6  |       
|                                                              |                           |   |                         |        |      |   |        |        |   |   |        |       
|Net premiums earned                                           |                           | $ | 275.3                   |        |      | $ | 224.2  |        |   | $ | 222.5  |       
|Net investment income and net realized
capital (losses) gains |                           |   | 14.5                    |        |      |   | 56.9   |        |   |   | 57.7   |       
|Other income                                                  |                           |   | 2.4                     |        |      |   | 2.9    |        |   |   | 6.8    |       
|                                                              |                           |   |                         |        |      |   |        |        |   |   |        |       
|                                                              | Total revenues            |   |                         | 292.2  |      |   |        | 284.0  |   |   |        | 287.0  |  
|                                                              |                           |   |                         |        |      |   |        |        |   |   |        |       
|Benefits, losses and expenses:                                |                           |   |                         |        |      |   |        |        |   |   |        |       
|Losses and loss adjustment expenses                           |                           |   | (299.5                  | )      |      |   | (227.4 | )      |   |   | (171.1 | )     
|Underwriting acquisition costs                                |                           |   | (49.0                   | )      |      |   | (62.2  | )      |   |   | (68.5  | )     
|Operating and administration expenses                         |                           |   | (15.3                   | )      |      |   | (11.2  | )      |   |   | (12.9  | )     
|                                                              |                           |   |                         |        |      |   |        |        |   |   |        |       
|                                                              | Total losses and expenses |   |                         | (363.8 | )    |   |        | (300.8 | ) |   |        | (252.5 | )
|                                                              |                           |   |                         |        |      |   |        |        |   |   |        |       
|                                                              | Segment (loss)income      |   | $                       | (71.6  | )    |   | $      | (16.8  | ) |   | $      | 34.5   |  
|                                                              |                           |   |                         |        |      |   |        |        |   |   |        |       
|Ratios:                                                       |                           |   |                         |        |      |   |        |        |   |   |        |       
|Loss ratio                                                    |                           |   | 108.8                   | %      |      |   | 101.4  | %      |   |   | 76.9   | %     
|Underwriting expense ratio                                    |                           |   | 17.8                    | %      |      |   | 27.8   | %      |   |   | 30.8   | %     
|Administration expense ratio                                  |                           |   | 5.9                     | %      |      |   | 5.1    | %      |   |   | 5.4    | %     
|Combined ratio                                                |                           |   | 132.5                   | %      |      |   | 134.3  | %      |   |   | 113.1  | %     

Year Ended December 31,
2001 Compared to Year Ended December 31, 2000

Converium Cologne Segment (Loss)
Income

Converium Cologne reported a segment loss of $71.6 million in 2001
compared to a segment loss of $16.8 million in 2000, representing an increase
of $54.8 million. In 2001, Converium Cologne recognized $9.0 million in net
losses arising from the September 11th terrorist attacks, $32.6 million from
other large losses and $41.3 million in net adverse loss reserve development.
In addition, Converium Cologne had a significant decrease of $42.4 million in
net investment income and net realized capital losses. The components of
Converium Colognes segment income are described below.

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Converium Cologne Premiums

Converium Colognes gross premiums written in 2001 were $299.9 million
compared to $241.3 million in 2000, representing an increase of $58.6 million,
or 24.3%. Net premiums written in 2001 were $257.8 million compared to $218.6
million in 2000, representing an increase of $39.2 million, or 17.9%.

The largest growth regions based on net premiums written were:



| |  |  | Germany, where net premiums written increased $46.3 million,
or 88.5%, to $98.6 million in 2001 from $52.3 million in 2000.
This growth was primarily generated by two new proportional
contracts that contributed an additional $19.8 million in premiums
and an increase in our business with our industrial clients of $19.1
million.           
| | - |  | ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|
| |  |  | Near/Middle East & North Africa, where net premiums written
increased $11.4 million, or 21.8%, to $63.6 million in 2001 from
$52.2 million in 2000. The increase is due to the acquisition of
two new accident and health contracts in 2001 with $13.6 million in
premiums partially offset by the non-renewal of some poorly
performing contracts.
|
| |  |  | Rest of Europe, where net premiums written increased $6.8
million, or 7.7%, to $94.8 million in 2001 from $88.0 million in
2000. This increase is mainly a result of our growing facultative
business and intensified profitable client relationships in Central
and Eastern Europe.                                                               
|
| |  |  | The above increases were offset by a decrease of $25.4
million, generated by the cancellation of non-performing contracts
in U.S. accident and health business.                                                                                                                                                                                    

Net premiums earned in 2001 were $275.3 million compared to $224.2 million
in 2000, representing an increase of $51.1 million, or 22.8%.

Converium Cologne Net Investment Income and Net Realized Capital (Losses)
Gains

Converium Colognes net investment income and net realized capital
(losses) gains in 2001 were $14.5 million compared to $56.9 million in 2000,
representing a decrease of $42.4 million, or 74.5%. The decrease was due to a
$0.9 million decrease in net investment income and a $41.5 million decrease in
net realized capital (losses) gains. The decrease in net investment income
reflects lower yields for Converium Colognes predominantly euro-denominated
investments. Net realized capital losses at Converium Cologne were $10.1
million in 2001 compared to net realized capital gains of $31.4 million in
2000, representing a decrease of $41.5 million. The decrease is primarily due
to $23.0 million in impairment losses on our equity portfolio as a result of
the continuing deterioration in global stock markets.

Converium Cologne Other Income

Converium Cologne reported other income of $2.4 million in 2001 compared
to $2.9 million in 2000. This primarily reflects interest on third party
reinsurance deposits.

Converium Cologne Losses and Loss Adjustment Expenses

Converium Colognes losses and loss adjustment expenses in 2001 were
$299.5 million compared to $227.4 million in 2000, representing an increase of
$72.1 million, or 31.7%. This increase reflects the growth in net premiums
earned in addition to the following:



| |  |  | $9.0 million in losses from the September 11th terrorist
attacks                                                                                                                                                                                                           
| | - |  | ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|
| |  |  | $32.6 million in certain large loss events, including BAYER
Lipobay in the amount of $26.8 million, a chemical factory explosion
in Toulouse in the amount of $3.1 million, and the explosion and
sinking of the oil platform Petrobas resulting in $2.7 million in
losses.

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| |  |  | $41.3 million in adverse loss development and reserve
strengthening. Cedants reported significantly worse than originally
expected losses in the European and Middle East motor lines in the
fourth quarter of 2001 relating to prior years, which resulted in
our increasing the related reserves by $20.0 million. Additional
reserves were set up in the Middle East for energy and property
business of $9.8 million. We also had adverse loss development
related to asbestos and environmental exposure in the United States
of $11.5 million. Based on the reserve strengthening in this
business our survival ratio, calculated by paid losses of the last 3
years divided by reserves, increased to 13.8 years in 2001 compared
to a ratio of 13.1 years in 2000
| | - |  | -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

These losses were partially offset by the 2001 non-renewal of certain
under-performing treaties in the Middle East and Eastern Europe. The loss
ratio increased 7.4 points to 108.8% in 2001 from 101.4% in 2000, reflecting
the factors noted above.

Converium Cologne Underwriting Acquisition Costs

Converium Colognes underwriting acquisition costs in 2001 were $49.0
million compared to $62.2 million in 2000, representing a decrease of $13.2
million, or 21.2%. The decrease was primarily due to:



| |  |  | the decision not to renew several proportional contracts with
high ceding commissions in the Middle East and Eastern Europe       
| | - |  | ----------------------------------------------------------------------------------------------------------------------------------
|
| |  |  | the decision not to renew U.S. accident and health business
which had a higher commission ratio compared to the remaining
business
|
| |  |  | a profit participation for a single large contract in 2000 of
$2.7 million                                                        
|
| |  |  | generally lower commission rates due to conditions hardening
in the reinsurance market                                            

Converium Colognes underwriting expense ratio was 17.8% in 2001 compared
to 27.8% in 2000, representing an improvement of 10.0 points.

Converium Cologne Operating and Administration Expenses

Converium Colognes other operating and administration expenses in 2001
were $15.3 million compared to $11.2 million in 2000, representing an increase
of $4.1 million, or 36.6%. The administration expense ratio increased to 5.9%
in 2001 from 5.1% in 2000. This increase was due to increased headcount,
increased information technology costs to support our growth and higher legal
and consulting fees.

Converium Cologne Combined Ratios

Converium Colognes combined ratio decreased 1.8 points to 132.5% in 2001
from 134.3% in 2000, reflecting the increase of 7.4 points in our loss ratio, a
decrease of 10.0 points in our underwriting expense ratio and an increase of
0.8 points in our administration expense ratio, all as described above.

Year Ended December 31, 2000 Compared to Year Ended December 31, 1999

Converium Cologne Segment Income (Loss)

Converium Cologne reported a segment loss of $16.8 million for 2000
compared to segment income of $34.5 million for 1999, primarily due to a $56.3
million, or 32.9% increase in losses and loss adjustment expenses. The
components of Converium Colognes segment income are described below.

Converium Cologne Premiums

Converium Colognes gross premiums written in 2000 were $241.3 million
compared to $277.8 million in 1999, representing a decrease of $36.5 million,
or 13.1%. Net premiums written in 2000 were $218.6 million compared with
$238.6 million in 1999, representing a decrease of $20.0 million, or 8.4%. The
decrease was primarily due to the transfer of

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underwriting responsibility to
Converium Zurich for all business written in the United Kingdom and Ireland,
representing $16.7 million of net premiums written in 2000, and the devaluation
of most European currencies against the U.S. dollar. In addition, we
experienced a decrease in gross premiums written in Germany as a result of
transitions from proportional to non-proportional business. This was partially
offset by growth of approximately $13.0 million in Central and Eastern Europe,
and of approximately $6.0 million in the Middle East region.

Net premiums earned in 2000 were $224.2 million compared to $222.5 million
in 1999, representing an increase of $1.7 million, or 0.8%.

Converium Cologne Net Investment Income and Net Realized Capital Gains

Converium Colognes net investment income and net realized capital gains
in 2000 were $56.9 million compared to $57.7 million in 1999, representing a
decrease of $0.8 million, or 1.4%. The decrease was due primarily to a $2.0
million reduction in net investment income, offset by a $1.2 million increase
in net realized capital gains. The net realized capital gains resulted mainly
from the equity portfolio and reflect the conditions in the global equity
markets. As a result of the general downturn in global stock markets in the
second half of 2000, most of Converium Colognes capital gains were generated
in the first half of 2000. The decrease in net investment income reflects
lower cash flow in 2000 and the lower yields from Converium Colognes
predominantly euro-denominated investments.

Converium Cologne Other Income

Converium Cologne reported other income $2.9 million for 2000 compared to
$6.8 million in 1999, representing a decrease of $3.9 million, or 57.4%. The
decrease is primarily due to lower interest on third party reinsurance
deposits.

Converium Cologne Losses and Loss Adjustment Expenses

Converium Colognes losses and loss adjustment expenses in 2000 were
$227.4 million compared to $171.1 million in 1999, representing an increase of
$56.3 million, or 32.9%. The loss ratio increased 24.5 points to 101.4% in
2000 from 76.9% in 1999.

The increase in losses and loss adjustment expenses was primarily due to
increased premium volume, several losses on 2000 property, marine and motor
business, as well as approximately $25.4 million of adverse loss development.

The adverse loss development was comprised principally of $6.1 million
from increased frequency of claims from several Middle East energy treaties,
$4.5 million because of an unexpected loss on a block of U.S. health business
in run-off, and $3.2 million of late reported claims from the 1999 European
Winter storms discussed below.

Converium Cologne recorded property catastrophe net losses in 2000 from
the 1999 European winter storms Anatol, Lothar and Martin of $3.2 million in
2000 and $4.3 million in 1999. This added 1.4 points to the 2000 loss ratio
and 1.9 points to the 1999 loss ratio.

Converium Cologne Underwriting Acquisition Costs

Converium Colognes underwriting acquisition costs in 2000 were $62.2
million compared to $68.5 million in 1999, representing a decrease of $6.3
million, or 9.2%. The decrease was consistent with the level of Converium
Colognes earned premiums and reflects lower commission rates payable on
property and motor business. Converium Colognes underwriting expense ratio
was 27.8% in 2000 and 30.8% in 1999.

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Converium Cologne Operating and Administration Expenses

Converium Colognes other operating and administration expenses in 2000
were $11.2 million compared to $12.9 million in 1999, representing a decrease
of $1.7 million, or 13.2%. The decrease was mainly due to lower premium taxes
and third-party administration expenses, partially offset by increased internal
administration expenses. The administration expense ratio decreased to 5.1% in
2000 from 5.4% in 1999.

Converium Cologne Combined Ratios

Converium Colognes combined ratio increased 21.2 points to 134.3% in 2000
from 113.1% in 1999, primarily reflecting the increase of 24.5 points in the
loss ratio as a result of the losses described above.

Converium Life

The table below presents information regarding results of operations of
our Converium Life segment for the years ended December 31, 2001, 2000 and
1999.

|                                                     |                                     |   |                         |        |      |   |       |        |   |   |       |       |  
|---------------------------------------------------- | ----------------------------------- | - | ----------------------- | ------ | ---- | - | ----- | ------ | - | - | ----- | ----- | -
|                                                     |                                     |   | Year Ended December 31,
|                                                     |                                     |   |                        
|                                                     |                                     |   | 2001                    |        | 2000 |   | 1999 
|                                                     |                                     |   |                         |        |      |   |      
|                                                     |                                     |   | ($in millions)         
|Revenues:                                            |                                     |   |                         |        |      |   |       |        |   |   |       |      
|Gross premiums written                               |                                     | $ | 164.8                   |        |      | $ | 120.5 |        |   | $ | 93.4  |      
|                                                     |                                     |   |                         |        |      |   |       |        |   |   |       |      
|Net premiums written                                 |                                     |   | 141.4                   |        |      |   | 114.4 |        |   |   | 84.8  |      
|                                                     |                                     |   |                         |        |      |   |       |        |   |   |       |      
|Net premiums earned                                  |                                     |   | 125.1                   |        |      |   | 106.0 |        |   |   | 79.7  |      
|Net investment income and net realized
capital gains |                                     |   | 2.4                     |        |      |   | 5.7   |        |   |   | 10.2  |      
|Other income                                         |                                     |   | 13.7                    |        |      |   | 21.6  |        |   |   | 1.5   |      
|                                                     |                                     |   |                         |        |      |   |       |        |   |   |       |      
|                                                     | Total revenues                      |   |                         | 141.2  |      |   |       | 133.3  |   |   |       | 91.4  |  
|                                                     |                                     |   |                         |        |      |   |       |        |   |   |       |      
|Benefits, losses and expenses:                       |                                     |   |                         |        |      |   |       |        |   |   |       |      
|Benefits and losses                                  |                                     |   | (137.4                  | )      |      |   | (84.5 | )      |   |   | (82.5 | )    
|Underwriting acquisition costs                       |                                     |   | (5.7                    | )      |      |   | (34.5 | )      |   |   | (6.7  | )    
|Operating and administration expenses                |                                     |   | (5.2                    | )      |      |   | (4.0  | )      |   |   | (3.0  | )    
|                                                     |                                     |   |                         |        |      |   |       |        |   |   |       |      
|                                                     | Total benefits, losses and expenses |   |                         | (148.3 | )    |   |       | (123.0 | ) |   |       | (92.2 | )
|                                                     |                                     |   |                         |        |      |   |       |        |   |   |       |      
|                                                     | Segment (loss) income               |   | $                       | (7.1   | )    |   | $     | 10.3   |   |   | $     | (0.8  | )
|                                                     |                                     |   |                         |        |      |   |       |        |   |   |       |      
|Ratios:                                              |                                     |   |                         |        |      |   |       |        |   |   |       |      
|Underwriting expense ratio                           |                                     |   | 4.5                     | %      |      |   | 32.5  | %      |   |   | 8.4   | %    
|Administration expense ratio                         |                                     |   | 3.7                     | %      |      |   | 3.5   | %      |   |   | 3.5   | %    

Year Ended December 31, 2001 Compared to Year Ended December 31, 2000

Converium Life Segment (Loss) Income

Our Converium Life operations reported a loss of $7.1 million in 2001
compared to income of $10.3 million in 2000, representing a decrease of $17.4
million primarily due to increased benefits and losses, decreased other income
and decreased net investment income and net realized capital gains. These
items were partially offset by increased net premiums earned and decreased
underwriting acquisition costs. The components of segment income are described
below.

Converium Life Premiums

Gross premiums written by our Converium Life operations in 2001 were
$164.8 million compared to $120.5 million in 2000, representing an increase of
$44.3 million, or 36.8%. Net premiums written in 2001 were $141.4 million
compared to $114.4 million in 2000, representing an increase of $27.0 million,
or 23.6%.

This growth was consistent with our strategy to expand our Converium Life
operations, and principally related to broadened marketing activities and
extended customer relationships in most of our significant life reinsurance
markets. These markets include Germany, Italy, France, South America and the
United States. In addition, the opening of branches and representative offices
in Paris, Milan and Buenos Aires supported this growth. Also, growth in our
Converium Life risk premium business and modified co-insurance business from
the Italian and German markets contributed to the growth of the life portfolio.

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Net premiums earned by our Converium Life operations in 2001 were $125.1
million compared to $106.0 million in 2000, representing an increase of $19.1
million, or 18.0%.

Converium Life Net Investment Income and Net Realized Capital Gains

Net investment income and net realized capital gains in 2001 were $2.4
million compared to $5.7 million in 2000, representing a decrease of $3.3
million, or 57.9%. This decrease reflects reduced invested assets primarily
resulting from a number of modified co-insurance contracts which we wrote in
2001 and which required the payment of substantial commissions at the time
these contracts were written. Additionally, our net investment income was
influenced by lower investment yields in 2001.

Due to a heavy emphasis on bonds in our life segment in 2001, we did not
generate a capital gain or loss for 2001. Our net realized capital gains in
2000 were $3.6 million.

Converium Life Other Income

Our Converium Life operations reported other income in 2001 of $13.7
million compared to $21.6 million in 2000, representing a decrease of $7.9
million, or 36.6%. Other income mainly results from interest on third party
reinsurance deposits. In 2000, we received interest on deposits withheld of
approximately $9.0 million as part of the final settlement of a major contract
with World Wide Winsor, United Kingdom.

Converium Life Benefits and Losses

Converium Life benefits and losses in 2001 were $137.4 million compared to
$84.5 million in 2000, representing an increase of $52.9 million, or 62.6%.
This development is primarily related to the premium growth. Additionally,
$12.1 million of reserves for variable annuities business were recorded in
2001. This business is closely linked to the performance of the global stock
markets which performed poorly during 2001. Another $12.0 million of losses
were incurred arising out of the September 11th terrorist attacks.

Converium Life Underwriting Acquisition Costs

Underwriting acquisition costs of our Converium Life operations in 2001
were $5.7 million compared to $34.5 million in 2000. The decrease in
underwriting acquisition costs of $28.8 million was partly due to the
refinement of our estimation process, which allowed us to calculate commissions
more exactly. Additionally, a securitization contract was placed to fund the
payment of substantial commissions of modified co-insurance contracts which
contributed an income of $7.3 million in 2001. Finally, a reinsurance contract
was commuted, generating reduced commission expense of $3.3 million in 2001.

Converium Life Operating and Administration Expenses

Our Converium Life operating and administration expenses in 2001 were $5.2
million compared to $4.0 million in 2000, representing an increase of $1.2
million. The administration expense ratio reported by Converium Life was 3.7%
in 2001, compared to 3.5% in 2000. This increase was a result of increased
headcount, increased information technology costs to support our growth and
higher legal and consulting fees.

Year Ended December 31, 2000 Compared to Year Ended December 31, 1999

Converium Life Segment Income (Loss)

Our Converium Life operations reported income of $10.3 million in 2000
compared to a loss of $0.8 million in 1999. The improvement in 2000 primarily
related to increased interest on third party deposits and the settlement of a
major contract. The components of segment income are described below.

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Converium Life Premiums

Gross premiums written by our Converium Life operations in 2000 were
$120.5 million compared to $93.4 million in 1999, representing an increase of
$27.1 million, or 29.0%. Net premiums written in 2000 were $114.4 million
compared to $84.8 million in 1999, representing an increase of $29.6 million,
or 34.9%. This growth was consistent with our strategy to expand our Converium
Life operations, and principally related to broadened marketing activities, and
extended customer relationships in most of our significant life reinsurance
markets. These markets include Germany, Italy, France, South America and the
United States. In addition, the opening of branch and representative offices
in Paris and Milan supported this positive development. Moreover, growth in
our Converium Life risk premium business and modified co-insurance business
from Italian and German life insurance companies contributed to the positive
development of the life portfolio. The growth of our Converium Life operations
was partially offset by the devaluation of most European currencies against the
U.S. dollar. On a constant exchange rate basis, Converium Lifes net premiums
written increased by 56.0% in 2000 compared to 1999.

Net premiums earned by our Converium Life operations in 2000 were $106.0
million compared to $79.7 million in 1999, representing an increase of $26.3
million, or 33.0%. This was consistent with growth in net premiums written.

Converium Life Net Investment Income and Net Realized Capital Gains

Net investment income and net realized capital gains in 2000 were $5.7
million compared with $10.2 million in 1999, representing a decrease of $4.5
million, or 44.1%. This decrease principally reflects reduced invested assets
primarily resulting from a number of modified co-insurance contracts which we
wrote in the first quarter of 2000 and which required the payment of
substantial commissions at the time these contracts were written. Our modified
co-insurance business, which we are seeking to grow, generally requires the
payment of relatively high commissions when the business is first written. To
mitigate the resulting strain on our cash flow from our growing modified
co-insurance business, we have entered into a strategic retrocession agreement
that took effect in July 2001.

Converium Life Other Income

Our Converium Life operations reported other income in 2000 of $21.6
million compared to $1.5 million in 1999, representing an increase of $20.1
million. The increase was primarily due to interest income received as part of
the final settlement of a major contract with World Wide Winsor, United
Kingdom, where we received interest on deposits withheld of approximately $9.0
million that we previously did not anticipate. Interest on reinsurance
deposits grew correspondingly with the expansion of the underlying business.

Converium Life Benefits and Losses

Converium Life benefits and losses in 2000 were $84.5 million compared to
$82.5 million in 1999, representing an increase of $2.0 million, or 2.4%. Due
to the change in business mix experienced in 2000, a greater proportion of our
treaties did not require substantial initial reserves, although reserves for
the related contracts will increase over the life of the treaty.

Converium Life Underwriting Acquisition Costs

Underwriting acquisition costs of our Converium Life operations in 2000
were $34.5 million compared to $6.7 million in 1999, representing an increase
of $27.8 million, or 414.9%. This increase was primarily due to the increased
proportion of short-duration contracts in our portfolio, together with the
relatively high commissions reported by our modified co-insurance business.
The underwriting expense ratio was 32.5% in 2000 compared to 8.4% in 1999,
which also reflected the relatively high level of commissions recorded in
connection with our modified co-insurance business and the significant growth
of this business in 2000.

We write our modified co-insurance business on a proportional basis.
Because we assume a portion of the initial acquisition costs paid by life
insurers to agents and brokers we have relatively high initial acquisition
costs. As of July 2001, we have entered into a strategic retrocession
agreement that we expect will partially offset these effects in the future.

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Converium Life Operating and Administration Expenses

Our Converium Life operating and administration expenses in 2000 were $4.0
million compared to $3.0 million for 1999, representing an increase of $1.0
million. Increased operating and administration expenses in 2000 included
additional costs for new marketing initiatives, a new medical underwriting
department and expanded actuarial support at our offices in Cologne.
Furthermore, start-up costs for our branch and representative offices in Paris
and Milan also contributed to our increased operating and administration
expenses in 2000. The administration expense ratio reported by Converium Life
was 3.5% in 2000 and 1999.

B.     LIQUIDITY AND CAPITAL RESOURCES

We operate a treasury function responsible for managing our banking
relationships, capital raising activities including equity and debt issues, our
overall cash, cash pooling and liquidity positions and the
payment of internal and external dividends. Individual subsidiaries are
responsible for managing local cash and liquidity positions, including the
repayment of debt.

Liquidity Requirements

Our principal cash requirements are for the payment of dividends to
shareholders, servicing debt, investment in businesses, capital expenditures,
servicing retrocessional arrangements and for paying reinsurance and insurance
claims, which could periodically include significant cash requirements related
to catastrophic events.

We intend to pay dividends on our outstanding shares, subject to the
recommendation of our Board of Directors and a resolution of our shareholders
at an ordinary general shareholders meeting. Our dividends, if any, will be
paid by us in Swiss francs. Owners of our ADSs will be entitled to received
dividends, if any, payable in respect of the underlying shares. Our dividend
policy in future periods will depend on a number of factors including our
results of operations, our financial condition, our capital and cash
requirements, general business conditions, legal, contractual and regulatory
restrictions regarding the payment of dividends by us and other factors. See
Item 8   Financial Information   Dividends and
Dividend Policy.

Interest on debt and short-term borrowings was $24.2 million in 2001,
$17.1 million in 2000 and $17.5 million in 1999. We did not issue any debt in
any of the three years ended December 31, 2001. We had no scheduled debt
repayments in 2001, 2000 or 1999. The carrying value of our outstanding debt
remained relatively constant at $197.0 million at December 31, 2001, $196.9 at
December 31, 2000 and $196.8 million at December 31, 1999.

Liquidity Sources

Our principal liquidity sources consist of premiums, fees, investment
income, proceeds from the sale and maturity of investment securities and
borrowings. Our business units pay reinsurance and insurance claims and
benefits and operating expenses predominantly from their own cash resources.
Most of our debt is funded by our businesses from their own cash resources. We
have generated combined net cash inflows from operating activities over the
last three years. However, our cash flows were adversely affected in 2001 by
the events of September 11th. We expect that a significant portion of the cash
outflows relating to these events will occur over a period of two to five
years, mainly because of the time involved to determine with accuracy the
losses of the primary insurance companies and reporting these losses to
reinsurers. Accordingly, our cash flow and investment income will be impacted
gradually over the next five years.

Our financial statements reflect investment income recorded pursuant to
the Zurich Financing Agreement, which was used to manage the cash flows of
Converium Zurich before we formed an independent legal entity to hold this
business. On January 1, 2001, the Zurich Financing Agreement was amended to
provide an interest return similar to that now provided by the Funds Withheld
Asset. The Zurich Financing Agreement was subsequently cancelled, effective
July 1, 2001, in conjunction with the establishment of the Funds
Withheld Asset.

We do not expect the Funds Withheld Asset to have a material impact on our
liquidity, as we will not be required to access our own liquidity sources for
claims under the Quota Share Retrocession Agreement. We are, however, entitled
to receive cash advances with respect to the Funds Withheld Asset under certain
circumstances, which we expect will help meet significant cash requirements,
such as those after a catastrophic event.

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In particular, we are entitled to borrow cash from ZIC if we have eligible
losses from a single event or series of related events not relating to the
business covered by the Quota Share Retrocession Agreement and exceeding $25
million. The amount we may borrow as a result of any one event or series of
related events is limited to the lesser of $90 million, or our actual losses
from the event. We are entitled to request multiple advances. However, we may
not borrow more than the Funds Withheld Asset balance
and the aggregate amount of outstanding advances at any one time is
limited to the following amounts during the periods named:

|                                     |                 |   |       | 
|------------------------------------ | --------------- | - | ----- | 
|Period                               | Amount         
|                                     | ($ in millions)
|Current to June 30, 2002             |                 | $ | 180.0 | 
|July 1, 2002 to September 30, 2002   |                 |   | 165.0 | 
|October 1, 2002 to December 31, 2002 |                 |   | 150.0 | 
|January 1, 2003 to March 31, 2003    |                 |   | 135.0 | 
|April 1, 2003 to June 30, 2003       |                 |   | 120.0 | 
|July 1, 2003 to September 30, 2003   |                 |   | 105.0 | 

We may not request advances beyond September 30, 2003 unless we agree
otherwise with ZIC.

Interest on these advances would accrue at a variable annual rate equal to
prevailing LIBOR plus 0.50%, and would be payable monthly. We would be
required to repay any advance at the latest on the first anniversary of its
receipt.

Finally, under the Quota Share Retrocession Agreement ZIC and ZIB have the
right to prepay to us, in whole or in part, the balance of the Funds Withheld
Asset.

Dividends from Subsidiaries

As a holding company, Converium relies in large part on cash dividends and
other permitted payments from its subsidiaries to make principal and interest
payments on debt, to pay other outstanding obligations and to pay dividends to
shareholders. Converium is subject to legal restrictions on the amount of
dividends it may pay to its shareholders. Similarly, the company laws of
countries in which our entities operate may restrict the amount of dividends
payable by such entities to their parent companies. In addition, the ability
of our entities to pay dividends may be restricted or influenced by minimum
capital and solvency requirements imposed by regulators in the countries in
which the entities operate. We do not consider current legal and regulatory
dividend constraints to be a material limitation on the ability of our
subsidiaries to pay dividends to us.

In Switzerland, insurance supervisory regulations applicable to our Swiss
operating company required entities to fund their statutory reserves at a
minimum level of 20% of net profits until the statutory reserve fund reaches an
amount equal to 50% of the initial guarantee fund. For regulations applicable
to Converium Holding, see Item 8  Financial
Information  Dividends and Dividend Policy.

In the United States, restrictions on payment of dividends are imposed by
the insurance laws and regulations of the state of domicile. For Converium
Reinsurance (North America) Inc., unless the Connecticut Insurance Commissioner
has granted prior approval, dividends are payable only from earned surplus and
are limited annually to the greater of 10% of the previous years policyholders
surplus or 100% of the previous years statutory net income. In addition,
Converium Reinsurance (North America) Inc. may not, for a period of two years
from the date of any change in control, make any dividend to its shareholders
without the prior approval of the Connecticut Insurance Commissioner.

In Germany, the minimum amount of statutory capital required is 10% of the
par value of the common stock. If the 10% criterion is met, dividends in an
amount equal to 100% of current year surplus can be paid. If the 10% criterion
is not met, dividends are limited to a maximum of 95% of current year surplus
less the prior year loss carryover. The maximum dividend payable by Converium
AG to Converium Holding AG without regulatory approval amounted to
approximately $256.0 million, net of withholding tax, as of December 31, 2001.
The maximum dividend that Converium Holding AG is able to pay in 2002, before
withholding tax, is approximately $273.0 million as of December 31, 2001.

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Debt Outstanding

As of December 31, 2001, we had total debt outstanding with a principal
amount of $200.0 million and a carrying amount of $197.0 million.

As a result of the Formation Transaction, Converium North America assumed
$200.0 million principal amount of non-convertible, unsecured, unsubordinated
senior notes originally issued during October 1993. These notes mature on
October 15, 2023 and bear interest at the rate of 7.125%.

In addition, irrevocable letters of credit in the face amount of $277.5
million were outstanding as of December 31, 2001. We employ these letters of
credit principally to secure certain assumed reinsurance contracts. We have
provided guarantees or commitments of $150.0 million to external parties which
require us to, under certain circumstances, make capital contributions or
provide equity financing. We know of no event that would require us to satisfy
these guarantees.

Capital Requirements

Prior to the completion of the Formation Transactions, we relied on the
capital and liquidity of Zurich Financial Services to support the capital
adequacy and liquidity requirements of our business, particularly that of
Converium Zurich, which operated as a division of Zurich Insurance Company. In
connection with the Formation Transactions, Zurich Financial Services and its
subsidiaries transferred cash and other assets and liabilities to us, as a
result of which we had, as of October 1, 2001, total shareholders equity of
approximately $1.65 billion. As of December 31, 2001, we had total
shareholders equity of $1.57 billion, compared to $1.09 billion as of December
31, 2000. The increase in 2001 is due to additional capital received in
conjunction with the Formation Transactions. Shareholders equity declined
from the $1.65 billion that we reported immediately after the Formation
Transactions. This decrease is comprised of a net loss of $59 million, a loss
of $29 million in our currency translation account, and a decrease in equity of
$10 million for a pension adjustment, offset by an increase in unrealized gains
on investments of $18 million. The $1.65 billion of equity included $51
million of income from the effect of certain of the Formation Transactions that
occurred on October 1, 2001. Accordingly, our net loss for the period October
2, 2001 to December 31, 2001 was $59 million.

Cash Flows

|                |                                                 |                                       |   |                         |        |      |   |        |        |   |   |        |       |  
|--------------- | ----------------------------------------------- | ------------------------------------- | - | ----------------------- | ------ | ---- | - | ------ | ------ | - | - | ------ | ----- | -
|                |                                                 |                                       |   | Year Ended December 31,
|                |                                                 |                                       |   |                        
|                |                                                 |                                       |   | 2001                    |        | 2000 |   | 1999  
|                |                                                 |                                       |   |                         |        |      |   |       
|                |                                                 |                                       |   | ($in millions)         
|Cash flow data: |                                                 |                                       |   |                         |        |      |   |        |        |   |   |       
|                | Cash provided by (used in) operating activities |                                       | $ | 311.5                   |        |      | $ | (33.2  | )      |   | $ | 243.9  |      
|                | Net cash used in investing activities           |                                       | $ | (627.3                  | )      |      | $ | (130.7 | )      |   | $ | (555.3 | )    
|                |                                                 | Net cash used in financing activities |   | $                       | (627.8 | )    |   | $      | (233.4 | ) |   | $      | (18.7 | )

We held cash and cash equivalents of $420.5 million as of December 31,
2001 compared to $121.9 million as of December 31, 2000, representing an
increase of $298.6 million, or 245.0%. This increase was due to capital
contributions received prior to the initial public offering, which remained in
cash as of December 31, 2001.

Our cash flows from operating activities result principally from premiums,
collections on losses recoverable and investment income, net of paid losses,
acquisition costs and underwriting expenses.

We have generated cumulative net cash inflows from operating activities
over the last three years. During 2001, 2000 and 1999, our net cash flows from
operating activities comprised of positive cash flow of $311.5 million in 2001,
negative cash flow of $33.2 million in 2000 and positive cash flow of $243.9
million in 1999. The $344.7 million increase in operating cash flows in 2001
was mainly due to increases
in premium receipts that we invested to support our growing loss reserves.
The $277.1 million decrease in operating cash flows in 2000 was mainly due to
lower recoveries of ceded losses.

Our total cash used in investing activities was $627.3 million in 2001,
$130.7 million in 2000, and $555.3 million in 1999. Almost all of these net
cash outflows resulted from investing in our investment portfolio, mainly fixed
income and equity securities. In 2001, we began to invest a portion of the
capital contributions we received from Zurich Financial Services. Cash used in
investing activities was lower in 2000, as we had a smaller amount of operating
cash flows to invest.

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Our net cash flows from financing activities included positive cash flow
of $627.8 million in 2001, positive cash flow of $233.4 million in 2000, and
negative cash flow of $18.7 million in 1999. The 2001 cash flows from
financing activities were primarily driven by the capital contributions we
received from Zurich Financial Services. In 2000 and 1999, our cash flows from
financing activities were dependent upon changes in the amounts due to or from
Zurich Financial Services, particularly under the Zurich Financing Agreement.

As a reinsurer, our future cash flows are inherently difficult to predict.
This uncertainty is particularly pronounced with respect to some coverage we
provide, such as long-tail lines, where claims information emerges over a
relatively long period of time, and property catastrophe coverage, which
generally produces losses of low frequency but high severity. Accordingly, it
is not possible to predict our future cash flows from operating activities with
precision. As a consequence, our cash flows from operating activities may
fluctuate, perhaps significantly, from quarter to quarter and from year to
year.

We believe that our capital, liquidity, and borrowing ability is
sufficient to support our business and meet our present liquidity requirements.

New Accounting Standards

The Financial Accounting Standards Board (FASB) has issued the following
new standards, which we will be required to adopt in the future:

SFAS 142, Goodwill and Other Intangible Assets

In June 2001, the FASB issued SFAS No. 142, Goodwill and Other Intangible
Assets. This standard prohibits the amortization of goodwill and intangible
assets that have indefinite useful lives, and requires impairment testing of
goodwill annually or if any event occurs which would indicate an impairment of
goodwill. It also prescribes that goodwill should be tested for impairment
under a fair value method different than that previously required under SFAS
No. 121, Accounting for the Impairment of Long-Lived Assets and for Long-Lived
Assets to be Disposed Of. This standard is effective for fiscal years
beginning after December 15, 2001.

Except for the reduction of future amortization of goodwill, adoption of
SFAS No. 142 is not expected to impact our financial condition or results of
operations. Amortization of goodwill was $7.8 million, $7.3 million and $6.2
million for the years ended December 31, 2001, 2000 and 1999, respectively.

SFAS 143, Accounting for Asset Retirement Obligations

In June 2001, the FASB issued SFAS No. 143, Accounting for Asset
Retirement Obligations, which requires that obligations associated with the
retirement of a tangible long-lived asset be recorded as a liability when those
obligations are incurred, with the amount of the liability initially measured
at fair value. This standard will not have a material impact on our financial
condition.

SFAS 144, Accounting for the Impairment or Disposal of Long-Lived Assets

In August 2001, the FASB issued SFAS No. 144, Accounting for the
Impairment or Disposal of Long-Lived Assets, which supersedes both SFAS No.
121, Accounting for the Impairment of Long-Lived Assets and for Long-Lived
Assets to Be Disposed Of and the accounting and reporting provisions of APB
Opinion No. 30, Reporting the Results of Operations  Reporting the Effects of
Disposal of a Segment of a Business, and Extraordinary, Unusual and
Infrequently Occurring Events and Transactions, for the disposal of a segment
of a business (as previously defined in APB Opinion No. 30). SFAS No. 144
retains the fundamental provisions in SFAS No. 121 for recognizing and
measuring impairment losses on long-lived assets held for use and long-lived
assets to be disposed of by sale, while also resolving significant
implementation issues associated with SFAS No. 121.

This standard is effective for fiscal years beginning after December 15,
2001. We do not expect the adoption of SFAS No. 144 to have a material impact
on our financial condition because the impairment assessment under SFAS No.
144 is largely unchanged from SFAS No. 121. The provisions of this statement
for assets held for sale or other disposal

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generally are required to be applied prospectively after the adoption date
to newly initiated disposal activities. As a result, we cannot determine the
potential effects that adoption of SFAS No. 144 will have on our financial
condition with respect to future disposal decisions.

C. RESEARCH AND DEVELOPMENT, PATENTS, LICENSES

Not Applicable

D. TREND INFORMATION

See  A. Operating Results

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##### Table of Contents






ITEM 6.     DIRECTORS, SENIOR MANAGEMENT AND EMPLOYEES

A. DIRECTORS AND SENIOR MANAGEMENT

Board of Directors

The board of directors of a Swiss corporation is ultimately responsible
for the policies and management of the corporation. The board approves the
strategic, accounting, organizational and financing policies to be followed by
the corporation. The board further appoints the executive officers and the
authorized signatories of the corporation, and supervises the management of the
corporation. Moreover, the board is entrusted with preparing shareholders
meetings and carrying out shareholders resolutions. The board may, pursuant
to its regulations, delegate the conduct of day-to-day business operations to
management under its control.

Our Articles of Incorporation require our Board of Directors to consist of
not less than four and not more than nine members. The ordinary term of office
is three years. On the expiration of their terms of office, directors may be
re-elected immediately. Directors complete their term of office at any one
general shareholders meeting. Directors are elected by a majority of the
votes cast by our shareholders at any one general shareholders meeting.

Our Board of Directors, which will meet at least four times per year, is
responsible for determining our overall strategy and for the supervision of
management. It has a formal schedule of matters specifically reserved for its
decision. Except for matters specifically reserved for the Board of Directors,
the Chief Executive Officer of Converium, referred to as the Group Chief
Executive Officer, and, under his supervision, the members of the Group
Executive Committee, have been given responsibility for the executive
management of Converium.

The members of our Board of Directors, their ages and terms of office are as follows:

|                                        |  |     |    |                 |  |  |      | 
|--------------------------------------- |  | --- | -- | --------------- |  |  | ---- | 
|Name                                    |  | Age |    | Term Expires in
|                                        |  |     |    |                
|Terry G. Clarke(1)(2)*                  |  |     | 60 |                 |  |  | 2004 | 
|Peter C. Colombo (Chairman)(1)(2)(3)(4) |  |     | 67 |                 |  |  | 2004 | 
|Jürgen Förterer(3)                      |  |     | 60 |                 |  |  | 2004 | 
|Derrell J. Hendrix(3)                   |  |     | 48 |                 |  |  | 2004 | 
|Georg Mehl (Vice-Chairman)(1)(2)(4)     |  |     | 62 |                 |  |  | 2003 | 
|George G. C. Parker(3)(4)               |  |     | 63 |                 |  |  | 2003 | 
|Anton K. Schnyder(1)(2)                 |  |     | 49 |                 |  |  | 2003 | 



---

|    |  |                                                                                
|--- |  | -------------------------------------------------------------------------------
|   
|*   |  | Mr. Clarke was elected to our Board of Directors, effective on January 1,
2002.
|   
|(1) |  | Member of the Nominations Committee                                            
|   
|(2) |  | Member of the Remuneration Committee                                           
|   
|(3) |  | Member of the Finance Committee                                                
|   
|(4) |  | Member of the Audit Committee                                                  

Terry G. Clarke Until his retirement at the end of 2001, Terry G. Clarke
was a consulting actuary with Tillinghast  Towers Perrin and a principal of
Towers Perrin. He joined their London office in 1986 and most recently was
managing principal of Tillinghasts North America practice. From 1978 until
1986, Mr. Clarke was a member of the Norwich Winterthur Group senior management
team. Prior to 1978, he held various positions in the Norwich Union Group.
Mr. Clarke is a fellow of the Institute of Actuaries and is co-author of a
number of papers on non-life insurance subjects as well as a tutor and
examiner. He is a member of a number of professional committees both in the UK
and continental Europe.

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Peter C. Colombostarted his professional career with Gerling Group in
Cologne in 1959 and was Principal Officer of Gerling Globals Reinsurance
Company in London from 1963 to 1965. From 1965 through 1998 he worked for
Union Reinsurance Company in Zurich with various responsibilities. Mr. Colombo
served as President and CEO of Union Reinsurance Company from 1989, with
appointments as Managing Director in 1996 and as Deputy Chairman of the Board
of Directors in 1997. He also serves as Deputy Chairman of Board of Directors
of General (Schweiz) Holding AG and as Deputy Chairman of the Board of
Directors of Compania Europea de Deguros, Madrid, Spain. Additionally, he is a
member of the Executive Committee of the International Insurance Society Inc.,
New York, and a member of the Advisory Board of the Barmenia Group in
Wuppertal, Germany. Peter C. Colombo holds a Bachelors degree of Social
Sciences (Economics and Politics) from the University of Birmingham, England.

Jürgen Förtererhas served, since 1997, as Chairman of the Executive
Management board of R+V Versicherung AG, the holding company of R+V
Versicherungsgruppe. Previously, Mr. Förterer served as deputy chairman of the
Executive Management Board of R+V Versicherungsgruppe in Wiesbaden, Germany
beginning in 1996. He started his professional career in 1977 with
Norddeutsche Landesbank in Hannover and joined Allianz AG in Munich, Germany in
1980 and was appointed as a member of the Executive Management Board of Allianz
Lebensversicherungs-AG, Stuttgart, Germany in 1993. Additionally, Mr. Förterer
serves as a member of the supervisory boards of VR Leasing AG, Strabag AG,
Hermes Kreditversicherungs AG, Raiffeisen Druckerei GmbH, and R&V Pensionfonds
AG. He graduated from the Ruhr-University in Bochum, Germany in 1972 and
received a doctorate degree from the Technical University of Hannover in 1978.

Derrell J. Hendrixis the Manager and Chief Executive Officer of The
RISConsulting Group LLC, a Boston-based risk management consulting company
which he founded in 1998 together with Hannover Rückversicherungs AG through
its U.S. subsidiary, Insurance Corporation of Hannover. Previously, Mr.
Hendrix served from 1995 to 1996 as Managing Director and Head of Derivatives
at Bank of Boston. He began his career at Citbank in 1977 and from 1980
through 1995 he held various department head positions in Citicorps banking
and investment banking operations in Toronto, Hong Kong and London. Mr.
Hendrix holds a Master of Arts from the Fletcher School of Law and Diplomacy,
Medford, Massachusetts and a Bachelor of Arts from Amherst College, Amherst,
Massachusetts.

Georg Mehlhas served as a consultant for the Wüstenrot & Württembergische
Group, Stuttgart, Germany, since 2001. In addition, he has served as a member
of the Executive Management Board of Hanse-Marine-Versicherung-AG, Hamburg,
Germany. Previously, he served in a series of positions with the
Württembergische Group, most recently as CEO of Wüstenrot & Württembergische AG
from 1999 until 2000. Before, Georg Mehl worked for almost 30 years with the
Allianz Group, Hamburg and Munich, Germany. He is a member of the Board of
Directors of Hermes Kreditversicherung-AG, as well as several other German
companies. Mr. Mehl also serves as a member of the Supervisory and Advisory
Boards of certain German banks. He graduated from the German Insurance Academy
in Cologne, Germany in 1961.

George G. C. Parkeris the Dean Witter Distinguished Professor of Finance
and Management, Graduate School of Business, Stanford University, U.S. From
1993 to 2001, Professor Parker was senior associate dean for academic affairs
and director of the MBA Program at Stanford. Prior to this, Professor Parker
served as director for Executive Education, Stanford Business School between
1979 and 1988 and from 1973 to 1979 he was director of the Stanford Sloan
Program for Executives. He is currently a board member of California Casualty
Group of Insurance Companies, San Mateo, California; Continental Airlines Inc.,
Houston, Texas and various other U.S. based companies. He graduated from
Haverford College, Pennsylvania with a degree in economics in 1960, and
received a Master of Arts in finance in 1962 and a Doctor of Philosophy in
finance in 1967, each from Stanford.

Anton K. Schnyderhas served as a full professor for private law at the
University of Basel, Switzerland, since 1993. In 1994 he was appointed
Vice-President of the Federal Appeal Commission supervising private insurance.
From 1987 to 1993, Professor Schnyder served as a corporate legal adviser to
the Zurich Insurance Group and from 1992 as a member of the executive staff.
He graduated from Zurich University, Switzerland in 1978 and received his
doctorate degree in 1981, being awarded a Professor-Walther-Hug-Prize for his
doctoral thesis. Additionally he holds a Master of Laws from the University of
California, Berkeley. For many years he has been a special advisor to the
governments of Switzerland and Liechtenstein for insurance legislation.

The business address for each member of our Board of Directors is
Baarerstrasse 8, CH-6300 Zug, Switzerland.

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Senior Management

Converiums executives comprise an executive management team, which we
call the Group Executive Committee. It has four members: The Group Chief
Executive Officer, the Chief Executive Officers of each of the business
segments and the Group Chief Financial Officer. The Group Executive Committee
is responsible for implementing Converiums overall strategy, ensuring
effective collaboration among each of our subsidiaries, and reviewing progress
against financial and operating plans as approved by the Board of Directors.

The members of our Group Executive Committee, their ages and current areas of responsibility are as follows:

|                 |  |     |    |                        |  |                                                                                      |  | 
|---------------- |  | --- | -- | ---------------------- |  | ------------------------------------------------------------------------------------ |  | 
|Name             |  | Age |    | Area of Responsibility
|                 |  |     |    |                       
|Dirk Lohmann     |  |     | 43 |                        |  | Group Chief Executive Officer Converium and Chief Executive Officer Converium Zurich
|Richard E. Smith |  |     | 56 |                        |  | Chief Executive Officer, Converium North America                                    
|Frank Schaar     |  |     | 42 |                        |  | Chief Executive Officer, Converium Cologne/Converium Life                           
|Martin A. Kauer  |  |     | 43 |                        |  | Group Chief Financial Officer, Converium                                            

Dirk Lohmannis Group Chief Executive Officer of Converium and Chief
Executive Officer of Converium Zurich. He joined Zurich Financial Services in
September 1997 as Chief Executive Officer of its reinsurance operation in
Zurich and of its German operating subsidiary, Zürich Rückversicherung (Koln)
AG. In July 1998, Mr. Lohmann was appointed as a member of the Group Executive
Board of Zurich Financial Services, serving as the Chief Executive Officer of
its global reinsurance operations. Before joining Zurich Financial Services,
Mr. Lohmann held various management positions at Hannover Re between 1980 and
1997, most recently as a member of the Executive Board of Management. Mr.
Lohmann received a Bachelor of Arts degree in economics and political science
from the University of Michigan, Ann Arbor.

Richard E. Smithis the Chief Executive Officer of Converium North
America. He has served as the Chief Executive Officer of Zurich Reinsurance
(North America), Inc. since 1996 and has been President since June 1995. Mr.
Smith was Chief Operating Officer of Zurich Reinsurance Centre, Inc. from March
1993 to May 1996. Previously, Mr. Smith was Senior Vice President, Business
Development of Centre Reinsurance Limited from 1992 until March 1993. From
1982 until 1992, Mr. Smith was employed by Guy Carpenter & Company, Inc. where
he served as a Senior Vice President and a member of the Board of Directors.
From 1975 to 1982, Mr. Smith was employed by A.M. Best Company, most recently
as Vice President in charge of the property/casualty ratings division. Mr.
Smith holds a Bachelor of Arts Degree from United States International
University in San Diego. He also is a member of the Board of Directors of
International Financial Group, Inc.

Frank Schaaris Chief Executive Officer of Converium Germany and in charge
of the business segments Converium Cologne and Converium Life. He joined
Zürich Rückversicherung (Koln) AG in 2000 and has served in his current
capacity since January 2000. He was previously employed by Hannover Re for 17
years through 1999, most recently serving as a Managing Director and a member
of the extended board in charge of Asia, Australia and Africa. From 1982 until
1997, Mr. Schaar served as Senior Vice President with responsibilities for
Germany. Mr. Schaar holds a degree in insurance economics and worked as a
lecturer in reinsurance at the Institute for Professional Development of the
Insurance Association in Hannover for ten years.

Martin A. Kaueris Group Chief Financial Officer of Converium. He has
served as Chief Financial Officer of Zurich Financial Services global
reinsurance operations since July 1998. From 1996 to 1998, Mr. Kauer managed
the demutualization of Rentenanstalt/Swiss Life, where he was also responsible
for Strategic Planning and Controlling. Previously, Mr. Kauer worked for Union
Bank of Switzerland as an investment banker. Mr. Kauer holds a degree in
economics from the University of Zurich, Switzerland.

The standard notice period for termination of members of the Group
Executive Committee is six months reflecting the traditional practice of
Swiss-based companies. However, there are certain exceptions to this standard,
reflecting prevailing local practices in the jurisdictions where the executives
are currently employed.

The business address for each member of our Group Executive Committee is
Baarerstrasse 8, CH-6300 Zug, Switzerland.

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B. COMPENSATION

Compensation of Directors

Directors fees have been determined to ensure that we can attract and
retain high caliber individuals appropriate to serve a global reinsurance
organization. We have adopted a Directors Stock Option Plan to provide for
grants of equity-based compensation to our directors.

The table below presents the annual fees we pay to our non-executive directors.

|              |  |                     |  |                        |  |  |  | 
|------------- |  | ------------------- |  | ---------------------- |  |  |  | 
|Position      |  | Cash Compensation   |  | Equity Compensation   
|              |  |                     |  |                       
|Chairman      |  | $    60,000 in cash |  | $    75,000 in options
|Vice-Chairman |  | $    50,000 in cash |  | $    60,000 in options
|Directors     |  | $    40,000 in cash |  | $    50,000 in options

We will not compensate our directors for attendance at Board of Directors
or committee meetings.

We currently plan to grant the option component of directors compensation
at the end of the period for which they are due, and to provide our directors
with an initial grant of options at our first annual general shareholders
meeting, which was held on April 30, 2002. This grant is pro rata to reflect a
partial year of service. We plan to make grants to our directors for future
periods on the dates of subsequent annual general shareholders meetings.

In determining the number of options to be granted, options will be valued
based on the Black-Scholes option pricing model, and will be based on the fair
market value of our shares at the date of grant. Options granted to our
directors will vest immediately, have a term of 10.5 years, and have an
exercise price equal to fair market value on the date of grant.

Compensation of Senior Management

The total aggregate compensation paid to our executive officers who now
constitute the Group Executive Committee was $3.6 million during 2001.
Aggregate compensation consists of the base salary and cash awards made under
the short- and long-term incentive plans paid during 2001, and the estimated
value of other compensation-related items. See also  Employee Incentive and
Benefit Plans.

Employee Incentive and Benefit Plans

An important component of our compensation program is the provision of
additional employee benefits designed to encourage our employees to pursue our
annual and longer-term objectives. These incentive plans are designed to
attract, retain and motivate executives and staff committed to achieving
performance-related targets and align the interests of our employees with those
of our shareholders.

Accordingly, we have established incentive programs where benefits are
linked to both corporate, financial and business as well as individual
performance targets. Additionally, our long-term incentive plans include
equity participation and stock option plans or their equivalent. These plans
took effect at the time of the Formation Transactions. Their terms are
summarized below.

Moreover, following completion of the Formation Transactions, our officers
and employees were granted Converium shares and options to reflect the
conversion of awards previously granted to them under Zurich Financial Services
plans and relating to Zurich Financial Services equity securities. These
awards were granted by us, but reflect awards held by these employees from
prior years of service with Zurich Financial Services as well as awards granted
as part of the retention plan created in connection with our separation from
Zurich Financial Services. We will also provide new grants for current service
years under our new plans.

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Transition to Converium Plans

Zurich Financial Services Plans

Prior to the Formation Transactions, Converium employees participated in
the following incentive plans established by Converium under master plans
adopted by Zurich Financial Services:



| |  | Annual Incentive Plan for Selected Employees            
| | - | --------------------------------------------------------
|
| |  | Performance Share Plan for Selected Employees           
|
| |  | Group Share Option Plan for Selected Executives         
|
| |  | Long-Term Performance Share Plan for Selected Executives

Conversion of Outstanding Zurich Financial Services Awards

Zurich Financial Services Long-term Performance Share Plan

Selected executives and employees of Converium were eligible to receive
performance share awards pursuant to plans established by Zurich Financial
Services. Upon consummation of the Formation Transactions, the outstanding
performance share awards were converted into 207,602 restricted shares of
Converium under the share plan described below. The number of shares granted
was calculated based upon the offering price of the global offering. The
shares so converted will vest in their entirety on either the first or second
anniversary of the offering, depending on the date the original award was
granted.

Zurich Financial Services Global Share Option Plan

Selected executives and employees of Converium were eligible to receive
options to purchase shares of Zurich Financial Services pursuant to long-term
incentive plans established by Zurich Financial Services. These options to
purchase shares of Zurich Financial Services will be converted into options to
purchase shares of Converium. The expiration and term of the Converium options
will be the same as the options from which they were converted. Options which
were originally granted in 1999 vest on January 31, 2002 and will expire on
January 31, 2006. Options which were originally granted in 2000 will vest on
January 31, 2003 and will expire on January 31, 2007.

New Compensation Plans

Share Plan

Converium has adopted a standard stock option plan for our non-U.S.
employees, a standard stock purchase plan for our non-U.S. employees, and an
omnibus share plan for our U.S. employees. These arrangements, which we refer
to collectively as the Share Plan, establish the framework by which we will
grant awards to selected executives, employees and consultants of Converium and
its subsidiaries. In addition, our subsidiaries will be able to establish
so-called sub-plans under the Share Plan in order to address local law and
competitive practice concerns. However, we intend that the terms of these
sub-plans will be substantially the same as the Share Plan.

Pursuant to Article 3a of our Articles of Incorporation, our share capital
can be increased by the issuance of up to 4,000,000 of our shares, 3,200,000 of
which will be reserved under the Share Plan for the grant of options,
restricted shares, restricted share units, and other share-based awards. Some
of these shares may be issued to effect the conversion of our employees rights
under Zurich Financial Services plans or our retention plan, as well as new
awards for current service years under our new plans. Future awards will be
granted at the discretion of the Remuneration Committee. Awards will be
granted in the absolute discretion of our Remuneration Committee. Generally,
the size of a participants award will be based on the level of responsibility
and position, market conditions and the extent of the executive or employees
prior participation in the Converium plans described above.

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Following consummation of the global offering, 730,233 options, with an
exercise price equal to the offering price, and 704,750 restricted shares were
granted to our employees. New options granted will vest 25% immediately on the
grant date and 25% will vest each year thereafter and will have a 10.5 year
term. New restricted shares granted will vest in their entirety in six years,
subject to acceleration after year three based on the achievement of certain
performance objectives. As described above, some of these shares were issued
to effect the conversion of our employees rights under Zurich Financial
Services plans, that will vest according to the terms of the original grants.

Future awards will have such terms as our Remuneration Committee
determines in its absolute discretion. Generally, new options will vest
ratably at 25% per year, starting at the date of grant and will expire 10.5
years after the date of grant, unless we decide otherwise. Early exercise of
options may be permitted in certain circumstances.

In connection with these plans we paid approximately $11.0 million of
incentive compensation in 2001. In addition, we set aside approximately $0.2
million in 2001 to provide pension, retirement and similar benefits to our
directors and Group Executive Committee members under these plans.

Grants to Group Executive Committee

As of the date the Formation Transactions were consummated, we granted
restricted shares and options to members of our Group Executive Committee.
These grants included retention awards, converted long-term share awards, and
awards under the new plans. In the table below we have calculated the number
of shares and options granted to the members of our Global Executive Committee
in reference to the amount of incentive equity awards formerly held by these
officers under the Zurich Financial Services plans, using the Black-Scholes
methodology based on the initial public offering price of our shares.

|                 |  |                   |        |                   |  |  |         | 
|---------------- |  | ----------------- | ------ | ----------------- |  |  | ------- | 
|                 |  | Shares held at    |        | Options held at  
|Name             |  | December 31, 2001 |        | December 31, 2001
|                 |  |                   |        |                  
|Dirk Lohmann     |  |                   | 17,686 |                   |  |  | 162,852 | 
|Richard E. Smith |  |                   | 39,417 |                   |  |  | 78,978  | 
|Frank Schaar     |  |                   | 3,463  |                   |  |  | 51,698  | 
|Martin A. Kauer  |  |                   | 6,187  |                   |  |  | 53,119  | 

Mr. Lohmann holds 17,686 shares. Of this total, 14,636 shares include
5,931 converted shares granted under a former Zurich Financial Services plan,
of which 2,874 converted shares vest on the first anniversary and 3,057
converted shares vest on the second anniversary of the global offering. Mr.
Lohmanns shares also include 6,794 retention award shares, of which half
shares vest on the first and second anniversary of the global offering, and
1,911 shares awarded under the Share Plan vesting on the sixth anniversary of
the global offering, subject to acceleration after the third anniversary of the
global offering. In addition, Mr. Lohmann purchased 3,050 shares. Mr.
Lohmanns options include 162,852 options awarded under the Share Plan, with
25% vesting at grant and the remainder vesting pro rata over three years on
each anniversary of grant, and expiring in 10.5 years. Mr. Lohmann will also
receive converted options granted under a former Zurich Financial Services
plan, a portion of which vest on January 31, 2002 and expire on January 31,
2006 and the remainder vest on January 31, 2003 and expire on January 31, 2007.

Mr. Smiths 39,417 shares include 27,450 converted shares granted under a
former Zurich Financial Services plan, of which 13,090 converted shares vest on
the first anniversary and 14,360 converted shares vest on the second
anniversary of the global offering. Mr. Smiths shares also include 7,659
retention award shares, of which half shares vest on the first and second
anniversary of the global offering, and 4,308 shares to be awarded under the
Share Plan vesting on the sixth anniversary of the global offering, subject to
acceleration after the third anniversary of the global offering. Mr. Smiths
options also include 78,978 options awarded under the Share Plan, with 25%
vesting at grant and the remainder vesting pro rata over three years on each
anniversary of grant and expiring in 10.5 years. Mr. Smith will also receive
converted options granted under a former Zurich Financial Services plan, a
portion of which vest on January 31, 2002 and expire on January 31, 2006 and
the remainder vest on January 31, 2003 and expire on January 31, 2007.

Mr. Schaars 3,463 shares include 968 converted shares granted under a
former Zurich Financial Services plan vesting on the second anniversary of the
global offering, as well as 2,243 retention award shares, of which half shares
vest on the first and second anniversary of the global offering. Mr. Schaars
shares also include 252 shares to be awarded under the

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Share Plan vesting on the sixth anniversary of the global offering,
subject to acceleration after the third anniversary of the global offering. In
addition, Mr. Schaar was awarded 51,698 options under the Share Plan, with 25%
vested at grant and the remainder vesting pro rata over three years on each
anniversary of grant and expiring in 10.5 years.

Mr. Kauer holds 6,187 shares. This total includes 1,750 converted shares
granted under a former Zurich Financial Services plan, of which 875 converted
shares vest on the first and second anniversary of the global offering. Mr.
Kauers shares also include 2,473 retention award shares, of which half shares
vest on the first and second anniversary of the global offering, and 464 shares
awarded under the Share Plan and vesting on the sixth anniversary of the global
offering, subject to acceleration after three years. In addition, Mr. Kauer
purchased 1,500 shares. Mr. Kauers options also include 53,119 options
awarded under the Share Plan, with 25% vesting at grant and the remainder
vesting pro rata over three years on each anniversary of grant and expiring in
10.5 years. Mr. Kauer will also receive converted options granted under a
former Zurich Financial Services plan, a portion of which vest on January 31,
2002 and expire on January 31, 2006 and the remainder vest on January 31, 2003
and expire on January 31, 2007.

Annual Incentive Plan

We have also established annual incentive plans, whose primary purpose is
to provide direct annual financial incentive to employees who achieve corporate
performance goals established under our annual operating plan. Our
subsidiaries will establish separate plans to address local law and competitive
practice concerns, but we intend that the terms will be substantially the same
and refer to these plans collectively as the Annual Incentive Plan. Employees
are eligible for target awards under the Annual Incentive Plan ranging from 5%
to 100% of base salary. The size of the target award is determined by the
employees position and competitive data for similar positions at peer
companies. We set performance goals for participating employees and, in
keeping with our performance-based philosophy, the resulting awards decrease or
increase substantially if our actual corporate performance fails to meet or
exceeds target levels. The awards may range from below or above the target
amounts. The performance goals include both financial and non-financial
measures.

Participants in our Annual Incentive Plan will be permitted to defer a
portion of their bonus into restricted shares or units under our Annual
Incentive Deferral Plan. Unless otherwise determined by Converium, employees
who determine to do so will receive a 25% premium, paid in restricted shares or
bookkeeping units representing shares, on the amount deferred that will vest in
their entirety in three years. We reserved 400,000 shares for issuance of
restricted shares under this plan.

Employee Stock Purchase Plan

Additionally, we adopted effective January 1, 2002, employee stock
purchase plans for the purpose of providing employees with an opportunity to
participate in equity ownership of Converium by purchasing our shares at a
discount. As with the Share Plan and the Annual Incentive Plan, our
subsidiaries will adopt disparate plans on substantially the same terms which
we refer to collectively as the Employee Stock Purchase Plan. One plan will be
adopted for employees of U.S. subsidiaries, and will be designed to meet the
requirements of Section 423 of the U.S. Internal Revenue Code which affords
favorable tax treatment to U.S. employees. We reserved 400,000 shares for
issuance under the U.S. plan and 200,000 shares for issuance under other
employee share purchase plans. The option price of our shares under this plan,
for each plan offering period, will be the lower of 85% of the fair market
value of the shares on the offering commencement date or 85% of the fair market
value on the offering termination date. One or more other stock purchase plans
will be adopted to cover selected Converium employees outside the United States
subject to and in accordance with applicable local law. Our Board of Directors
will authorize from time to time the number of shares that are available under
these other stock purchase plans.

Retention Awards

In addition, in conjunction with the Formation Transactions, we granted
retention awards to certain employees of Converium in the form of Converium
restricted shares that vest pro rata on the first and second anniversary of the
completion of the global offering. The number of our shares granted was
calculated based upon the offering price of the global offering. In addition,
we provided certain employees with cash based incentive rewards.

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IPO Share Grant

Employees other than those who are granted retention awards received, in
conjunction with the Formation Transactions, Converium restricted shares that
vest pro rata on the first and second anniversary of the completion of the
global offering. The number of shares granted was calculated based upon the
initial offering price of the global offering.

C. BOARD PRACTICES

Board Committees

The Nominations Committee

Our nominations committee assesses and submits to the Board of Directors
for approval its proposals for the boards composition as well as that of its
committees. The nominations committee also reviews proposals by the Group
Chief Executive Officer regarding the composition of the Group Executive
Committee and the selection of the Group General Counsel and the head of Group
Internal Audit. The nominations committee will meet at least twice a year.

The Remuneration Committee

Our remuneration committee assesses and decides upon the overall
compensation of the members of the Group Executive Committee, other than the
Group Chief Executive Officer. In addition, the remuneration committee submits
to the Board of Directors for approval its proposals for the overall
compensation received by the members of the Board of Directors and the Group
Chief Executive Officer. The remuneration committee will meet at least twice a
year.

The Finance Committee

Our finance committee assesses our accounting standards and procedures and
submits to our Board of Directors for approval its proposals for material
changes, if any. In addition, our finance committee reviews and submits
resolutions for approval of the full board relating to material financial
matters including our annual combined budget, risk management policy, dividend
policy, investment policy and solvency planning, tax planning, capital
expenditures plans, proposed subsidiary capital increases, reported year-end
results and reserve policy. The finance committee will meet at least twice a
year.

The Audit Committee

Our audit committee is responsible for reviewing our risk management
functions and for supervising the framework for our auditing process. We have
adopted an auditing charter whose implementation is reviewed by the audit
committee. As part of this process, the audit committee reviews internal
control systems and our risk management and auditing process. The audit
committee also reviews material audit-related matters including the scope and
general extent of the internal and external audit, including cost
effectiveness, the independence and objectivity of our external auditors and
the nature and extent of non-audit services provided by our external auditors.
The audit committee will meet at least twice a year.

Indemnification of Officers and Directors

We maintain customary directors and officers insurance for our directors
and officers. Otherwise, neither our Articles of Incorporation nor any
contract or other arrangement contains any provision under which any of our
directors or executive officers is indemnified in any manner against any
liability that he or she may incur in his or her capacity as such.

D. EMPLOYEES

As of December 31, 2001, Converium employed 740 people globally, including
274 at our offices in Zurich, 237 at our offices in the United States, 148 at
our offices in Cologne, 13 in other European countries, 29 in the Asia-Pacific
region and 39 in other regions. Of our total 740 employees, 702 are full-time
employees.

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A relatively small number of our employees are represented by unions. We
have not experienced any material work stoppages in recent years and we believe
that our relations with our employees are excellent.

The following is the distribution of the persons employed.

|                                       |                     |  |      |     |      |  |                    |     |  |  |     |     | 
|-------------------------------------- | ------------------- |  | ---- | --- | ---- |  | ------------------ | --- |  |  | --- | --- | 
|                                       |                     |  |      |     |      |  | As of December 31, |     |  |  |    
|                                       |                     |  |     
|                                       |                     |  | 2001 |     | 2000 |  | 1999(1)           
|                                       |                     |  |      |     |      |  |                   
|Number of employees                    |                     |  | 740  |     |      |  | 752                |     |  |  | 643 |    
|Breakdown by geographic location       |                     |  |      |     |      |  |                    |     |  |  |     |    
|                                       | Zurich              |  |      | 274 |      |  |                    | 292 |  |  |     | 292 | 
|                                       | United States       |  |      | 237 |      |  |                    | 262 |  |  |     | 247 | 
|                                       | Cologne             |  |      | 148 |      |  |                    | 135 |  |  |     | 104 | 
|                                       | Asia-Pacific region |  |      | 29  |      |  |                    | 32  |  |  |     | N/A | 
|                                       | Other regions       |  |      | 52  |      |  |                    | 36  |  |  |     | N/A | 
|Breakdown by main category of activity |                     |  |      |     |      |  |                    |     |  |  |     |    
|                                       | Underwriting        |  |      | 274 |      |  |                    | 240 |  |  |     | N/A | 
|                                       | Finance             |  |      | 176 |      |  |                    | 168 |  |  |     | N/A | 
|                                       | Actuarial           |  |      | 69  |      |  |                    | 56  |  |  |     | N/A | 
|                                       | Other               |  |      | 221 |      |  |                    | 274 |  |  |     | N/A | 



|(1) |  | We have been managed as a global integrated operation since 1998. The
categories in the table above reflect our current geographic locations and
main categories of activity. We did not organize our operations or
account for our employees in the locations and categories specified for
1999.
|--- |  | -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

E. SHARE OWNERSHIP

As of the date of this annual report, none of the members of our Board of
Directors or Group Executive Committee beneficially owns more than 1% of our
shares. In addition, none of the members of our Board of Directors or Group
Executive Committee have an ownership interest in a company that is a major
client or broker of Converium.

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ITEM 7.     MAJOR SHAREHOLDERS AND RELATED PARTY TRANSACTIONS

A. MAJOR SHAREHOLDERS

As of April 30, 2002, 21.2 million shares were registered in our share
register. These shares were owned by 1,706 shareholders, of which 1,311 were
private individuals holding 1.4% of total outstanding shares, 209 were
foundations and pension funds holding 12.6% of total outstanding shares and 186
were other legal entities holding 38.8% of total outstanding shares.

As of April 30, 2002, holders with registered addresses in the United
States, including nominees with registered addresses in the United States, held
6,170,121 of our registered shares and holders with registered addresses
in the United States, including nominees with registered addresses in the
United States, held 9,678,958 ADSs, representing approximately 52% of our registered shares.
These holdings represented approximately 27% of the total number of shares outstanding as of April 30, 2002. Brokers and other nominees hold
certain of our registered shares and ADSs. In addition, some holders of our
registered shares have not or may not register their holdings. Consequently,
the above figures may not state the actual number of U.S. beneficial holders or
the number of registered shares or ADSs beneficially held by persons in the
United States.

As of the date of this annual report, there are the following two direct
or indirect owners of 5% or more of our outstanding shares:



| |                                                                                                                                                                                                                                                                                                                                                                                                                              
| | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
| | Wellington Management Company, LLP, 75 State Street, Boston, MA 02109,
USA, holds 250,899 registered shares with 250,899 voting rights and
5,644,200 ADRs with 2,822,100 voting rights in Converium Holding AG, Zug.
This corresponds to 7.68% of total voting rights. These shares are held
and managed by Wellington Management in various funds. None of these
clients does, however, hold voting rights in excess of 5%. 
|
| | Fidelity International Limited, Pembroke Hall, 42 Crow Lane, Hamilton,
Bermuda, has acquired 2,084,571 registered shares with 2,084,571 voting
rights in Converium Holding AG, Zug. This corresponds to 5.21% of the
share capital entered in the Commercial Register. These shares are held
and managed by Fidelity International in various funds. None of these
clients does, however, hold voting rights in excess of 5%.

As of the date of this annual report, we have granted the members of our
Group Executive Committee an aggregate of 74,072 of our shares and options to
purchase 387,286 shares representing approximately 1% of our shares. As of the
date of this annual report, the members of our Board of Directors were granted
options to purchase 6,960 shares. See Item 6.  Directors, Senior Management
and Employees  B. Compensation.

B. RELATED PARTY TRANSACTIONS

There were no unpaid loans, including guarantee commitments, granted to
our directors and members of our Group Executive Committee as of December 31,
2001.

In May 2000, Converium entered into a strategic alliance with the Medical
Defence Union that resulted in a 49.9% participation in MDU Services Ltd. MDU
Services Ltd. distributes medical malpractice insurance policies to the
members of the Medical Defence Union. These insurance policies are issued by
Zurich Financial Services (UKISA), London, and are 100% reinsured by Converium.
Gross assumed premiums under this transaction were $57.0 million and $30.2
million for 2001 and 2000, respectively.

Converium owns 9.67% of PSP Swiss Property AG, which manages real estate
held for investment by Converium.

C. INTERESTS OF EXPERTS AND COUNSEL

Not applicable.

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ITEM 8.     FINANCIAL INFORMATION

A. CONSOLIDATED STATEMENTS AND OTHER FINANCIAL INFORMATION

Financial Statements

See the consolidated financial statements beginning on page F-1.

Legal Proceedings

In the ordinary course of our business activities, we are from time to
time involved in litigation with respect to liabilities which are the subject
of reinsurance claims. These liabilities are taken into account in setting our
technical reserves. Except as set forth below, we are not engaged in, nor to
our knowledge is there pending or threatened by or against us, any legal,
arbitration or administrative proceedings which we believe may, individually,
or in the aggregate, have a material adverse effect on our financial position,
profitability, results of operations or liquidity.

U.S. Life Insurance Co. Arbitration

On November 29, 1999, US Life Insurance Company (US Life) initiated an
arbitration proceeding against SNICIL, ZC Insurance Company, now known as
Converium Insurance (North America) Inc., and Centre Insurance Company (CIC).
US Life seeks to rescind a multi-year quota share reinsurance contract
effective May 1, 1998 on the basis that material misrepresentations and
omissions were made in procuring that contract. Inception-to-date amounts
ceded to the contract through December 31, 2001 are $54.0 million premiums
earned, $18.1 million commissions earned and $75.9 million losses incurred.
Discovery commenced in this matter in the fall of 2001, and the matter is set
for hearing in December 2002 and January 2003. Based on the limited
information available to date, we are unable to predict Converium Insurance
(North America) Inc.s chances of prevailing in this action.

Unicover Litigation

The Seattle, Washington litigation and the New York Supreme Court
litigation previously reported among Converium Reinsurance (North America)
Inc., (CRNA), the members of the Unicover Occupational Accident Reinsurance
Pool (the Pool), Guy Carpenter & Company Inc. (Guy Carpenter) and Cragwood
Managers, LLC have been settled. Pursuant to the settlement, CRNA has received
and will receive reinsurance and indemnity payments from the Pool and Guy
Carpenter in respect of 81% of the retrocessional obligations which CRNA
contended were assumed by the Pool (with interest in the case of prior ceded
losses) in respect of CRNAs reinsurance of Amerisafe Insurance Group
(Amerisafe). On the basis of this settlement and the aggregate excess of
loss protection from Zurich Insurance Company (see Notes 9 and 15 to our
financial statements), CRNA believes that it is fully protected through
reinsurance agreements for all potential liability in respect of cessions
assumed by CRNA from Amerisafe.

The March 2001 litigation initiated by Amerisafe against CRNA, Guy
Carpenter and Zurich Financial Services Group (ZFS) in the United States
District Court for the Western District of Louisiana is scheduled for trial in
August, 2003. ZFS has been dismissed from the suit, and documentary discovery
is proceeding. Amerisafe contends that CRNA acted in bad faith in making
certain loss payments pursuant to a reservation of rights and in initiating an
arbitration and naming Amerisafe as a party in the Seattle, Washington
litigation referred to above. Amerisafe seeks damages in an unstated amount.
CRNA has moved for dismissal/summary judgment on the merits, which motion is
undetermined at this time. CRNA has counterclaimed against Amerisafe seeking
damages and/or avoidance of future losses on the basis that Amerisafe failed to
adhere to underwriting guidelines. Based on the limited amount of information
available to date, we are unable to predict CRNAs chances of prevailing in
this action. As part of the settlement of the Seattle, Washington action, the
members of the Pool agreed to indemnify CRNA for 62% of up to $5 million in
legal expenses incurred in connection with this litigation; this indemnity does
not apply to any amounts which may be paid to Amerisafe pursuant to a judgment
or settlement.

U.S. Tax Matter

The Internal Revenue Service has issued a so-called 30-day letter
disputing the tax treatment of the aggregate excess of loss reinsurance
arrangement described below between Converium Reinsurance (North America) Inc.
and ZIC. We have

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treated the stop loss arrangement as a capital support mechanism for U.S.
federal income tax purposes. The IRS disputes this tax treatment and has
proposed increased tax liability in the amount of $6.9 million for the year
1997. If the IRS were to prevail, the tax from Converium Reinsurance (North
America) Inc. could increase, although we do not believe the taxes and
penalties would be likely to be material to us as a whole. Zurich Reinsurance
Centre Holdings, Inc., or ZRCH, has agreed to indemnify us for its liability in
respect of this issue (with such indemnity being guaranteed by ZIC) pursuant to
the Tax Sharing and Indemnity Agreement entered into between ZRCH and Converium
Holdings (North America) Inc. ZRCH and we believe that the IRSs proposed tax
treatment is incorrect, and ZRCH has filed a written protest in opposition to
the 30-day letter. We have been informed that ZRCH intends to pursue its
defenses vigorously. The ultimate resolution of this issue cannot be predicted
with certainty, however. If for any reason ZRCH or ZIC were unable to perform
under the indemnity, we would be required to pay any resulting deficiency.

Superior National Matters

After the purchase by Centre Solutions Holdings (Delaware) Limited, a
subsidiary of Zurich Financial Services, of CIC, from the Superior National
Insurance Group, Inc., or SNIG, in December 1998, CIC was a ceding insurance
carrier for certain SNIG subsidiaries with respect to workers compensation
insurance in California and other U.S. states. Under certain contracts,
various SNIG-related entities provided CIC with policy administration, claims
administration and reinsurance with respect to the ceded business. Pursuant to
a Partial Commutation and Settlement Agreement dated December 31, 1999, which
we refer to as the CIC Agreement, CIC received approximately $163 million of
securities from a statutory deposit account maintained by California
Compensation Insurance Company, or CalComp, and approximately $22 million of
cash from insurance company subsidiaries. Under the CIC Agreement, among other
things, CIC provided a release to CalComp and Superior National Insurance
Company from any liability of up to $180 million under the SNIG subsidiaries
reinsurance of ceded business placed with CIC.

On or about March 6, 2000, the California Insurance Commissioner placed
SNIGs insurance subsidiaries in conservation. On September 26, 2000, the
court placed these companies in liquidation and named the California Insurance
Commissioner, referred to here as the Commissioner, as liquidator of those
entities, referred to as the Superior National Insurance Companies in
Liquidation, or SNICIL. The remaining SNIG entities filed voluntary petitions
for relief under Chapter 11 of the United States Bankruptcy Code in April 2000.

On January 16, 2002, the Commissioner filed a complaint against CIC and
affiliates, as well as Converium Reinsurance (North America) Inc. (CRNA) and
Converium Insurance (North America) Inc. (CINA), on behalf of SNICIL, in a
proceeding in the Superior Court of the State of California, County of Los
Angeles. The complaint alleges several counts, including voidable preferences
and fraudulent transfers, seeking the recovery of transfers totaling $202.9
million, damages for breach of contract in the amount of $59.8 million,
additional damages in an amount to be proved at trial, and punitive damages.
The overwhelming bulk of the damages sought appear to arise out of CIC
transactions, not CRNA or CINA transactions. CRNA and CINA moved to dismiss
the complaint on April 15, 2002, and intend to defend this litigation
vigorously and to assert various setoffs. As part of the Formation
Transactions, Zurich Financial Services has agreed to indemnify Converium for
liabilities arising out of or related to the assets not assumed by or
transferred to Converium in the separation from Zurich Financial Services.
Based on the limited information available to date, we are unable to predict
CRNAs and CINAs chances of prevailing in this action. For a description of
the cross indemnities we and Zurich Financial Services have provided to each
other in connection with our separation, see Item 10.  Additional Information
- C. Material Contracts  Other Indemnity Matters.

Canada Life

On December 21, 2001, The Canada Life Assurance Company, Toronto (Canada
Life), brought action against Converium Germany in the U.S. District Court of
the Southern District of New York. Canada Life alleged that Converium breached
certain quota share retrocession agreements with Canada Life by failing to
indemnify its full percentage of Canada Lifes September 11th losses and by
failing to post an $82.4 million letter of credit for its liability pursuant to
the ISA facilities underlying agreements. Converium is disputing this claim
on the grounds that its liability under the pertinent contracts is limited and
is also raising other contracts defenses. In its decision of April 11, 2002,
the U.S. District Court of the Southern District of New York dismissed Canada
Lifes action, ruling that The Air Transportation Safety and System
Stabilization Act, which Canada Life claimed to give the court jurisdiction
over the subject matter, is not applicable. The

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court ruled that the act applies broadly to the actions filed by
individual victims of the September 11th attacks but does not apply to disputes
among reinsurers. As a result of this decision, Converium sent Canada Life a
request to arbitrate.

Converium has fully reserved this matter. However arrangements entered
into with Zurich Financial Services provide for this matter to be covered by
the agreed-to cap for September 11th related losses provided to Converium by
Zurich Financial Services in conjunction with Converiums global offering.

Dividends and Dividend Policy

Our Board of Directors did not propose a dividend with respect to the 2001
fiscal year. Beginning with fiscal year 2002, we intend to pay dividends on
our outstanding shares, subject to the recommendation of our Board of Directors
and a resolution of our shareholders at an ordinary general shareholders
meeting. We intend to distribute dividends to our shareholders on an annual
basis, but cannot assure you that we will do so. Our dividend policy in future
periods will depend on a number of factors including our results of operations,
our financial condition, our capital and cash requirements, general business
conditions, legal, contractual and regulatory restrictions regarding the
payment of dividends by us and other factors. Holders of shares and ADSs, with
respect to the underlying shares, are entitled to receive payment in full of
any dividends declared in respect of the 2002 fiscal year and following years.

As a holding company, we are dependent on dividends and interests from our
subsidiaries to pay cash dividends. The payment of dividends by our
subsidiaries to their parent companies is restricted by applicable laws and
regulations. To the extent our subsidiaries are restricted from paying
dividends to us, we may be unable to pay dividends to our shareholders. For
further information on the restrictions on our ability to pay dividends, see
Note 14 to our financial statements.

Under Swiss law, we may only pay dividends if we have either sufficient
profits available for distribution or if we have sufficient free reserves
pursuant to our statutory (non-consolidated) balance sheet and the provisions
of Swiss law to allow for distributions from that reserve.

As long as the general reserves amount to less than 20% of our nominal
share capital, Swiss law requires at least 5% of our annual net profits to be
retained as general reserves. Any net profits remaining after this retention
are eligible to be distributed as dividends, subject to approval by our
shareholders at a shareholders meeting, and our auditors must confirm that a
dividend proposal by our Board of Directors complies with our Articles of
Incorporation and Swiss law.

Our dividends will be due and payable after the shareholders resolution
authorizing the payment of such dividends has been passed or at a later date as
determined by the shareholders dividend resolution. Under Swiss law, the
statute of limitations in respect of dividend payments is five years. All of
our shares rank pari passu in relation to the right to dividends.

Dividends paid in respect of our ADSs and shares are subject to a
deduction of Swiss withholding tax, which currently is at a rate of 35%. In
the event of any dividend being paid, the withholding tax will be deducted from
any dividend payments. A Swiss resident may be entitled to a full refund of
such withholding if such resident is the beneficial owner of the payment and
duly reports the dividend received on his personal tax return.
Non-Swiss-resident holders of our ADSs and shares may be entitled to a full or
partial refund of such withholding tax under the terms and conditions of an
applicable double taxation treaty. See Item 10. Additional
Information  E. Taxation  Swiss
Taxation  Obtaining a Refund of Swiss Withholding Tax for U.S. Residents.

We will pay our dividends in Swiss francs. Owners of our ADSs will be
entitled to receive dividends, if any, payable in respect of the underlying
shares. Our ADS depositary agreement provides that the ADS depositary will
promptly convert the dividends that it receives into U.S. dollars on behalf of
the ADS holders according to the prevailing market rate on the date that the
ADS depositary actually receives the dividends. Fluctuations in the exchange
rate between the Swiss franc and the U.S. dollar will affect the U.S. dollar
amounts received by the holders of ADSs from the date a dividend is paid to the
date U.S. dollars are received by ADS holders.

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B. SIGNIFICANT CHANGES

Except as otherwise disclosed in this annual report, there has been no
significant change in our financial position since December 31, 2001.

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ITEM 9.     THE OFFER AND LISTING

A. OFFER AND LISTING DETAILS

Market Price Information

Trading on the SWX Swiss Exchange

The table below presents the highest and lowest reported sale price for
our registered shares on the SWX Swiss Exchange for the periods indicated,
expressed in Swiss francs. On May 14, 2002, the latest practicable day before
the printing of this annual report, the last reported sale price of our
registered shares on the SWX Swiss Exchange was CHF 89.00 per registered share.

|                                            |                                         |  |       |       |     |  |       |       | 
|------------------------------------------- | --------------------------------------- |  | ----- | ----- | --- |  | ----- | ----- | 
|                                            |                                         |  | High  |       | Low
|                                            |                                         |  |       |       |    
|                                            |                                         |  | CHF   |       | CHF
|                                            |                                         |  |       |       |    
|Calendar Year 2001 (from December 11, 2001) |                                         |  | 82.10 |       |     |  | 79.00 |      
|                                            | Fourth Quarter (from December 11, 2001) |  |       | 82.10 |     |  |       | 79.00 | 
|Calendar Year 2002 (until April 30, 2002)   |                                         |  | 89.10 |       |     |  | 75.00 |      
|                                            | First Quarter                           |  |       | 88.45 |     |  |       | 75.00 | 
|                                            | Second Quarter (until April 30, 2002)   |  |       | 89.10 |     |  |       | 83.50 | 
|Last 4 Months                               |                                         |  |       |       |     |  |       |      
|                                            | January 2002                            |  |       | 85.15 |     |  |       | 78.00 | 
|                                            | February 2002                           |  |       | 82.00 |     |  |       | 75.00 | 
|                                            | March 2002                              |  |       | 88.45 |     |  |       | 78.55 | 
|                                            | April 2002                              |  |       | 89.10 |     |  |       | 83.50 | 

Trading on the New York Stock Exchange

The table below presents the highest and lowest reported sale price for
our ADSs on the New York Stock Exchange. On May 14, 2002, the latest
practicable day before the printing of this annual report, the last reported
sale price of our ADSs on the New York Stock Exchange was $27.40 per ADS.

|                                            |                                         |  |       |       |     |  |       |       | 
|------------------------------------------- | --------------------------------------- |  | ----- | ----- | --- |  | ----- | ----- | 
|                                            |                                         |  | High  |       | Low
|                                            |                                         |  |       |       |    
|                                            |                                         |  | $     |       | $  
|Calendar Year 2001 (from December 11, 2001) |                                         |  | 24.70 |       |     |  | 23.02 |      
|                                            | Fourth Quarter (from December 11, 2001) |  |       | 24.70 |     |  |       | 23.02 | 
|Calendar Year 2002 (until April 30, 2002)   |                                         |  | 27.40 |       |     |  | 21.77 |      
|                                            | First Quarter                           |  |       | 26.50 |     |  |       | 21.77 | 
|                                            | Second Quarter (until April 30, 2002)   |  |       | 27.40 |     |  |       | 25.00 | 
|Last 4 Months                               |                                         |  |       |       |     |  |       |      
|                                            | January 2002                            |  |       | 25.60 |     |  |       | 22.90 | 
|                                            | February 2002                           |  |       | 24.14 |     |  |       | 21.77 | 

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| |            |  |  |       |  |  |  |       | 
| | ---------- |  |  | ----- |  |  |  | ----- | 
| | March 2002 |  |  | 26.50 |  |  |  | 23.15 | 
| | April 2002 |  |  | 27.40 |  |  |  | 25.00 | 

B. PLAN OF DISTRIBUTION

Not applicable.

C. MARKETS

Converium registered shares have a listing on the SWX Swiss Exchange under
the symbol CHRN. Converium ADSs are listed in the United States under the
symbol CHR on the New York Stock Exchange, or NYSE. The NYSE is the only
trading market for our ADSs in the United States. Each of our ADSs represents
one-half of one of our registered shares. We expect that the SWX Swiss
Exchange will remain the principal trading market for our registered shares.

D. SELLING SHAREHOLDER

Not applicable.

E. DILUTION

Not applicable.

F. EXPENSES OF THE ISSUE

Not applicable.

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ITEM 10.     ADDITIONAL INFORMATION

A. SHARE CAPITAL

Not applicable.

B. MEMORANDUM AND ARTICLES OF ASSOCIATION

See Description of Shares and Share Capital in the Registration
Statement on Form F-1, file number 333-14106, filed with the SEC under the
Securities Act of 1933 on December 10, 2001.

C. MATERIAL CONTRACTS

The Master Agreement

The Master Agreement sets out the overall principles and the rights and
obligations of the parties in connection with the Formation Transactions. It
also addresses the relationship between Zurich Financial Services and Converium
following the Formation Transactions. In particular, the Master Agreement
provides for:



| |  | 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.                                                                      

The third party reinsurance business that has been retained by Zurich
Financial Services includes the Zurich Centre Group business as described below
and the reinsurance business written by ZIC with inception or renewal dates
prior to January 1, 1987.

In the Master Agreement, Zurich Financial Services and Converium made
certain representations and warranties with respect to matters including the
assets of and titles to the assumed business. In addition, each of Zurich
Financial Services and Converium made certain covenants, principally intended
to effect our separation from the other businesses of Zurich Financial
Services.

Further, each of Zurich Financial Services and Converium has agreed,
following the completion of the Formation Transactions:



| |  | to execute the agreements, and to cooperate and act in accordance with the arrangements described below                                                                                                                                                                                                                                                                     
| | - | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|
| |  | not to, and to cause its subsidiaries not to, until March 31, 2004, interfere with any contractual relationship existing on
or at any time during the period of two years prior to the first trading day on the SWX Swiss Exchange between the other
party and its customers or other commercial counterparties                                                             
|
| |  | not to, and to cause its subsidiaries not to, within a period of two years after the first trading day on the SWX Swiss
Exchange, actively solicit for employment or hire any person employed by the other party or its subsidiaries 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 transactions contemplated by the Master Agreement.

In addition, the Master Agreement provides that we will bear up to a
maximum of $50 million of the costs and expenses related to the consummation of
the Formation Transactions, including advisors fees, retention costs and stamp
duty taxes. Zurich Financial Services will reimburse us for costs and expenses
in excess of this amount. For a discussion of the

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impact of the Formation Transactions-related costs and expenses on our
results of operations, cash flows and financial position see Item 5.  A.
Operating Results  Restructuring Charge.

The Master Agreement is governed by, and will be construed in accordance
with, the laws of Switzerland.

September 11th Coverage

Zurich Financial Services, through its subsidiaries, has agreed to
arrangements that cap our net exposure for losses and loss adjustment expenses
arising out of the September 11th terrorist attacks at $289.2 million, the
amount of loss and loss adjustment expense we recorded as of September 30,
2001. As part of these arrangements, these subsidiaries of Zurich Financial
Services have agreed to take responsibility for non-payment by the
retrocessionaires of Converium Zurich and Converium Cologne with regard to
losses arising out of the September 11th attacks in excess of the $289.2
million cap. While the cap does not cover non-payment by the retrocessionaires
of Converium North America, our only retrocessionaire for this business is a
unit of Zurich Financial Services. Therefore, we are not exposed to potential
non-payments by retrocessionaires for these events in excess of the $289.2
million cap, although we will be exposed to the risk of non-payment of Zurich
Financial Services units and we will be exposed to credit risk from these
subsidiaries of Zurich Financial Services. Note 8 to our financial statements,
and Item 4.  Information on the Company  B. Business Overview  Retrocessional
Reinsurance.

Acquisition of the Converium Zurich Business

The Converium Zurich reinsurance business was acquired from ZIC and ZIB
via the Quota Share Retrocession Agreement, described in more detail below and
the Asset Purchase and Assumption of Liability Agreement between ZIC and
Converium Switzerland, dated September 28, 2001. Under this Agreement, ZIC
transferred to Converium Switzerland tangible assets, marketable securities and
liabilities relating to the Converium Zurich business.

Quota Share Retrocession Agreement

In connection with the Formation Transactions, the transfer of Converium
Zurichs business to Converium Switzerland by ZIC and ZIB was effected by means
of the Quota Share Retrocession Agreement effective July 1, 2001. The covered
business consists of the business historically managed by Converium Zurich
which has an inception or renewal date on or after January 1, 1987, and
consists of substantially all of the third party reinsurance assumed business
written by ZIC and ZIB, under the Zurich Re brand name. The liabilities
Converium assumed include all net unearned premiums, net losses and loss
adjustment expenses and experience account balances relating to this business.

The Quota Share Retrocession Agreement provides for the payment of
premiums to Converium by ZIC as consideration for assuming the covered
liabilities. The Quota Share Retrocession Agreement provides that these
premiums are on a funds withheld basis, whereby the premium is not
immediately paid, but is rather retained by ZIC and credited to a funds
withheld account, which is referred to as the Funds Withheld Asset. In
conjunction with the establishment of the Funds Withheld Asset, the Zurich
Financing Agreement was cancelled. See Note 6 to our financial statements for
more information on the Zurich Financing Agreement.

Because the business subject to the Quota Share Retrocession Agreement
consists of business that was historically managed by Converium Zurich, this
business is already reflected in our financial statements. Any reinsurance
business written by ZIC or ZIB that is not part of the historically managed and
operated third-party reinsurance business of Converium Zurich is not covered by
the Quota Share Retrocession Agreement, and all related legal rights and
obligations of this business have been retained by ZIC and ZIB. Accordingly,
this business is excluded from our financial statements. Therefore, execution
of this Quota Share Retrocession Agreement has no impact on results of
operations as reported for 2001, 2000 or 1999.

Converium will receive the surplus remaining with respect to the Funds
Withheld Asset, if any, after all liabilities have been discharged.
Additionally, Zurich Financial Services has the right to prepay to Converium
the full amount or a portion thereof of the Funds Withheld Asset prior to
termination of the agreement. Finally, Converium is entitled to request cash
advances under certain circumstances to help meet significant cash
requirements. Any surplus or any additional cash flows will be recorded in the
financial statements in the period when they occur.

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Converium is entitled to borrow cash from ZIC if eligible losses from a
single event or series of related events not relating to the business covered
by the Quota Share Retrocession Agreement exceed $25.0 million. The amount
that may be borrowed as a result of any one event or series of related events
is limited to the lesser of $90.0 million, or actual losses from the event.
Converium is entitled to request multiple advances. However, it may never
borrow more than the Funds Withheld Asset balance, and the aggregate amount
that may be borrowed at any one time ranges from $150.0 to $180.0 million in
2002 and $105.0 to $135.0 million for the period January 1, 2003 to September
30, 2003. Converium may not request advances beyond September 30, 2003, unless
agreed otherwise with ZIC. Interest on these advances will accrue at a
variable annual rate equal to prevailing LIBOR plus 0.50%, and is payable
monthly. Converium would be required to repay any advance within one year of
receipt. No advances were outstanding at December 31, 2001.

Converium will continue to administer the transferred business on behalf
of ZIC and ZIB, which remain liable to the original cedents of the business.
Additionally, Converium will manage third-party retrocessions related to the
business transferred. Converium will bear the credit risk for uncollectible
reinsurance balances excluding those related to the September 11th terrorist
attacks. Converium will have a broad right of offset under the Quota Share
Retrocession Agreement so that reinsurance balances owed to ZIC and ZIB may be
offset against the Funds Withheld Asset account directly.

The Quota Share Retrocession Agreement provides for commutation and
termination for special reasons, such as insolvency of a party or loss of its
authorization to do business or a change of control of Converium. Each of the
parties agrees to indemnify the other against liability or expense incurred by
reason of its conduct or failure to act in appropriate circumstances. The
Quota Share Retrocession Agreement contains other provisions that are customary
for an agreement of this nature.

Acquisition of the Converium North America Business

The Converium North America reinsurance business was acquired through the
transfer by a subsidiary of Zurich Financial Services of all of the voting
securities of Converium Reinsurance (North America) Inc. to Converium Holdings
(North America) Inc., pursuant to a Stock Purchase Agreement between Zurich
Reinsurance Centre Holdings, Inc. and Converium, dated November 20, 2001.

Assumption of $200 Million Public Notes

On October 20, 1993, Zurich Reinsurance Centre Holdings, Inc., or ZRCH,
issued $200 million principal amount of 7.125% Senior Notes due October 15,
2023, referred to below as the Notes. In connection with the issuance of the
Notes, ZRCH executed an Indenture. As partial consideration for the transfer
to Converium Holdings (North America) Inc. of Converium Reinsurance (North
America) Inc., Converium Holdings (North America) Inc. has executed a First
Supplemental Indenture, dated November 20, 2001, assuming all of the rights and
obligations of ZRCH under the Indenture. The Bank of New York acts as Trustee
under the Supplemental Indenture. Accordingly, this indebtedness is reflected
in our financial statements for all periods presented. The Notes are general
unsecured obligations of Converium Holdings (North America) Inc. and rank on a
parity with all other unsecured and unsubordinated indebtedness of Converium
Holdings (North America) Inc.

CENY Arrangements

Prior to the Formation Transactions, the Converium Reinsurance (North
America) Inc. balance sheet reflected business originally written by Centre
Reinsurance Company of New York, or CENY. Prior to the establishment of
separate Zurich Centre Group legal entities, CENY wrote new or renewal business
on the Converium Reinsurance (North America) Inc. balance sheet. CENY was
originally part of the Zurich Centre Group of companies, a business unit of
Zurich Financial Services. Zurich Financial Services has historically operated
and managed CENY separately from Converium. In 1997, the CENY legal entity was
merged into Zurich Reinsurance Centre, Inc., or ZRC, a predecessor of Converium
Reinsurance (North America) Inc. in connection with a going private transaction
involving ZRCs parent. As a result of this merger, certain liabilities of
CENY, referred to below as CENY Business, became direct obligations of
Converium Reinsurance (North America) Inc., but continued to be managed by
Zurich Centre management and were not part of the independently managed and
operated third party reinsurance business of Converium. Nevertheless, prior to
our separation from Zurich Financial Services, we had primary legal
responsibility for the CENY Business.

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In connection with the Formation Transactions, we have extinguished our
legal responsibility for substantially all of the CENY Business pursuant to the
Master Novation and Indemnity Reinsurance Agreement with certain insurance
subsidiaries of Zurich Financial Services, including Converium Reinsurance
(North America) Inc., Centre Insurance Company, or CIC, Centre Solutions (U.S.)
Limited, a Bermuda domiciled insurance company, and Zurich Insurance Company,
Bermuda branch, a Bermuda branch of a company organized under the laws of
Switzerland, dated as of October 21, 2001. Under this agreement, Converium
Reinsurance (North America) Inc. has assigned and transferred to insurance
subsidiaries of Zurich Financial Services, and these insurance subsidiaries
have assumed, pursuant to a novation, substantially all of the insurance
contracts related to the CENY Business. Accordingly, the novated contracts are
excluded from our financial statements. However, a portion of the CENY
Business was not novated because necessary consents could not be obtained from
the reinsureds by the effective date of the agreement. This portion of the
CENY Business has been 100% retroceded to CIC and CSUS on an indemnity
reinsurance basis and is reflected in our financial statements as 100%
retroceded business for all periods presented.

Converium Reinsurance (North America) Inc. historically obtained stop-loss
reinsurance coverage on the CENY Business from members of the Zurich Centre
Group. In connection with the Formation Transactions, Converium Reinsurance
(North America) Inc. has commuted these policies pursuant to the Commutation
Agreement (covering the Aggregate Excess of Loss Reinsurance Agreement
effective January 1, 1991 through December 31, 1993) between Converium
Reinsurance (North America) Inc. and Centre Reinsurance Limited, dated as of
October 1, 2001, the Commutation Agreement (covering the Aggregate Excess of
Loss Reinsurance Agreement effective January 1, 1994 through December 31, 1994)
between Converium Reinsurance (North America) Inc. and Centre Reinsurance
International Company, dated as of October 1, 2001, the Commutation Agreement
(covering the Aggregate Excess of Loss Reinsurance Agreement effective January
1, 1995) between Converium Reinsurance (North America) Inc. and Centre
Reinsurance Limited, dated as of October 1, 2001, the Commutation Agreement
(covering the Obligatory Surplus Share Reinsurance Agreement effective October
1, 1995) between Converium Reinsurance (North America) Inc. and Centre
Reinsurance Limited, dated as of October 1, 2001 and the Commutation Agreement
(covering the Obligatory Surplus Share Reinsurance Agreement effective November
6, 1992) between Converium Reinsurance (North America) Inc. and Centre
Reinsurance International Company, dated as of October 1, 2001. Because we no
longer have any legal rights of coverage under these policies, they have been
excluded from our financial statements for all periods presented.

Supplementary Agreements and Arrangements

Converium Reinsurance (North America) Inc. and its wholly owned
subsidiary, Converium Insurance (North America) Inc., terminated certain
existing affiliate arrangements and settled balances due under certain existing
arrangements in preparation for the transfer of Converium Reinsurance (North
America) Inc. to Converium pursuant to the Agreement Amending and Terminating
Centre Reinsurance Dublin Affiliated Group Tax Allocation Agreement, between
Orange Stone Delaware Holdings Limited, Orange Stone Reinsurance, Centre
Reinsurance Holdings (Delaware) Limited, Centre Reinsurance (US) Limited, ZRCH,
Converium Reinsurance (North America) Inc., ZCIC, 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.

Centre Reinsurance Holdings (Delaware) Limited, an indirect subsidiary of
Zurich Financial Services, repaid a loan from Converium Reinsurance (North
America) Inc. in the principal amount of $33.0 million plus accrued interest of
$0.9 million. These amounts were settled in cash. The transaction was
effected on July 10, 2001.

Additionally, the former direct parent of Converium Reinsurance (North
America) Inc. repaid a loan from Converium Reinsurance (North America) Inc. in
the principal amount of $33.0 million plus accrued interest of $1.9 million.
These amounts were settled in cash and the transaction was effected on July 10,
2001.

Moreover, Converium Reinsurance (North America) Inc. was removed as a
party to an Expense Sharing Agreement with an affiliate of Zurich Financial
Services. Converium Reinsurance (North America) Inc. settled all costs and
received all payments arising under this Expense Sharing Agreement according to
its terms as of the settlement date. The termination became effective October
1, 2001, with a settlement as of September 30, 2001.

Prior to the Formation Transactions, Converium Reinsurance (North America)
Inc. owned approximately 34% of the common stock of Lancer Insurance Company,
or Lancer, an Illinois-domiciled property and casualty insurer. Converium

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Reinsurance (North America) Inc. transferred its interest in Lancer to a
subsidiary of Zurich Financial Services pursuant to the Stock Purchase
Agreement between Converium Reinsurance (North America) Inc. and Centre
Strategic Holdings Limited, dated August 23, 2001. The Lancer stock was sold
on August 23, 2001 at the book value on the effective date of the sale, which
was approximately $11.9 million. The sale was effective as of August 1, 2001.

Converium Reinsurance (North America) Inc. is party to a sublease
agreement dated January 1, 1994 as amended January 26, 1996 with ZC Resource
LLC (ZC Resource), a subsidiary of Zurich Financial Services. In connection
with the Formation Transactions, Converium Reinsurance (North America) Inc.
entered into a new sublease with ZC Resource as of July 13, 2001. The sublease
has a term of approximately eleven years, ending in 2012.

The landlord has agreed to allow ZC Resource to continue to sublease
office space to Converium Reinsurance (North America) Inc. after the Formation
Transactions. Accordingly, Converium Reinsurance (North America) Inc. will
continue its sublease from ZC Resource and will continue its rent guaranty for
ZC Resource. As part of the Formation Transactions, Converium Reinsurance
(North America) Inc. entered into an agreement to indemnify Global Asset
Holdings Limited (GAHL) (an indirect parent of ZC Resource and a co-guarantor
of the prime lease) for losses under the prime lease or the guaranty caused by
Converium Reinsurance (North America) Inc.s default under the sublease that
results in a default under the prime lease; GAHL, in turn, will indemnify
Converium Reinsurance (North America) Inc. for any losses under the guaranty
caused by a default by ZC Resource under the prime lease. CIC will guaranty
the punctual payment of all amounts due by GAHL under the guaranty and all
expenses incurred by Converium Reinsurance (North America) Inc. enforcing the
guaranty.

All of the above supplementary transactions were recorded in our financial
statements on the date they occurred.

Acquisition of the Converium Cologne and Converium Life Businesses

The Converium Cologne and Converium Life reinsurance businesses were
acquired through the transfer by Zurich Financial Services to Converium
Switzerland of its 98.6% interest in ZRK pursuant to the Agreement for the Sale
and Transfer of Shares in Zürich Rückversicherung (Koln) Aktiengesellschaft,
dated September 28, 2001.

GRI Retained Business

GRI is an internal operating unit of Zurich Financial Services whose
principal role is to accumulate risks underwritten by primary and direct
providers of insurance in a manner which allows GRI to access the third party
reinsurance markets more effectively and efficiently than Zurich Financial
Services direct writing companies could do on their own. GRIs internal
operations were wholly autonomous from the third party reinsurance business
conducted by Converium. Moreover, Converium never used GRI to access external
reinsurance markets.

Prior to the Formation Transactions, the GRI operation was partially
conducted through policies issued by Converium Reinsurance (North America) Inc.
and ZRK. However, the GRI operation was managed exclusively by GRIs
management team. Additionally, Zurich Financial Services did not alter the
capital ascribed to support Converiums business as a result of the GRI
business formerly written on our balance sheets. As a consequence of the
Formation Transactions, all GRI business previously written on our balance
sheets has been assigned and assumed pursuant to a Group Reinsurance Business
Master Novation and Indemnity Reinsurance Agreement, among Converium
Reinsurance (North America) Inc., ZIC and ZIB, dated as of October 1, 2001.
Any related rights and obligations of ours have been extinguished.
Accordingly, all of this business is excluded from our financial statements.

Other Indemnity Matters

Pursuant to the Master Agreement, we and Zurich Financial Services will
indemnify each other for certain matters, such as liabilities arising out of
our respective businesses, and for breaches of our respective representations
and warranties and other customary matters.



In particular, we have agreed to indemnify Zurich Financial Services and its affiliates for:



| |  | liabilities assumed by or transferred to us in the separation;
| | - | --------------------------------------------------------------

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| |                                                                          | liabilities incurred by Zurich Financial Services or its affiliates (other than Converium) 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 U.S. and non-U.S. 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 Converium); and                                                                                                                                                     
|
| |                                                                          | losses suffered by Zurich Financial Services or any of its affiliates (other than Converium) that relate to any
reasonable action to avoid, resist or defend against liabilities assumed by or indemnified against by us; and                                                                                                                
|
| | Zurich Financial Services has correspondingly agreed to indemnify us for:
|
| |                                                                          | liabilities retained by Zurich Financial Services and its affiliates and not assumed by or transferred to us in the
separation;                                                                                                                                                                                                              
|
| |                                                                          | 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 Converium or any of our affiliates that relate to any reasonable action to avoid, resist or defend
against liabilities not relating to our business.                                                                                                                                                                      

Moreover, we have agreed with Zurich Financial Services to allocate
amongst ourselves liabilities that may arise under relevant securities laws as
a result of any misstatements or omissions contained in the various annual
report documentation to be distributed to Converium shareholders or as a result
of the transactions themselves.

In addition, pursuant to the tax sharing and indemnity agreements
described below, we and Zurich Financial Services will indemnify each other for
certain tax liabilities arising out of the Formation Transactions and certain
other potential liabilities that arose while we were affiliated with Zurich
Financial Services.

We have further agreed with Zurich Financial Services to indemnify Zurich
Financial Services or ZIC against liabilities to counterparties or third
parties arising in connection with ZICs participation in establishing the
TRINOM transaction, including, but not limited to, the offering circular and
any ancillary documentation related thereto, ZICs exercise or performance of
any of its rights and obligations under the TRINOM agreements and ZICs acting
based on our information and/or instructions.

Also, we have agreed to indemnify Zurich Financial Services and its
subsidiaries for losses arising from Zurich Financial Services involvement in
the MDU joint venture to the extent such indemnifiable losses had been caused
by the misconduct or negligence of our employees or arising out of our
business.

As described above, subsidiaries of Converium and Zurich Financial
Services will indemnify each other with respect to losses arising out of our
lease arrangements at Converium North Americas New York City office. See 
Acquisition of the Converium North America Business.

Tax Sharing Agreements



| | We entered into Tax Sharing and Indemnification Agreements with:
| | ----------------------------------------------------------------
|
|
| |                                                                
|
| |                                                                

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The tax allocation agreement in effect involving Converium Reinsurance
(North America) Inc. and Converium Insurance (North America) Inc. was
terminated as to those parties. Converium Reinsurance (North America) Inc. and
Converium Insurance (North America) Inc. paid $54.9 million due under the tax
allocation agreement through the date of sale of Converium Reinsurance (North
America) Inc., to Converium Holdings (North America) Inc. Under the U.S. Tax
Sharing Agreement, these settlements will be adjusted to the extent necessary
as of the time the tax returns for 2000 and 2001 are filed. The U.S. Tax
Sharing Agreement provides we will generally be liable for taxes imposed on our
U.S. entities in respect of periods prior to and after the transfer. However,
ZRCH will be liable to us for specified taxes which will include any taxes
arising out of the transfer of the U.S. entities to us, any taxes imposed in
respect of the stop loss reinsurance policy from ZIC from 1997 to 2001 and
certain other matters.

The Non-U.S. Tax Sharing Agreement provides, in general, that we will be
liable for all taxes arising from the business previously conducted by ZIC and
Converium Germany, whether arising prior to or subsequent to the transfer to
Converium. We are also liable for branch taxes arising from the Converium
branches located in Malaysia, Singapore and Australia and representative
offices in Buenos Aires, London, Mexico City, Sao Paolo and Tokyo. As
described above, under the Master Agreement we will be liable for all taxes
related to the consummation of the Formation Transactions together with all
other costs and expenses of the global offering, up to an aggregate of $50
million. In addition, all taxes relating to the Formation Transactions but
incurred after the Formation Transactions will be borne by Converium. See 
The Master Agreement.

The tax sharing agreements also set forth the responsibilities for filing
tax returns affecting the Converium entities, and the conduct of audits and
similar proceedings. The obligations of ZRCH under the U.S. Tax Sharing
Agreement are guaranteed by ZIC.

Swiss Tax Consequences to Converium of the Formation Transactions

Under the terms of the Swiss tax rulings obtained by Zurich Financial
Services and granted by the Swiss Federal and Zurich Cantonal Tax
Administrations, the Swiss tax treatment of the transactions relating to the
formation of Converium will be as described below, provided the transactions
were effected in the manner described to the Swiss Tax Administrations and the
conditions described further below are satisfied:



| |  | The offering of Converium shares to the public in the global offering
will retroactively trigger Swiss stamp duty at the rate of 1% of the
fair market value of Converium at the level of Converium Holding.
| | - | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

As part of the Master Agreement, Zurich Financial Services has agreed to
reimburse us for certain costs and expenses related to the Formation
Transactions, including the stamp duty taxes described above. See  Master
Agreement.



| | The Swiss tax treatment of the transactions set forth above is subject to the following condition:
| | --------------------------------------------------------------------------------------------------
|
| |                                                                                                  

Continuing Relationships with Zurich Financial Services

In addition to the agreements described above, we have certain continuing
relationships with Zurich Financial Services, including those described below.

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Continuing Aggregate Excess of Loss Agreements

1993 Aggregate Excess of Loss Agreement

In 1993, ZIC and Zurich Reinsurance Centre entered into an Excess of Loss
Reinsurance Agreement under which ZIC agreed to reinsure adverse loss
development on ZRCs revenues as of December 31, 1992. As we described above
under CENY Arrangements, ZRC is a predecessor of Converium Reinsurance (North
America) Inc., and we remain liable for its continuing obligations. Also, ZIC
and ZRC entered into a Stop Loss Reinsurance Agreement as of March 5, 1993 for
losses occurring between January 1, 1993 and May 31, 1993. In addition, under
this second agreement, we are reimbursed for incurred losses and allocated loss
adjustment expenses in excess of 75% of earned premiums for losses occurring
after May 31, 1993 on business written by ZRC prior to June 1993. Recoveries
under each of these agreements, which we refer to collectively as the 1993
Aggregate Excess of Loss Agreement, is on an incurred basis (rather than as any
such losses are paid). As of December 31, 2001, there were no recoverables
under the 1993 Aggregate Excess of Loss Agreement.

1997 Aggregate Excess of Loss Agreement

Converium Reinsurance (North America) Inc. and Converium Zurich had an
intra-Converium aggregate excess of loss reinsurance agreement in place since
July 1, 1997 (1997 Aggregate Excess of Loss Agreement). This agreement
provided protection to Converium Reinsurance (North America) Inc. for losses
that exceeded a net retention after amounts recoverable from its outside
retrocessionaires. Because the 1997 Aggregate Excess of Loss Agreement
pre-dated the Formation Transactions, ZIC was the formal counterparty to
Converium Reinsurance (North America) Inc. In October 2001, the 1997 Aggregate
Excess of Loss Agreement was amended as follows:



| |  | Converium Reinsurance (North America) Inc.s coverage for net losses
of $320.4 million with respect to all Amerisafe business retroceded to
the Unicover Occupational Accident Reinsurance Pool remains in effect,
with ZIC as counterparty,
| | - | --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|
| |  | Converium Reinsurance (North America) Inc.s coverage for net losses
of $307.5 million from the September 11th terrorist attacks that
exceed $58.2 million remains in effect, with ZIC as counterparty,                                     
|
| |  | The remainder of the coverage under the agreement is commuted.                                                                                                                                                                              

As part of the Formation Transactions, ZIC has also provided Converium
Reinsurance (North America) Inc. with coverage for all its net losses with
respect to the Amerisafe business ceded to the Unicover Occupational Accident
Reinsurance Pool and the September 11th terrorist attacks that exceed the
coverage limits described above under each of two Indemnity Agreements, each
dated as of October 1, 2001. See Note 15 to our financial statements. In
addition, under the Master Agreement Converium has agreed to indemnify ZIC for
up to $58.6 million of losses in connection with the Amerisafe business ceded
to the Unicover Pool for non-performance of the retrocessionaire.

Other Agreements and Arrangements

As described in more detail above, the separation of our business from
that of Zurich Financial Services, in part pursuant to reinsurance agreements,
including the Quota Share Retrocession Agreement and the Master Novation and
Indemnity Agreement, will entail us and Zurich Financial Services and its
affiliates having continuing obligations to reinsure each other and to provide
services in connection with the administration of the run-off of the business
we transferred to each other.

In some of our lines of business, it is either necessary for regulatory or
other reasons, or commercially useful, to write business through policies
issued directly by primary insurance companies. We subsequently reinsure all
or substantially all of this business, which we underwrite and manage. In some
cases, we have partnered with certain Zurich Financial Services affiliates who
write direct business in some jurisdictions or lines, which we have
subsequently reinsured. For example, we partnered with Zurich American
Insurance Company to reinsure coverage provided to the USAIG aviation pool
through policies directly issued by Zurich American Insurance Company and
reinsured by us. Because this type of business has been historically marketed,
managed and operated by Converium, it is included in our financial statements.
Our financial statements include gross assumed premiums under these
transactions of $44.0 million in 2001, $35.8 million in 2000 and $27.3 million
in 1999.

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During 2000, Converium entered into a significant modified life
coinsurance agreement to assume certain assets and liabilities of Zurich
International, Bermuda Branch. The quota share on these deposits and deposit
liabilities totaled $430.3 million and $410.3 million each as of December 31,
2001 and 2000 and are presented net on the balance sheet. The contract can be
cancelled and withdrawn after five years.

In June 2001, ZIC entered into the TRINOM transaction that provides ZIC
with specific high limit catastrophe protection. As part of the Formation
Transactions, ZIC and Converium AG have entered into a CAT Retrocession
Reinsurance Agreement, dated December 1, 2001, which we refer to as the
Catastrophe Agreement. This agreement provides for Converium to receive
payments from ZIC for certain catastrophic events on terms similar to ZICs
protection under the TRINOM transaction. We will pay ZIC amounts at least
equal to the payments made by ZIC to TRINOM. The catastrophe agreement was
effective as of June 18, 2001, and will remain in effect for the same period as
ZICs agreement with TRINOM, together with any extension thereto. See Item 4.
- Information on the Company  B. Business Overview  Catastrophe Protection.

Certain business being retained by ZIC pursuant to the Quota Share
Retrocession Agreement is subject to a Run-Off Services and Management
Agreement between ZIC and Converium, dated December 3, 2001 and effective as of
October 1, 2001. Converium will receive commercially customary fees in
exchange for the services it renders under this agreement, which include
technical accounting, claim handling, actuarial support and access to certain
infrastructure.

Investment Management Agreements

Prior to the Formation Transactions, substantially all of our investments
were managed by affiliates of Zurich Financial Services pursuant to an
Investment Management Agreement between ZCIC and Scudder Kemper Investments,
Inc., dated January 1, 2000, an Investment Management Agreement between
Converium Reinsurance (North America) Inc. and Scudder Kemper Investments,
Inc., dated May 28, 1999, and an Agreement for the Provision of Services
between ZRK and Zürich Beteiligungs-Aktiengesellschaft, dated November 29,
2000. We believe that these agreements are made on market terms. Under these
agreements, our investment managers manage our portfolio of investment
securities in return for fees based on the average total market value of the
assets under management, as well as investment performance. In the second
quarter of 2002, Zurich Financial Services sold certain of its investment
management businesses, including Zurich Scudder Investments, Inc. to Deutsche
Bank AG.

The investment fees we pay vary by the particular asset class portfolios
selected. For this purpose, an asset class portfolio is defined as an asset
class characterized by substantially similar investment mandates, such as
performance benchmarks or capital gains policies. In addition, some of our
investment management arrangements require the payment of additional amounts to
the fund manager as a performance fee if the related funds returns exceed
targeted benchmarks. Monthly fee calculations are based on the average of the
market value of the assets at the beginning and the end of each month. Prior
to the Formation Transactions, we were also entitled to discounts based on our
indirect relationships with our fund managers through Zurich Financial
Services. The fees we negotiate in the future may therefore change.

Lease Arrangements

As described above, Converium Reinsurance (North America) Inc. has
subleased office space in New York City from an affiliate of Zurich Financial
Services. This space serves as the headquarters of Converium North America.
We and affiliates of Zurich Financial Services have indemnified each other for
breaches of our sublease and their underlying lease.

Converium Switzerland leases office space from Zurich Financial Services.
The lease term is fixed until 2006, with two renewal options for three-year
terms each. The lease payments are fixed with annual rent escalations based on
a cost of living index.

In addition, Converium Cologne has leased office space from an affiliate
of Zurich Financial Services. This space serves as the headquarters of our
Converium Cologne and Converium Life operations. The lease term is for a
period of ten years, with an option to renew for up to two additional ten-year
terms. The lease payments are fixed through 2003 with biannual rent
escalations based on changes in local real estate price indices.

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D. EXCHANGE CONTROLS AND OTHER LIMITATIONS

Other than in connection with government sanctions imposed on Iraq,
Yugoslavia, UNITA (Angola), Myanmar, Afghanistan and Libya (currently
suspended), there are currently no governmental laws, decrees, or regulations
in Switzerland that restrict the export or import of capital, including, but
not limited to, Swiss foreign exchange controls on the payment of dividends,
interest or liquidation proceeds, if any, to non-resident holders of shares.

E. TAXATION

The following is a summary of the principal U.S. Federal income tax and
Swiss tax consequences to a holder of shares or ADSs. This discussion does not
purport to address all tax consequences of the acquisition, ownership and
disposition of shares or ADSs and does not take into account the specific
circumstances of any particular holders (such as tax-exempt entities, certain
insurance companies, broker-dealers, traders in securities that elect to mark
to market, holders liable for alternative minimum tax, holders that actually or
constructively own 10% or more of the voting shares of Converium, holders that
hold shares or ADSs as part of a straddle or a hedging or conversion
transaction or holders whose functional currency is not the U.S. dollar, etc.),
some of which may be subject to special rules. This summary is based on the
tax laws of Switzerland and the United States (including the Internal Revenue
Code of 1986, as amended (the Code), its legislative history, existing and
proposed regulations thereunder, published rulings and court decisions as in
effect on the date hereof), as well as the Convention Between the United States
of America and the Swiss Confederation, which we call the U.S./Switzerland
Treaty, all of which are subject to change (or change in interpretation),
possibly with retroactive effect. We have not, and will not, request a ruling
from the U.S. Internal Revenue Service concerning the tax consequences of any
aspect of the transactions described herein.

Swiss Taxation

Generally, holders of ADSs will be treated as owners of the registered
shares underlying the ADSs for Swiss tax purposes. Accordingly, except as
noted, the Swiss tax consequences discussed below apply equally to holders of
the registered shares and ADSs.

This discussion does not generally address any aspects of Swiss taxation
other than income and capital taxation and Swiss stamp duties. Holders are
urged to consult their tax advisors regarding the Swiss and other tax
consequences of owning and disposing of shares or ADSs.

Withholding Tax on Dividends and Distributions

Dividends paid and similar in-kind distributions (including dividends of
liquidation proceeds and share dividends) made by Converium to a holder of
shares or ADSs are subject to a federal withholding tax at a rate of 35%. The
withholding tax must be withheld by Converium from the gross distribution, and
paid over to the Swiss Federal Tax Administration. The withholding tax is
refundable in full to a Swiss resident who receives a distribution if such
resident is the beneficial owner of the payment and duly reports the gross
distribution received on his personal tax return.

Dividends paid or similar in-kind distributions (including dividends of
liquidation proceeds and share dividends) made by Converium to a holder of
shares or ADSs are not subject to Swiss cantonal or municipal withholding tax.

Obtaining a Refund of Swiss Withholding Tax for U.S. Residents

Article 10 of the U.S./Switzerland Treaty provides for a reduced 15%
withholding tax rate for U.S. individual and corporate shareholders who are
entitled to claim treaty benefits, which may be further reduced to 5% in the
case of a corporate shareholder owning at least 10% of the voting rights.
Relief under the U.S./Switzerland Treaty is granted by way of a refund. Under
the ADS program in effect through The Bank of New York, a U.S. holder of ADSs
that qualifies for U.S./Switzerland Treaty benefits will not be required to
undertake any action with respect to the partial or full refund of the Swiss
withholding tax. On the payment date of the dividend, Converium will pay 65%
of the gross dividend to The Bank of New York on behalf of the ADS holders.
The Bank of New York will file a Form 82 accompanied by a shareholder list and
a DTC participant list for each program. Based on this refund application, the
refundable withholding tax will be refunded by the Swiss Federal Tax
Administration to The Bank of New York on behalf of the eligible U.S. holders
of ADSs. The Bank of New York will pay 85% or 95% of the dividend to the
eligible U.S. holders of ADSs, depending on the applicable

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U.S./Switzerland Treaty rate. Such holders should receive the ADS
dividend within approximately one month of the payment of the dividend by
Converium. Relief under the U.S./Switzerland Treaty is granted for holders of
shares by way of a refund of the withholding tax. A U.S. holder of shares may
obtain the applicable refund of Swiss withholding tax by filing a Swiss Federal
Tax Administration Form 82 with the Swiss Federal Tax Administration.

Income Tax on Dividends

A Swiss resident or a foreign resident subject to Swiss taxation who
receives a dividend or similar distribution (including a share dividend and
liquidation proceeds in excess of the nominal value of the shares) from us is
required to include such amounts in his personal income tax return. Under some
cantonal tax legislation, no tax is levied at the cantonal or municipal level
on stock dividends, except upon liquidation of the company. A Swiss
shareholder which itself is a company or a cooperative may, under certain
circumstances, benefit from an exemption of the dividend from income taxation
(participation exemption/Beteiligungsabzug).

For purposes of the above paragraph and the discussion under Capital
Gains Tax upon Disposal of Shares, a foreign resident subject to Swiss
taxation refers to a non-Swiss resident person that maintains in Switzerland a
permanent establishment or fixed place of business to which the shares are
attributable.

Capital Gains Tax upon Disposal of Shares

A Swiss resident who holds shares as part of such residents private,
non-business assets will not be subject to any Swiss federal, cantonal or
municipal income taxation on gains realized upon the sale or other disposal of
shares. However, under certain conditions, shares can be deemed to be part of
the business assets of an individual, i.e.an individual may be treated as a
professional trader in securities, with the consequence of taxation of any
capital gains as business income. Furthermore, private gains realized upon a
repurchase of shares by us may be re-characterized as taxable dividend income
if some conditions are met. In the case of such re-characterization of capital
gains into dividend income, income tax will be levied on the difference between
the repurchase price and the underlying nominal value of the shares. Capital
gains realized on shares held as part of the business assets of a Swiss
resident or a foreign resident subject to Swiss taxation are included in the
taxable income of such persons.

Persons who are not resident in Switzerland for tax purposes are not
subject to any Swiss taxes with respect to gains realized upon a sale of shares
or ADSs, unless the shares or ADSs are attributable to a permanent
establishment or fixed place of business maintained by such non-resident person
in Switzerland. However, under some conditions, dividend withholding tax will
become due if shares are repurchased by Converium.

A Swiss resident or a foreign resident subject to Swiss taxation which is
a shareholder and which itself is a company or a cooperative may, under certain
circumstances, be eligible for relief from taxation with respect to capital
gains (participation exemption/ Beteiligungsabzug). However, the participation
exemption on capital gains applies only in the case of a shareholding quota
sold of at least 20%.

Stamp Duties upon Transfer of Shares

The sale or purchase of shares or ADSs, whether by Swiss resident or
non-resident holders, may be subject to a Swiss securities transfer stamp duty
of 0.075% or 0.15%, calculated on the sale proceeds, if it occurs through or
with a Swiss bank or other Swiss securities dealer as defined in the Swiss
Federal Stamp Tax Act. Any Swiss securities transfer stamp duty due on the
sale of the shares or ADSs to initial investors in the global offering shall be
borne by Zurich Financial Services.

United States Federal Income Taxation

For purposes of this discussion, a U.S. holder is any beneficial owner
of shares or ADSs that is either (1) a citizen or resident of the United
States, (2) a corporation organized under the laws of the United States or any
political subdivision thereof, (3) an estate the income of which is subject to
U.S. federal income tax without regard to its source or (4) a trust if a court
within the United States is able to exercise primary supervision over the
administration of the trust and one or more U.S. persons have the authority to
control all substantial decisions of the trust.

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This discussion does not generally address any aspects of U.S. taxation
other than federal income taxation. Holders are urged to consult their tax
advisors regarding the U.S. federal, state and local and other tax consequences
of owning and disposing of shares or ADSs.

U.S. holders of ADSs will be treated as owners of the shares underlying
the ADSs for U.S. federal income tax purposes. Accordingly, except as noted,
the U.S. federal income tax consequences discussed below apply equally to U.S.
holders of ADSs and shares. This discussion is based in part upon
representations of The Bank of New York and assumes that each obligation
provided for in, or otherwise contemplated by, the deposit agreement and any
related agreement will be performed in accordance with its respective terms.
This discussion assumes that U.S. holders will hold their shares or ADSs as
capital assets. This discussion only applies to Converium shares acquired in
the global offering.

Taxation of Dividends

Under the U.S. federal income tax laws, and subject to the passive foreign
investment company, or PFIC, rules discussed below, U.S. holders will include
in gross income the gross amount of any distribution, other than certain pro
rata distributions of common shares, paid (before reduction for Swiss
withholding taxes) by Converium out of its current or accumulated earnings and
profits (as determined for U.S. federal income tax purposes) as foreign source
ordinary income when the dividend is actually or constructively received by the
U.S. holder. The dividend will not be eligible for the dividends-received
deduction. The amount of the dividend paid in Swiss francs will be the U.S.
dollar value of the Swiss francs received, including the amount of any Swiss
tax withheld, determined at the spot Swiss franc/U.S. dollar rate on the date
such dividend is received, which for holders of ADSs would be the date such
dividend is received by The Bank of New York, regardless of whether the payment
is in fact converted into U.S. dollars. Generally, any gain or loss resulting
from currency exchange fluctuations will be treated as ordinary income or loss.
Such gain or loss will generally be income from sources within the United
States for foreign tax credit limitation purposes. Distributions in excess of
current and accumulated earnings and profits, as determined for U.S. federal
income tax purposes, will be treated as a return of capital to the extent of
the U.S. holders basis in the shares or ADSs and thereafter as capital gain.

Subject to certain limitations, the Swiss tax withheld in accordance with
the U.S./Switzerland Treaty and paid over to Switzerland will be creditable
against the U.S. holders U.S. federal income tax liability. One such
limitation is that a foreign tax credit is only allowed for withholding tax on
a dividend if the shareholder has held the shares with respect to which the
dividend is paid for more than fifteen days during the thirty-day period
beginning on the date which is fifteen days before the date on which the shares
become ex-dividend with respect to the dividend. To the extent a refund of the
tax withheld is available to a U.S. holder under the U.S./Switzerland Treaty,
the amount of tax withheld that is refundable will not be eligible for credit
against the U.S. holders U.S. federal income tax liability. See  Swiss
Taxation  Obtaining a Refund of Swiss Withholding Tax for U.S. Residents
above for the procedures for obtaining a refund of tax.

The ability of a U.S. holder to utilize foreign taxes as a credit to
offset U.S. taxes is affected by complex limitations and conditions. The
limitation on foreign taxes eligible for credit is calculated separately with
respect to specific classes of income. For this purpose, dividends paid by
Converium will generally constitute passive income or, in the case of certain
U.S. holders, financial services income.

The U.S. Treasury Department has expressed concern that parties to whom
ADSs are pre-released may be taking actions that are inconsistent with the
claiming by U.S. holders of ADSs of foreign tax credits for U.S. federal income
tax purposes. Accordingly, the discussion of the creditability of foreign
taxes could be affected by future actions that may be taken by the U.S.
Treasury Department.

A U.S. holder may elect to claim all foreign taxes paid as an itemized
deduction in lieu of claiming a foreign tax credit. A deduction does not
reduce U.S. tax on a dollar-for-dollar basis like a tax credit, but the
availability of the deduction is not affected by the conditions and limitations
applicable to foreign tax credits. U.S. holders should consult their tax
advisors to determine whether and to what extent a foreign tax credit would be
available to them.

Sale or Exchange

Gain or loss recognized by a U.S. holder on the sale, exchange or other
disposition of shares or ADSs will, subject to the discussion of the PFIC rules
below, be subject to U.S. federal income taxation as capital gain or loss in an
amount equal to the difference between the U.S. holders adjusted tax basis in
the shares or ADSs and the amount realized on the

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disposition. Any gain or loss recognized will generally be treated as
U.S. source gain or loss. U.S. holders are urged to consult their own tax
advisors about the treatment of capital gains, which may be taxed at lower
rates than ordinary income for non-corporate taxpayers, and capital losses, the
deductibility of which may be limited.

The surrender of ADSs in exchange for shares, or vice versa, will not
result in the realization of gain or loss for U.S. federal income tax purposes.

PFIC Rules

Converium does not expect to be a PFIC for its current or future taxable
years; however, since this is a factual determination made annually, there can
be no assurance that Converium will not be considered a PFIC for any taxable
year. In general, Converium will be a PFIC with respect to a U.S. holder, if,
for any taxable year in which the U.S. holder held Converium shares or ADSs,
either (1) at least 75% of the gross income of Converium for the taxable year
is passive income or (2) at least 50% of the value (determined on the basis
of a quarterly average) of Converiums assets is attributable to assets that
produce or are held for the production of passive income. In general, passive
income for this purpose does not include income derived in the active conduct
of an insurance business by a corporation predominantly engaged in an insurance
business. If Converium were to be treated as a PFIC, in general, unless a U.S.
holder makes a mark-to-market election, gain realized on the sale or other
disposition of shares or ADSs and certain excess distributions would be
allocated on a straight-line basis over the holders holding period for the
shares or ADSs. The gain so allocated would be taxed as ordinary income at the
highest rate in effect for each year in the holders holding period, other than
the year of sale or disposition and years prior to the year in which Converium
first met the definitional criteria of a PFIC, and an interest charge would be
imposed in respect of the tax attributable to each such year subject to the
same exceptions; gain allocable to the year of sale or disposition and years
prior to the year in which Converium first met the definitional criteria of a
PFIC would be treated as ordinary income.

Backup Withholding

A U.S. holder may, under certain circumstances, be subject to backup
withholding with respect to dividends paid on the shares or ADSs or the
proceeds of sale, exchange, or other disposition of shares or ADSs unless such
holder (1) is a corporation or comes within certain other exempt categories,
and, when required, demonstrates this fact or (2) provides a correct taxpayer
identification number, certifies that it is not subject to backup withholding
and otherwise complies with applicable requirements of the backup withholding
rules. Any amount withheld under these rules will be creditable against the
U.S. holders federal income tax liability, provided appropriate information is
furnished to the IRS. A U.S. holder who does not provide a correct taxpayer
identification number may be subject to penalties imposed by the IRS.

F. DIVIDENDS AND PAYING AGENTS

Not applicable.

G. STATEMENT BY EXPERTS

Not applicable.

H. DOCUMENTS ON DISPLAY

It is possible to read and copy documents referred to in this annual
report that have been filed with the SEC at the SECs public
     reference room located at:

451 Fifth Street, NWWashington DC 20549, USA

Please call the SEC at 1-800-SEC-0330 for further information on the
public reference room and their copy charges.

In addition, documents referred to above are available at Converiums
headquarters, located at:

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Baarerstrasse 8
CH-6300 Zug
Switzerland

I. SUBSIDIARY INFORMATION

Not applicable.

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ITEM 11.     QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

As a provider of reinsurance solutions, effective risk management is
fundamental to our ability to protect both the interests of our clients and
shareholders. We have consequently established risk and investment management
processes and procedures to actively manage our exposure to qualitative and
quantitative market risks.

Our risk and investment management procedures focus on ensuring that all
of our global operating units consistently follow suitable, structured and
controlled processes and procedures, with specific guidelines and limits
tailored to the characteristics of each business. Prior to the Formation
Transactions, we adopted risk management, investment, derivative security and
related policies promulgated by Zurich Financial Services and reflecting its
global operations across many lines of business. Following the Formation
Transactions, we have been reviewing these policies and have adopted or will
adopt revised policies reflecting our reinsurance focus. Until revised
policies, if any, are formally approved by our Board of Directors, our existing
guidelines, policies and procedures will remain in effect.

We consider our market risk to consist primarily of our exposure to
adverse market value changes in our assets, across both short and long-term
periods. Our market risk includes multiple sources of market price
fluctuations, including credit risks, prepayment risks, liquidity risks, sector
risks and other risks. Short-term market risks relate primarily to our
exposure to adverse market value changes in our assets and the potential
inability to realize asset values on a timely basis.

We principally manage our long-term market risks through a procedure we
refer to as asset/liability management, or ALM, through which we seek to
understand and manage the dynamic interactions between our assets and
liabilities. We utilize and continually develop firm-wide ALM processes to
manage our aggregate financial risks. The primary goals of our ALM procedures
is to match, in terms of timing and currency, anticipated claims payments to
our cedents with investment income generated by our investment assets. Because
fixed income securities generally provide more stable investment income than
equity securities, the preponderance of our investments is in fixed income
instruments. Although our ALM techniques are based on theoretical and empirical
models and can lead to incorrect assumptions, we believe that the careful use
of these ALM techniques leads to a better understanding of the risks inherent
in our assets and liabilities and is therefore an important element of our risk
and investment management process. Our principal ALM techniques include cash
flow analysis, scenario testing and stochastic modeling.

As part of the ALM process, we focus on the following risks:



| |  | Interest rate risk.This risk occurs when the market value of our
liabilities deviates from the market value of investments in response
to a change in market interest rates, including changes in the slope
or shape of the yield curve and changes in spreads due to credit risks
and other factors.                                                                                                                                                                                                                                                                                                                      
| | - | ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|
| |  | Currency risk.This risk occurs when the investments supporting a
liability are in a currency that does not match the currency of the
liability, or in certain cases, where premiums are received in one
currency and liabilities are paid in another. Generally, we seek to
invest our assets so as to match the currency in which we expect the
related liability to be paid.                                                                                                                                                                                                                                             
|
| |  | Asset class mismatch risk.This risk occurs when assets are invested
in securities whose valuations are affected by factors other than
those that affect the liabilities which they support. These factors
include liquidity, interest rate and equity risk. For example, common
stock or real estate property have values that often move
independently of interest rates. If these holdings are used to fund
liabilities whose cash flows are primarily determined by movements in
interest rates, then we have a risk that the valuations and cash flows
of the assets differ from those of the liabilities they support.
|
| |  | Credit risk.We assume counterparty credit risk in many forms. A
counterparty is any person or entity from which cash or other forms of
consideration are expected to extinguish a liability to meet payment
obligations when they become due. We generally seek to transact with
counterparties with high credit ratings. We also have credit risk
exposure in our fixed income portfolios. The average market weighted
credit quality of our fixed income portfolio is within a range of
Standard & Poors ratings of AA+ to AA-.                                                                                         

Short-term market risks relate primarily to our exposure to adverse market
value changes in our assets and the potential inability to realize asset values
on a timely basis. As of December 31, 2001, asset management units of Zurich
Financial Services

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managed more than 95% of our invested assets. We define portfolio management
guidelines and develop benchmarks with appropriate risk parameters against
which investment performance is measured. Our existing guidelines were
developed in collaboration with other units of Zurich Financial Services, and
we are currently reviewing certain of these benchmarks following the Formation
Transactions.

Our asset managers utilize a number of market risk management tools. These
include:



| |  | interest rate sensitivity analysis for fixed income securities                                               
| | - | -------------------------------------------------------------------------------------------------------------
|
| |  | setting and monitoring established limits on trading activity and asset allocation                           
|
| |  | marking-to-market equity positions, typically on a daily basis                                               
|
| |  | marking-to-market fixed income positions, on at least a monthly basis                                        
|
| |  | preparing and analyzing investment profit and loss statements and other analytical reports on a regular basis

Additionally, our asset managers report positions, investment income,
realized gains and losses, the results of credit quality evaluations of
investment counterparties, trading strategies and the periods acquisitions and
dispositions to our business segments and ALM committees. We believe that these
procedures, which focus on meaningful communication with our asset managers,
are critical elements of the risk management process.

To help manage our aggregate exposure to concentration and credit risks,
our Corporate Risk Management department analyzes the concentration of our risk
by entity, rating category and industry. These concentrations and credit risks
are reviewed on a quarterly basis by our Group Executive Committee.

Sensitivity Analyses for Invested Assets

Approximately 95% of our investment securities are classified for
accounting purposes as available-for-sale. These securities are carried at
their fair market value as of the balance sheet date with movements in fair
value recorded in other comprehensive income in shareholders equity. In
contrast to these assets, certain liability reserves, particularly non-life
reinsurance reserves, are not shown at fair market values as of the balance
sheet date. Therefore, U.S. GAAP accounting practices typically result in more
volatile assets than liabilities. This in turn may lead us to report more
volatile shareholders equity on our balance sheet than we believe may
economically be the case.

The following risk analyses do not take into account that assets and
liabilities are actively managed and that there are strategies in place to
minimize the exposures to market fluctuations. These strategies include, among
others, changes in asset allocation and the sale of investments. These
analyses assume that the change in value of assets is temporary and that the
liability reserves would not change.

We have based our computations of prospective effects of hypothetical
interest rate changes on numerous assumptions. Because these computations are
based on assumptions, they should not be relied on as indicative of future
results.

Certain shortcomings are inherent in the method of analysis presented in
the computation of the fair value of fixed rate instruments. Actual values may
differ from those projections presented should market conditions vary from
assumptions used in the calculation of the fair value of individual securities,
including non-parallel shifts in the term structure of interest rates and
changing individual issuer credit spreads.

Interest Rate Risk

Our investment assets are subject to interest rate risks. Our interest
rate risk is concentrated in the United States 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 net assets to a one percentage point increase of the
yield curve would be an after-tax reduction in net assets of $73.5 million,
which represents approximately 4.7% of our total shareholders equity as of
December 31, 2001.

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As of December 31, 2001, 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 14.3% of our invested assets in equity securities which are
subject to equity market risk. Our equity market risk is concentrated in the
United States and is highly sensitive to general economic conditions and stock
market conditions. The estimated potential total exposure of our consolidated
net assets to a 10% decline in all stock markets as of December 31, 2001,
without taking into account any portfolio diversification effects, would be an
after-tax reduction in net assets of $46.5 million, which represents
approximately 3.0% of our total shareholders equity as of December 31, 2001.

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

In the past we have experienced currency mismatches between assets and
liabilities. Currently, our general practice is to invest in assets that match
the currency in which we expect related liabilities to be paid. 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. However, this may
result in adverse effects on our reported shareholders equity when expressed
in U.S. dollars.

The table below shows the approximate effect on shareholders equity of
instantaneous adverse movements in currency exchange rates of 10% on our major
currency exposures at December 31, 2001 against the U.S. dollar.

|             |  |                  |    |                     |  |               |  | 
|------------ |  | ---------------- | -- | ------------------- |  | ------------- |  | 
|             |  | Adverse exchange |    |                     |  |              
|             |  | rate movement    |    | Approximate decline
|             |  | against the      |    | in shareholders'   
|             |  | U.S. dollar      |    | equity             
|             |  |                  |    |                    
|Euro         |  |                  | 10 | %                   |  | $7.0 million 
|Swiss francs |  |                  | 10 | %                   |  | $83.0 million

As of December 31, 2001, we had an unrealized cumulative translation loss
of $21.9 million, compared to a gain of $40.5 million at December 31, 2000.
This change was mostly due to realigning our investment portfolio, including
the Funds Withheld Asset, to better match the currencies of the assets held to
the underlying reinsurance liabilities, in order to reduce our exposure to
foreign currency movements.

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ITEM 12.     DESCRIPTION OF SECURITIES OTHER THAN EQUITY SECURITIES

Not applicable.

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PART II




ITEM 13.     DEFAULTS, DIVIDEND ARREARAGES AND DELINQUENCIES

Not applicable.




ITEM 14.     MATERIAL MODIFICATION TO THE RIGHTS OF SECURITY HOLDERS AND USE OF PROCEEDS

A registration statement (file No. 333-14106) relating to the sale of
40,000,000 of our shares (in the form of shares or ADSs) by Zurich Financial
Services was declared effective by the SEC on December 10, 2001. All
40,000,000 shares were sold in the offering. We did not receive any proceeds
from the sale of our registered shares and ADSs by Zurich Financial Services.
The managing underwriters were UBS Warburg and Merrill Lynch International. In
the offering, 40,000,000 shares (in the form of shares or ADSs) were registered
and sold by Zurich Financial Services for CHF 82.00 per share and $24.59 per
ADS. The aggregate price of the offering amount was $1,967,200,000.

The following table sets forth the estimated expenses, other than
underwriting discounts and commissions, that we and Zurich Financial Services
incurred in connection with the issuance and distribution of the securities
registered under the global offering. All expenses are estimated except for
the SEC registration fee and the NASD filing fee.

|                                    |  |       |  |   |            |   |            | 
|----------------------------------- |  | ----- |  | - | ---------- | - | ---------- | 
|SEC registration fee                |  |       |  |   |            | $ | 430,000    | 
|NASD filing fee                     |  |       |  |   |            |   | 32,500     | 
|New York Stock Exchange listing fee |  |       |  |   |            |   | 250,000    | 
|SWX Swiss Exchange filing fee       |  |       |  |   |            |   | 60,000     | 
|Printing and engraving expenses     |  |       |  |   |            |   | 430,000    | 
|Legal fees and expenses             |  |       |  |   |            |   | 5,400,000  | 
|Accounting fees and expenses        |  |       |  |   |            |   | 2,600,000  | 
|Financial advisor fees              |  |       |  |   |            |   | 10,100,000 | 
|Publicity and marketing             |  |       |  |   |            |   | 1,200,000  | 
|Distribution                        |  |       |  |   |            |   | 395,000    | 
|Miscellaneous                       |  |       |  |   |            |   | 2,500,000  | 
|                                    |  |       |  |   |            |   |            | 
|                                    |  | Total |  | $ | 23,397,500 |  
|                                    |  |       |  |   |            |   |            | 

In addition, we paid
approximately $72.0 million in discount, and commissions to the underwriters.




ITEM 15. [RESERVED]




ITEM 16. [RESERVED]

132



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##### Table of Contents






PART III




ITEM 17.     FINANCIAL STATEMENTS

Not applicable.




ITEM 18.     FINANCIAL STATEMENTS

See the consolidated financial statements beginning on page F-1.




ITEM 19.     EXHIBITS

|        |  |                                                                                                                                                                                                                                                                                                                                                                                        
|------- |  | ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|Exhibit |  |                                                                                                                                                                                                                                                                                                                                                                                        
|Number  |  | Description                                                                                                                                                                                                                                                                                                                                                                            
|        |  |                                                                                                                                                                                                                                                                                                                                                                                        
|1.1     |  | Articles of Incorporation of Converium Holding AG, adopted November 8, 2001.*                                                                                                                                                                                                                                                                                                          
|1.2     |  | Bylaws of Converium Holding AG, adopted November 16, 2001.*                                                                                                                                                                                                                                                                                                                            
|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.*
|3.1     |  | Indenture, dated as of October 20, 1993 between Zurich Reinsurance Centre
Holdings, Inc. and The Bank of New York, as Trustee, relating to
$200,000,000 principal amount of 7 1/8 % Senior Notes due 2023 (and assumed
by Converium Holdings (North America) Inc. pursuant to the Supplement
Indenture included as Exhibit 3.2 hereto).*                                               
|3.2     |  | First Supplemental Indenture among Zurich Reinsurance Centre Holdings, Inc.,
as Issuer, Converium Holdings (North America) Inc., as Guarantor, and The
Bank of New York, as Trustee, dated as of November 20, 2001.*                                                                                                                                                                   
|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 (and effective as of July 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     |  | Excess of Loss Reinsurance Agreement between Zurich Insurance Company and
Zurich Reinsurance Centre f/k/a Zurich Reinsurance Company of America, dated
as of February 2, 1993.*                                                                                                                                                                                                        
|4.8     |  | Stop Loss Reinsurance Agreement between Zurich Insurance Company and Zurich
Reinsurance Cente f/k/a Zurich Reinsurance Company of America, dated as of
March 5, 1993.*                                                                                                                                                                                                                 

133



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##### Table of Contents



|     |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       
|---- |  | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|4.9  |  | Aggregate Excess of Loss Agreement between Zurich Reinsurance (North
America), Inc. and Zurich Insurance Company, dated July 1, 1997.*                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                
|4.10 |  | Indemnity Agreement (Unicover) between Zurich Reinsurance (North America),
Inc. and Zurich Insurance Company, dated as of October 1, 2001.*                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           
|4.11 |  | Indemnity Agreement (September 11th Cessions) between Zurich Reinsurance
(North America), Inc. and Zurich Insurance Company, dated as of October 1,
2001.*                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            
|4.12 |  | Indemnity Agreement (September 11th Losses) between Zürich Rückversicherung
(Köln) Aktiengesellschaft and Zurich Insurance Company, dated as of October
1, 2001.*                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     
|4.13 |  | Partial Commutation Agreement between Zurich Reinsurance (North America),
Inc. and Zurich Insurance Company, dated as of October 1, 2001.*                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            
|4.14 |  | 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 Brach, dated as of October 1,
2001.*                                                                                                                                                                                                                                                                                                                                                                                                                                                              
|4.15 |  | 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.*                                                                                                                                                                                                                                                                                                                                                                                                                                                                 
|4.16 |  | 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.*                                                                                                                                                                                                                                                                                                                                                                                                                                                
|4.17 |  | 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.*                                                                                                                                                                                                                                                                                                                                                                                                                                  
|4.18 |  | 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.*                                                                                                                                                                                                                                                                                                                                                                                                                                                                          
|4.19 |  | 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.*                                                                                                                                                                                                                                                                                                                                                                                                                                                                          
|4.20 |  | 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.*                                                                                                                                                                                                                                                                                                                                                                                                                                                           
|4.21 |  | 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.*

134



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##### Table of Contents



|     |  |                                                                                                                                                                                                                                                                                                        
|---- |  | -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|4.22 |  | Catastrophe Cover Retrocession Agreement by and between Converium AG and
Zurich Insurance Company, dated December 1, 2001.*                                                                                                                                                                            
|4.23 |  | Stock Purchase Agreement between Zurich Reinsurance (North America), Inc.
and Centre Strategic Investments Holdings Limited, dated August 23, 2001.*                                                                                                                                                   
|4.24 |  | Run-off Services and Management Agreement between Zurich Insurance Company
and Converium AG, dated December 3, 2001.*                                                                                                                                                                                  
|4.25 |  | 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. *                       
|4.26 |  | Tax Sharing and Indemnification Agreement between Zurich Financial Services,
Zurich Insurance Company, Converium Holding AG and Converium AG dated
December 3, 2001. *                                                                                                                                 
|4.27 |  | Form of Converium Standard Stock Option Plan for Non-U.S. Employees. *                                                                                                                                                                                                                                 
|4.28 |  | Form of Converium Standard Stock Purchase Plan for Non-U.S. Employees. *                                                                                                                                                                                                                               
|4.29 |  | Omnibus Share Plan for U.S. Employees. *                                                                                                                                                                                                                                                               
|4.30 |  | Converium Employee Stock Purchase Plan for U.S. Subsidiaries.*                                                                                                                                                                                                                                         
|4.31 |  | Form of Converium Annual Incentive Deferral Plan.*                                                                                                                                                                                                                                                     
|4.32 |  | Investment Management Agreement between ZC Insurance Company and Scudder
Kemper Investments, Inc., dated January 1, 2000.*                                                                                                                                                                             
|4.33 |  | Investment Management Agreement between Zurich Reinsurance (North America),
Inc. and Scudder Kemper Investments, Inc., dated May 28, 1999.*                                                                                                                                                            
|4.34 |  | Investment Management Agreement between Zurich
Beteilgungs-Aktiengesellschaft and Zürich Rückversicherung (Köln)
Aktiengesellschaft, dated November 29, 2000.*                                                                                                                                         
|4.35 |  | Lease, between Zurich Insurance Company and Converium AG, dated August 29,
2001.*                                                                                                                                                                                                                      
|4.36 |  | Sublease Support Agreement among Zurich Reinsurance (North America), Inc.,
Global Asset Holdings Limited and Centre Insurance Company, dated as of
October 1, 2001.*                                                                                                                                   
|4.37 |  | Sublease between ZC Resource LLC and Zurich Reinsurance (North America),
Inc., dated as of June 20, 2001.*                                                                                                                                                                                             
|4.38 |  | 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.*
|8.1  |  | Subsidiaries of the Registrant                                                                                                                                                                                                                                                                         



---

|* |  | Incorporated by reference to the Companys Registration Statement filed on
Form F-1, on December 10, 2001.
|- |  | ----------------------------------------------------------------------------------------------------------

135



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##### Table of Contents



CONVERIUM GROUP

INDEX TO CONSOLIDATED AND HISTORICAL COMBINED
FINANCIAL STATEMENTS AND SCHEDULES


|                                                                                                                                                                       |  |      |  | 
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------- |  | ---- |  | 
|                                                                                                                                                                       |  | Page
|                                                                                                                                                                       |  |     
|Report
of the Group Auditors on the Financial Statements                                                                                                               |  | F-2 
|                                                                                                                                                                      
|                                                                                                                                                                      
|                                                                                                                                                                      
|                                                                                                                                                                      
|Consolidated and Historical Combined Statements of Income for the years ended December 31, 2001, 2000 and 1999                                                         |  | F-3 
|                                                                                                                                                                      
|                                                                                                                                                                      
|                                                                                                                                                                      
|                                                                                                                                                                      
|Consolidated
and Historical Combined Balance Sheets as of December 31, 2001
and 2000                                                                                   |  | F-4 
|                                                                                                                                                                      
|                                                                                                                                                                      
|                                                                                                                                                                      
|                                                                                                                                                                      
|Consolidated and Historical Combined Statements of Cash Flows for the
years ended December 31, 2001, 2000 and 1999                                                     |  | F-5 
|                                                                                                                                                                      
|                                                                                                                                                                      
|                                                                                                                                                                      
|                                                                                                                                                                      
|Consolidated and Historical Combined Statements of Changes in Equity for the years ended December 31, 2001,  2000 and 1999                                             |  | F-6 
|                                                                                                                                                                      
|                                                                                                                                                                      
|                                                                                                                                                                      
|                                                                                                                                                                      
|Notes to the Consolidated and Historical Combined Financial Statements                                                                                                 |  | F-7 
|                                                                                                                                                                      
|                                                                                                                                                                      
|                                                                                                                                                                      
|                                                                                                                                                                      
|Schedules                                                                                                                                                              |  |     
|Report
of the Group Auditors on the Financial Statement Schedules                                                                                                      |  | S-1 
|                                                                                                                                                                      
|                                                                                                                                                                      
|                                                                                                                                                                      
|                                                                                                                                                                      
|I    Summary
of Investments Other than Investments in Related Parties as of
December 31, 2001                                                                          |  | S-2 
|                                                                                                                                                                      
|                                                                                                                                                                      
|                                                                                                                                                                      
|                                                                                                                                                                      
|II   Condensed Financial Information of the Registrant                                                                                                                 |  |     
|                                                                                                                                                                      
|                                                                                                                                                                      
|                                                                                                                                                                      
|                                                                                                                                                                      
|Statement
of Income for the period June 19, 2001 to December 31, 2001                                                                                                  |  | S-3 
|                                                                                                                                                                      
|                                                                                                                                                                      
|                                                                                                                                                                      
|                                                                                                                                                                      
|Balance
Sheet as of December 31, 2001                                                                                                                                  |  | S-4 
|                                                                                                                                                                      
|                                                                                                                                                                      
|                                                                                                                                                                      
|                                                                                                                                                                      
|Statement
of Cash Flows for the period June 19, 2001 to December 31,
2001                                                                                              |  | S-5 
|                                                                                                                                                                      
|                                                                                                                                                                      
|                                                                                                                                                                      
|                                                                                                                                                                      
|IV  Reinsurance
for the years ended December 31, 2001, 2000 and 1999                                                                                                   |  | S-6 
|                                                                                                                                                                      
|                                                                                                                                                                      
|                                                                                                                                                                      
|                                                                                                                                                                      
|                                                                                                                                                                      
|Schedules
other than those listed above are omitted for the reason that they
are not applicable or the information is otherwise contained in the
financial statements. |  |     

F-1



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##### Table of Contents






Converium Group
Report of the Group Auditors on the Financial Statements

To the Board of Directors and Shareholders of Converium Holding AG, Zug

We have audited the accompanying consolidated and historical combined balance
sheets of Converium Holding AG as of December 31, 2001 and 2000 and the
related consolidated and historical combined statements of income, cash flows
and changes in equity for each of the three years in the period ended December
31, 2001, included on pages F-3 through F-34, all expressed in United States
dollars.

The consolidated and historical combined financial statements are the
responsibility of the Board of Directors. Our responsibility is to express an
opinion on these consolidated and historical combined financial statements
based on our audits. We confirm that we meet the Swiss legal requirements
concerning professional qualifications and independence.

Our audits were conducted in accordance with auditing standards promulgated by the Swiss profession and with
auditing standards generally accepted in the United States of America. Those
standards require that an audit be planned and performed to obtain reasonable
assurance about whether the consolidated and historical combined financial
statements are free from material misstatement. We have examined on a test
basis, evidence supporting the amounts and disclosures in the financial
statements. We have also assessed the accounting principles used, significant
estimates made and the overall consolidated and historical combined financial
statement presentation. We believe that our audits provide a reasonable basis
for our opinion.

In our opinion, the consolidated and historical combined financial statements
referred to above present fairly, in all material respects, the financial
position of Converium Holding AG at December 31, 2001 and 2000, and the
results of its operations and its cash flows for each of the three years in
the period ended December 31, 2001, in conformity with accounting principles
generally accepted in the United States of America and comply with Swiss law.

PricewaterhouseCoopers Ltd

|             |          | 
|------------ | -------- | 
|L. Marbacher | P. Lüssi | 

Zurich, March 9, 2002, except for Note 22
as to which the date is May 17, 2002

F-2



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##### Table of Contents






Converium Group
Consolidated and historical combined statements of income

|                                            |  |       |    |      |  |      |          |      |  |  |          |  |  |  |          | 
|------------------------------------------- |  | ----- | -- | ---- |  | ---- | -------- | ---- |  |  | -------- |  |  |  | -------- | 
|(US$ million, except per share information) |  |       |    |      |  |      |          |      |  |  |          |  |  |  |          | 
|Year ended December 31                      |  | Notes |    | 2001 |  | 2000 |          | 1999
|                                            |  |       |    |      |  |      |          |     
|Revenues:                                   |  |       |    |      |  |      |          |      |  |  |          |  |  |  |          | 
|Gross premiums written                      |  |       |    |      |  |      | 2,881.2  |      |  |  | 2,565.8  |  |  |  | 1,928.7  | 
|Less ceded premiums written                 |  |       |    |      |  |      | -398.6   |      |  |  | -569.8   |  |  |  | -358.5   | 
|                                            |  |       |    |      |  |      |          |      |  |  |          |  |  |  |          | 
|Net premiums written                        |  |       | 9  |      |  |      | 2,482.6  |      |  |  | 1,996.0  |  |  |  | 1,570.2  | 
|Net change in unearned premiums             |  |       |    |      |  |      | -187.4   |      |  |  | -134.5   |  |  |  | -168.7   | 
|                                            |  |       |    |      |  |      |          |      |  |  |          |  |  |  |          | 
|Net premiums earned                         |  |       | 9  |      |  |      | 2,295.2  |      |  |  | 1,861.5  |  |  |  | 1,401.5  | 
|Net investment income                       |  |       | 6  |      |  |      | 228.7    |      |  |  | 176.0    |  |  |  | 214.0    | 
|Net realized capital (losses) gains         |  |       | 6  |      |  |      | -18.4    |      |  |  | 83.7     |  |  |  | 76.3     | 
|Other (loss) income                         |  |       |    |      |  |      | -5.8     |      |  |  | 29.3     |  |  |  | 22.1     | 
|                                            |  |       |    |      |  |      |          |      |  |  |          |  |  |  |          | 
|Total revenues                              |  |       |    |      |  |      | 2,499.7  |      |  |  | 2,150.5  |  |  |  | 1,713.9  | 
|                                            |  |       |    |      |  |      |          |      |  |  |          |  |  |  |          | 
|Benefits, losses and expenses:              |  |       |    |      |  |      |          |      |  |  |          |  |  |  |          | 
|Losses and loss adjustment expenses         |  |       | 8  |      |  |      | -2,163.1 |      |  |  | -1,520.0 |  |  |  | -1,054.7 | 
|Life benefits and policyholder dividends    |  |       | 9  |      |  |      | -137.4   |      |  |  | -84.5    |  |  |  | -84.0    | 
|Underwriting acquisition costs              |  |       | 9  |      |  |      | -508.1   |      |  |  | -454.4   |  |  |  | -340.3   | 
|Other operating and administration expenses |  |       |    |      |  |      | -146.4   |      |  |  | -116.0   |  |  |  | -112.8   | 
|Interest expense                            |  |       | 10 |      |  |      | -24.2    |      |  |  | -17.1    |  |  |  | -17.5    | 
|Amortization of goodwill                    |  |       | 7  |      |  |      | -7.8     |      |  |  | -7.3     |  |  |  | -6.2     | 
|Restructuring costs                         |  |       | 3  |      |  |      | -50.0    |      |  |  |         |  |  |  |         | 
|                                            |  |       |    |      |  |      |          |      |  |  |          |  |  |  |          | 
|Total benefits, losses and expenses         |  |       |    |      |  |      | -3,037.0 |      |  |  | -2,199.3 |  |  |  | -1,615.5 | 
|                                            |  |       |    |      |  |      |          |      |  |  |          |  |  |  |          | 
|(Loss) income before taxes                  |  |       |    |      |  |      | -537.3   |      |  |  | -48.8    |  |  |  | 98.4     | 
|Income tax benefit (expense)                |  |       | 11 |      |  |      | 169.9    |      |  |  | 19.5     |  |  |  | -40.6    | 
|                                            |  |       |    |      |  |      |          |      |  |  |          |  |  |  |          | 
|Net (loss) income                           |  |       |    |      |  |      | -367.4   |      |  |  | -29.3    |  |  |  | 57.8     | 
|                                            |  |       |    |      |  |      |          |      |  |  |          |  |  |  |          | 
|Basic (loss) earnings per share             |  |       | 21 |      |  |      | -9.18    |      |  |  | -0.73    |  |  |  | 1.45     | 
|                                            |  |       |    |      |  |      |          |      |  |  |          |  |  |  |          | 
|Diluted (loss) earnings per share           |  |       | 21 |      |  |      | -9.18    |      |  |  | -0.73    |  |  |  | 1.45     | 
|                                            |  |       |    |      |  |      |          |      |  |  |          |  |  |  |          | 

The notes to the consolidated and historical combined financial statements are
an integral part of these financial statements.





---



##### Table of Contents






Converium Group
Consolidated and historical combined balance sheets

|                                                                            |                                                   |       |    |      |  |      |         |         |  |  |         |         | 
|--------------------------------------------------------------------------- | ------------------------------------------------- | ----- | -- | ---- |  | ---- | ------- | ------- |  |  | ------- | ------- | 
|(US$ million, except share information)                                     |                                                   |       |    |      |  |      |         |         |  |  |         |        
|Year ended December 31                                                      |                                                   | Notes |    | 2001 |  | 2000
|                                                                            |                                                   |       |    |      |  |     
|Assets                                                                      |                                                   |       |    |      |  |      |         |         |  |  |         |        
|Invested assets                                                             |                                                   |       |    |      |  |      |         |         |  |  |         |        
|Available-for-sale securities:                                              |                                                   |       |    |      |  |      |         |         |  |  |         |        
|                                                                            | Fixed maturities                                  |       |    | 6    |  |      |         | 2,331.4 |  |  |         | 2,236.2 | 
|                                                                            | Equity securities                                 |       |    | 6    |  |      |         | 701.4   |  |  |         | 611.0   | 
|Other investments                                                           |                                                   |       | 6  |      |  |      | 195.1   |         |  |  | 52.2    |        
|Short-term investments                                                      |                                                   |       |    |      |  |      | 89.5    |         |  |  | 115.1   |        
|                                                                            |                                                   |       |    |      |  |      |         |         |  |  |         |        
|Total investments                                                           |                                                   |       |    |      |  |      | 3,317.4 |         |  |  | 3,014.5 |        
|                                                                            |                                                   |       |    |      |  |      |         |         |  |  |         |        
|Funds Withheld Asset/Zurich Financing Agreement                             |                                                   |       | 6  |      |  |      | 1,598.5 |         |  |  | 1,335.2 |        
|                                                                            |                                                   |       |    |      |  |      |         |         |  |  |         |        
|Total invested assets                                                       |                                                   |       |    |      |  |      | 4,915.9 |         |  |  | 4,349.7 |        
|                                                                            |                                                   |       |    |      |  |      |         |         |  |  |         |        
|Other assets                                                                |                                                   |       |    |      |  |      |         |         |  |  |         |        
|Cash and cash equivalents                                                   |                                                   |       |    |      |  |      | 420.5   |         |  |  | 121.9   |        
|Premiums receivable                                                         |                                                   |       |    |      |  |      | 1,015.1 |         |  |  | 937.3   |        
|Reinsurance assets:                                                         |                                                   |       |    |      |  |      |         |         |  |  |         |        
|                                                                            | Underwriting reserves                             |       |    | 9    |  |      |         | 1,668.1 |  |  |         | 1,292.9 | 
|                                                                            | Insurance balances receivable, net                |       |    |      |  |      |         | 400.2   |  |  |         | 341.6   | 
|                                                                            | Funds held by reinsureds                          |       |    |      |  |      |         | 523.4   |  |  |         | 681.8   | 
|Deferred policy acquisition costs                                           |                                                   |       |    |      |  |      | 217.9   |         |  |  | 184.6   |        
|Deferred income taxes                                                       |                                                   |       | 11 |      |  |      | 300.4   |         |  |  | 165.2   |        
|Other assets                                                                |                                                   |       | 7  |      |  |      | 245.0   |         |  |  | 246.3   |        
|                                                                            |                                                   |       |    |      |  |      |         |         |  |  |         |        
|Total assets                                                                |                                                   |       |    |      |  |      | 9,706.5 |         |  |  | 8,321.3 |        
|                                                                            |                                                   |       |    |      |  |      |         |         |  |  |         |        
|Liabilities and equity                                                      |                                                   |       |    |      |  |      |         |         |  |  |         |        
|Liabilities                                                                 |                                                   |       |    |      |  |      |         |         |  |  |         |        
|Losses and loss adjustment expenses, gross                                  |                                                   |       | 8  |      |  |      | 5,710.5 |         |  |  | 4,546.0 |        
|Unearned premiums, gross                                                    |                                                   |       | 9  |      |  |      | 968.7   |         |  |  | 774.4   |        
|Future life benefits, gross                                                 |                                                   |       | 9  |      |  |      | 252.0   |         |  |  | 162.0   |        
|Other reinsurance liabilities                                               |                                                   |       |    |      |  |      | 315.9   |         |  |  | 491.8   |        
|Funds held under reinsurance contracts                                      |                                                   |       |    |      |  |      | 430.8   |         |  |  | 512.4   |        
|Deferred income taxes                                                       |                                                   |       | 11 |      |  |      | 106.5   |         |  |  | 175.2   |        
|Accrued expenses and other liabilities                                      |                                                   |       |    |      |  |      | 154.3   |         |  |  | 140.8   |        
|Payable to Zurich Financial Services                                        |                                                   |       | 15 |      |  |      |        |         |  |  | 233.4   |        
|Debt                                                                        |                                                   |       | 10 |      |  |      | 197.0   |         |  |  | 196.9   |        
|                                                                            |                                                   |       |    |      |  |      |         |         |  |  |         |        
|Total liabilities                                                           |                                                   |       |    |      |  |      | 8,135.7 |         |  |  | 7,232.9 |        
|                                                                            |                                                   |       |    |      |  |      |         |         |  |  |         |        
|Equity                                                                      |                                                   |       |    |      |  |      |         |         |  |  |         |        
|Common stock CHF 10 nominal value, 40,000,000 shares issued and outstanding |                                                   |       | 14 |      |  |      | 253.0   |         |  |  |        |        
|Additional paid-in capital                                                  |                                                   |       |    |      |  |      | 1,336.5 |         |  |  |        |        
|Unearned stock compensation                                                 |                                                   |       | 13 |      |  |      | -27.1   |         |  |  |        |        
|Accumulated other comprehensive income (loss):                              |                                                   |       |    |      |  |      |         |         |  |  |         |        
|                                                                            | Net unrealized gains on investments, net of taxes |       |    | 6    |  |      |         | 30.3    |  |  |         | 18.8    | 
|                                                                            | Cumulative translation adjustments                |       |    |      |  |      |         | -21.9   |  |  |         | 40.5    | 
|                                                                            |                                                   |       |    |      |  |      |         |         |  |  |         |        
|Total accumulated other comprehensive income                                |                                                   |       |    |      |  |      | 8.4     |         |  |  | 59.3    |        
|Net investment by Zurich Financial Services                                 |                                                   |       |    |      |  |      |        |         |  |  | 1,029.1 |        
|                                                                            |                                                   |       |    |      |  |      |         |         |  |  |         |        
|Total equity                                                                |                                                   |       |    |      |  |      | 1,570.8 |         |  |  | 1,088.4 |        
|                                                                            |                                                   |       |    |      |  |      |         |         |  |  |         |        
|Total liabilities and equity                                                |                                                   |       |    |      |  |      | 9,706.5 |         |  |  | 8,321.3 |        
|                                                                            |                                                   |       |    |      |  |      |         |         |  |  |         |        

The notes to the consolidated and historical combined financial statements are
an integral part of these financial statements.





---



##### Table of Contents






Converium Group
Consolidated and historical combined statements of cash flows

|                                                              |  |      |          |      |  |      |        |  |  |  |          | 
|------------------------------------------------------------- |  | ---- | -------- | ---- |  | ---- | ------ |  |  |  | -------- | 
|(US$ million)                                                 |  |      |          |      |  |      |        |  |  |  |          | 
|Year ended December 31                                        |  | 2001 |          | 2000 |  | 1999
|                                                              |  |      |          |      |  |     
|Cash flows from operating activities                          |  |      |          |      |  |      |        |  |  |  |          | 
|Net (loss) income                                             |  |      | -367.4   |      |  |      | -29.3  |  |  |  | 57.8     | 
|                                                              |  |      |          |      |  |      |        |  |  |  |          | 
|Adjustments for                                               |  |      |          |      |  |      |        |  |  |  |          | 
|Net realized capital losses (gains) on investments            |  |      | 18.4     |      |  |      | -83.7  |  |  |  | -76.3    | 
|Amortization of premium discount                              |  |      | 6.2      |      |  |      | 1.9    |  |  |  | 2.7      | 
|Depreciation and amortization                                 |  |      | 37.0     |      |  |      | 21.1   |  |  |  | 19.7     | 
|Premium for September 11 coverage                             |  |      | 28.5     |      |  |      |       |  |  |  |         | 
|                                                              |  |      |          |      |  |      |        |  |  |  |          | 
|Changes in operational assets and liabilities                 |  |      |          |      |  |      |        |  |  |  |          | 
|Deferred policy acquisition costs                             |  |      | -33.3    |      |  |      | -16.0  |  |  |  | -50.3    | 
|Reinsurance assets                                            |  |      | -275.4   |      |  |      | -811.9 |  |  |  | -404.6   | 
|Premiums receivable                                           |  |      | -77.8    |      |  |      | -347.0 |  |  |  | -70.2    | 
|Unearned premiums, gross                                      |  |      | 194.3    |      |  |      | 144.7  |  |  |  | 179.6    | 
|Losses and loss adjustment expenses, gross                    |  |      | 1,251.6  |      |  |      | 954.7  |  |  |  | 639.3    | 
|Future life benefits, gross                                   |  |      | 90.0     |      |  |      | -31.7  |  |  |  | -116.7   | 
|Funds held under reinsurance contracts                        |  |      | -81.6    |      |  |      | 189.2  |  |  |  | 17.4     | 
|Other reinsurance liabilities                                 |  |      | -175.9   |      |  |      | 135.2  |  |  |  | 3.4      | 
|Net deferred income taxes                                     |  |      | -203.9   |      |  |      | -15.6  |  |  |  | -50.7    | 
|Net changes in all other operational assets and liabilities   |  |      | -99.2    |      |  |      | -144.8 |  |  |  | 92.8     | 
|                                                              |  |      |          |      |  |      |        |  |  |  |          | 
|Cash provided by (used in) operating activities               |  |      | 311.5    |      |  |      | -33.2  |  |  |  | 243.9    | 
|                                                              |  |      |          |      |  |      |        |  |  |  |          | 
|Cash flows from investing activities                          |  |      |          |      |  |      |        |  |  |  |          | 
|Proceeds from sales and maturities of fixed maturities        |  |      | 1,892.2  |      |  |      | 640.7  |  |  |  | 2,654.2  | 
|Purchases of fixed maturities                                 |  |      | -1,969.7 |      |  |      | -714.5 |  |  |  | -2,949.9 | 
|Proceeds from sales of equity securities                      |  |      | 288.6    |      |  |      | 404.0  |  |  |  | 658.2    | 
|Purchases of equity securities                                |  |      | -425.7   |      |  |      | -479.7 |  |  |  | -624.9   | 
|Net decrease (increase) in short-term investments             |  |      | 25.6     |      |  |      | -31.3  |  |  |  | 31.3     | 
|Net change in Funds Withheld Asset/Zurich Financing Agreement |  |      | -290.6   |      |  |      | 62.0   |  |  |  | -344.0   | 
|Purchase of real estate held for investment                   |  |      | -139.4   |      |  |      |       |  |  |  |         | 
|Proceeds from sales of other assets                           |  |      | 34.5     |      |  |      | 28.5   |  |  |  | 48.0     | 
|Purchase of other assets                                      |  |      | -42.8    |      |  |      | -40.4  |  |  |  | -28.2    | 
|                                                              |  |      |          |      |  |      |        |  |  |  |          | 
|Net cash used in investing activities                         |  |      | -627.3   |      |  |      | -130.7 |  |  |  | -555.3   | 
|                                                              |  |      |          |      |  |      |        |  |  |  |          | 
|Cash flows from financing activities                          |  |      |          |      |  |      |        |  |  |  |          | 
|Net transfers from (to) Zurich Financial Services             |  |      | 861.2    |      |  |      |       |  |  |  | -18.7    | 
|Payable to Zurich Financial Services                          |  |      | -233.4   |      |  |      | 233.4  |  |  |  |         | 
|                                                              |  |      |          |      |  |      |        |  |  |  |          | 
|Net cash provided by (used in) financing activities           |  |      | 627.8    |      |  |      | 233.4  |  |  |  | -18.7    | 
|Effect of exchange rate changes on cash and cash equivalents  |  |      | -13.4    |      |  |      | -15.7  |  |  |  | 112.1    | 
|                                                              |  |      |          |      |  |      |        |  |  |  |          | 
|Change in cash and cash equivalents                           |  |      | 298.6    |      |  |      | 53.8   |  |  |  | -218.0   | 
|Cash and cash equivalents as of January 1                     |  |      | 121.9    |      |  |      | 68.1   |  |  |  | 286.1    | 
|                                                              |  |      |          |      |  |      |        |  |  |  |          | 
|Cash and cash equivalents as of December 31                   |  |      | 420.5    |      |  |      | 121.9  |  |  |  | 68.1     | 
|                                                              |  |      |          |      |  |      |        |  |  |  |          | 

The notes to the consolidated and historical combined financial statements are
an integral part of these financial statements.
F-5



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##### Table of Contents






Converium Group
Consolidated and historical combined statements of changes in equity

|                                                                     |  |        |       |         |  |              |         |               |  |           |       |           |  |             |       |            |  |     |          |  |  |  |         | 
|-------------------------------------------------------------------- |  | ------ | ----- | ------- |  | ------------ | ------- | ------------- |  | --------- | ----- | --------- |  | ----------- | ----- | ---------- |  | --- | -------- |  |  |  | ------- | 
|(US$ million)                                                       
|                                                                     |  |        |       |         |  |              |         |               |  |           |       |           |  |             |       |            |  | Net |          |  |  | 
|                                                                     |  |        |       |         |  |              |         |               |  |           |       |           |  | Accumulated |       | investment |  |     |          | 
|                                                                     |  |        |       |         |  | Additional   |         | Unearned      |  | other     |       | by Zurich |  |             |       |           
|                                                                     |  | Common |       | paid-in |  | stock        |         | comprehensive |  | Financial |       | Total    
|                                                                     |  | stock  |       | capital |  | compensation |         | income (loss) |  | Services  |       | equity   
|                                                                     |  |        |       |         |  |              |         |               |  |           |       |          
|Balance, December 31, 1998                                           |  |        |      |         |  |              |        |               |  |           |      |           |  |             | 116.9 |            |  |     | 1,113.4  |  |  |  | 1,230.3 | 
|                                                                     |  |        |       |         |  |              |         |               |  |           |       |           |  |             |       |            |  |     |          |  |  |  |         | 
|Net income                                                           |  |        |      |         |  |              |        |               |  |           |      |           |  |             |      |            |  |     | 57.8     |  |  |  | 57.8    | 
|Change in net unrealized gains (losses)
on investments, net of taxes |  |        |      |         |  |              |        |               |  |           |      |           |  |             | -83.3 |            |  |     |         |  |  |  | -83.3   | 
|Translation adjustments                                              |  |        |      |         |  |              |        |               |  |           |      |           |  |             | 35.4  |            |  |     |         |  |  |  | 35.4    | 
|Total comprehensive income                                           |  |        |       |         |  |              |         |               |  |           |       |           |  |             |       |            |  |     |          |  |  |  | 9.9     | 
|Net transfers to Zurich Financial Services                           |  |        |      |         |  |              |        |               |  |           |      |           |  |             |      |            |  |     | -18.8    |  |  |  | -18.8   | 
|                                                                     |  |        |       |         |  |              |         |               |  |           |       |           |  |             |       |            |  |     |          |  |  |  |         | 
|Balance, December 31, 1999                                           |  |        |      |         |  |              |        |               |  |           |      |           |  |             | 69.0  |            |  |     | 1,152.4  |  |  |  | 1,221.4 | 
|                                                                     |  |        |       |         |  |              |         |               |  |           |       |           |  |             |       |            |  |     |          |  |  |  |         | 
|Net loss                                                             |  |        |      |         |  |              |        |               |  |           |      |           |  |             |      |            |  |     | -29.3    |  |  |  | -29.3   | 
|Change in net unrealized gains (losses)
on investments, net of taxes |  |        |      |         |  |              |        |               |  |           |      |           |  |             | 1.9   |            |  |     |         |  |  |  | 1.9     | 
|Translation adjustments                                              |  |        |      |         |  |              |        |               |  |           |      |           |  |             | -11.6 |            |  |     |         |  |  |  | -11.6   | 
|Total comprehensive loss                                             |  |        |       |         |  |              |         |               |  |           |       |           |  |             |       |            |  |     |          |  |  |  | -39.0   | 
|Net transfers to Zurich Financial Services                           |  |        |      |         |  |              |        |               |  |           |      |           |  |             |      |            |  |     | -94.0    |  |  |  | -94.0   | 
|                                                                     |  |        |       |         |  |              |         |               |  |           |       |           |  |             |       |            |  |     |          |  |  |  |         | 
|Balance, December 31, 2000                                           |  |        |      |         |  |              |        |               |  |           |      |           |  |             | 59.3  |            |  |     | 1,029.1  |  |  |  | 1,088.4 | 
|                                                                     |  |        |       |         |  |              |         |               |  |           |       |           |  |             |       |            |  |     |          |  |  |  |         | 
|Net loss                                                             |  |        |      |         |  |              |        |               |  |           |      |           |  |             |      |            |  |     | -367.4   |  |  |  | -367.4  | 
|Change in net unrealized gains (losses)
on investments, net of taxes |  |        |      |         |  |              |        |               |  |           |      |           |  |             | 11.5  |            |  |     |         |  |  |  | 11.5    | 
|Translation adjustments                                              |  |        |      |         |  |              |        |               |  |           |      |           |  |             | -62.4 |            |  |     |         |  |  |  | -62.4   | 
|Total comprehensive loss                                             |  |        |       |         |  |              |         |               |  |           |       |           |  |             |       |            |  |     |          |  |  |  | -418.3  | 
|Net transfers from Zurich Financial Services                         |  |        |      |         |  |              |        |               |  |           |      |           |  |             |      |            |  |     | 889.7    |  |  |  | 889.7   | 
|Issuance of stock compensation                                       |  |        |      |         |  |              | 38.1    |               |  |           | -27.1 |           |  |             |      |            |  |     |         |  |  |  | 11.0    | 
|Transfer of net investment
by Zurich Financial Services              |  |        | 253.0 |         |  |              | 1,298.4 |               |  |           |      |           |  |             |      |            |  |     | -1,551.4 |  |  |  |        | 
|                                                                     |  |        |       |         |  |              |         |               |  |           |       |           |  |             |       |            |  |     |          |  |  |  |         | 
|Balance, December 31, 2001                                           |  |        | 253.0 |         |  |              | 1,336.5 |               |  |           | -27.1 |           |  |             | 8.4   |            |  |     |         |  |  |  | 1,570.8 | 
|                                                                     |  |        |       |         |  |              |         |               |  |           |       |           |  |             |       |            |  |     |          |  |  |  |         | 

The notes to the consolidated and historical combined financial statements are
an integral part of these financial statements.

F-6



---



##### Table of Contents






Converium Group
Notes to the consolidated and historical combined financial statements




Schedule of segment data

|                                                                                                              |  |                            |          |               |  |      |         |      |  |      |        |      |  |  |          |   |  |  |         |   |  |  |        |  
|------------------------------------------------------------------------------------------------------------- |  | -------------------------- | -------- | ------------- |  | ---- | ------- | ---- |  | ---- | ------ | ---- |  |  | -------- | - |  |  | ------- | - |  |  | ------ | -
|(US$ million)                                                                                                
|                                                                                                             
|                                                                                                              |  | Converium (Non-Life)Zurich |          | North America
|                                                                                                              |  |                            |          |              
|                                                                                                              |  | 2001                       |          | 2000          |  | 1999 |         | 2001 |  | 2000 |        | 1999
|                                                                                                              |  |                            |          |               |  |      |         |      |  |      |        |     
|Gross premiums written                                                                                        |  |                            | 1,440.3  |               |  |      | 1,020.0 |      |  |      | 626.2  |      |  |  | 1,150.9  |   |  |  | 1,295.5 |   |  |  | 934.8  |  
|Less ceded premiums written                                                                                   |  |                            | -255.3   |               |  |      | -201.7  |      |  |      | -56.7  |      |  |  | -252.5   |   |  |  | -450.8  |   |  |  | -257.5 |  
|                                                                                                              |  |                            |          |               |  |      |         |      |  |      |        |      |  |  |          |   |  |  |         |   |  |  |        |  
|Net premiums written                                                                                          |  |                            | 1,185.0  |               |  |      | 818.3   |      |  |      | 569.5  |      |  |  | 898.4    |   |  |  | 844.7   |   |  |  | 677.3  |  
|Net change in unearned premiums                                                                               |  |                            | -172.6   |               |  |      | -102.4  |      |  |      | -98.9  |      |  |  | -16.0    |   |  |  | -29.3   |   |  |  | -48.6  |  
|                                                                                                              |  |                            |          |               |  |      |         |      |  |      |        |      |  |  |          |   |  |  |         |   |  |  |        |  
|Net premiums earned                                                                                           |  |                            | 1,012.4  |               |  |      | 715.9   |      |  |      | 470.6  |      |  |  | 882.4    |   |  |  | 815.4   |   |  |  | 628.7  |  
|Net investment income                                                                                         |  |                            | 86.8     |               |  |      | 46.8    |      |  |      | 77.3   |      |  |  | 115.2    |   |  |  | 110.6   |   |  |  | 102.9  |  
|Net realized capital gains (losses)                                                                           |  |                            | 2.5      |               |  |      | 0.2     |      |  |      |       |      |  |  | -10.8    |   |  |  | 48.5    |   |  |  | 42.2   |  
|Other income (loss)                                                                                           |  |                            | 3.2      |               |  |      | 12.0    |      |  |      | 8.1    |      |  |  | -24.4    |   |  |  | -7.2    |   |  |  | 5.7    |  
|                                                                                                              |  |                            |          |               |  |      |         |      |  |      |        |      |  |  |          |   |  |  |         |   |  |  |        |  
|Total revenues                                                                                                |  |                            | 1,104.9  |               |  |      | 774.9   |      |  |      | 556.0  |      |  |  | 962.4    |   |  |  | 967.3   |   |  |  | 779.5  |  
|                                                                                                              |  |                            |          |               |  |      |         |      |  |      |        |      |  |  |          |   |  |  |         |   |  |  |        |  
|Inter-segment                                                                                                 |  |                            | 173.2    |               |  |      | 277.7   |      |  |      | 23.9   |      |  |  | -152.2   |   |  |  | -291.3  |   |  |  | -17.6  |  
|Losses and loss adjustment expenses                                                                           |  |                            | -1,026.9 |               |  |      | -569.2  |      |  |      | -414.7 |      |  |  | -837.2   |   |  |  | -723.4  |   |  |  | -470.4 |  
|Life benefits and policyholder dividends                                                                      |  |                            |         |               |  |      |        |      |  |      |       |      |  |  |         |   |  |  |        |   |  |  |       |  
|Underwriting acquisition costs                                                                                |  |                            | -202.1   |               |  |      | -150.2  |      |  |      | -96.1  |      |  |  | -251.3   |   |  |  | -207.5  |   |  |  | -169.0 |  
|Other operating and administration expenses                                                                   |  |                            | -54.6    |               |  |      | -44.7   |      |  |      | -35.2  |      |  |  | -71.8    |   |  |  | -65.1   |   |  |  | -61.7  |  
|                                                                                                              |  |                            |          |               |  |      |         |      |  |      |        |      |  |  |          |   |  |  |         |   |  |  |        |  
|Total benefits, losses and expenses before interest expense,
amortization of goodwill and restructuring costs |  |                            | -1,283.6 |               |  |      | -764.1  |      |  |      | -546.0 |      |  |  | -1,160.3 |   |  |  | -996.0  |   |  |  | -701.1 |  
|                                                                                                              |  |                            |          |               |  |      |         |      |  |      |        |      |  |  |          |   |  |  |         |   |  |  |        |  
|Segment (loss) income                                                                                         |  |                            | -178.7   |               |  |      | 10.8    |      |  |      | 10.0   |      |  |  | -197.9   |   |  |  | -28.7   |   |  |  | 78.4   |  
|Interest expense                                                                                              |  |                            |          |               |  |      |         |      |  |      |        |      |  |  |          |   |  |  |         |   |  |  |        |  
|Amortization of goodwill                                                                                      |  |                            |          |               |  |      |         |      |  |      |        |      |  |  |          |   |  |  |         |   |  |  |        |  
|Restructuring costs                                                                                           |  |                            |          |               |  |      |         |      |  |      |        |      |  |  |          |   |  |  |         |   |  |  |        |  
|(Loss) income before taxes                                                                                    |  |                            |          |               |  |      |         |      |  |      |        |      |  |  |          |   |  |  |         |   |  |  |        |  
|At December 31, 2001                                                                                          |  |                            |          |               |  |      |         |      |  |      |        |      |  |  |          |   |  |  |         |   |  |  |        |  
|Total invested assets                                                                                         |  |                            | 2,273.2  |               |  |      | 1,458.3 |      |  |      |        |      |  |  | 2,387.4  |   |  |  | 2,304.8 |   |  |  |        |  
|                                                                                                              |  |                            |          |               |  |      |         |      |  |      |        |      |  |  |          |   |  |  |         |   |  |  |        |  
|Total segment assets after consolidation of
investments in affiliates                                         |  |                            | 4,774.3  |               |  |      | 2,861.3 |      |  |      |        |      |  |  | 4,795.0  |   |  |  | 4,755.1 |   |  |  |        |  
|                                                                                                              |  |                            |          |               |  |      |         |      |  |      |        |      |  |  |          |   |  |  |         |   |  |  |        |  
|Ratios                                                                                                        |  |                            |          |               |  |      |         |      |  |      |        |      |  |  |          |   |  |  |         |   |  |  |        |  
|Loss ratio                                                                                                    |  |                            | 101.4    | %             |  |      | 79.5    | %    |  |      | 88.1   | %    |  |  | 94.9     | % |  |  | 88.7    | % |  |  | 74.8   | %
|Underwriting expense ratio                                                                                    |  |                            | 20.0     | %             |  |      | 21.0    | %    |  |      | 20.4   | %    |  |  | 28.5     | % |  |  | 25.5    | % |  |  | 26.9   | %
|Administration expense ratio                                                                                  |  |                            | 4.6      | %             |  |      | 5.5     | %    |  |      | 6.2    | %    |  |  | 8.0      | % |  |  | 7.7     | % |  |  | 9.1    | %
|Combined ratio                                                                                                |  |                            | 126.0    | %             |  |      | 106.0   | %    |  |      | 114.7  | %    |  |  | 131.4    | % |  |  | 121.9   | % |  |  | 110.8  | %

F-7



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##### Table of Contents






Converium Group
Notes to the consolidated and historical combined financial statements

|                            |  |                |        |              |  |       |        |      |  |      |        |      |  |      |        |      |  |      |       |      |  |      |          |  |  |  |        |  |  |  |      |  |  |  |          |  |  |  |          |  |  |  |          | 
|--------------------------- |  | -------------- | ------ | ------------ |  | ----- | ------ | ---- |  | ---- | ------ | ---- |  | ---- | ------ | ---- |  | ---- | ----- | ---- |  | ---- | -------- |  |  |  | ------ |  |  |  | ---- |  |  |  | -------- |  |  |  | -------- |  |  |  | -------- | 
|Converium (Non-Life)Cologne |  | Converium Life |        | Eliminations |  | Total
|                            |  |                |        |              |  |      
|2001                        |  | 2000           |        | 1999         |  | 2001  |        | 2000 |  | 1999 |        | 2001 |  | 2000 |        | 1999 |  | 2001 |       | 2000 |  | 1999
|                            |  |                |        |              |  |       |        |      |  |      |        |      |  |      |        |      |  |      |       |      |  |     
|299.9                       |  |                | 241.3  |              |  |       | 277.8  |      |  |      | 164.8  |      |  |      | 120.5  |      |  |      | 93.4  |      |  |      | -174.7   |  |  |  | -111.5 |  |  |  | -3.5 |  |  |  | 2,881.2  |  |  |  | 2,565.8  |  |  |  | 1,928.7  | 
|-42.1                       |  |                | -22.7  |              |  |       | -39.2  |      |  |      | -23.4  |      |  |      | -6.1   |      |  |      | -8.6  |      |  |      | 174.7    |  |  |  | 111.5  |  |  |  | 3.5  |  |  |  | -398.6   |  |  |  | -569.8   |  |  |  | -358.5   | 
|                            |  |                |        |              |  |       |        |      |  |      |        |      |  |      |        |      |  |      |       |      |  |      |          |  |  |  |        |  |  |  |      |  |  |  |          |  |  |  |          |  |  |  |          | 
|257.8                       |  |                | 218.6  |              |  |       | 238.6  |      |  |      | 141.4  |      |  |      | 114.4  |      |  |      | 84.8  |      |  |      |         |  |  |  |       |  |  |  |     |  |  |  | 2,482.6  |  |  |  | 1,996.0  |  |  |  | 1,570.2  | 
|17.5                        |  |                | 5.6    |              |  |       | -16.1  |      |  |      | -16.3  |      |  |      | -8.4   |      |  |      | -5.1  |      |  |      |         |  |  |  |       |  |  |  |     |  |  |  | -187.4   |  |  |  | -134.5   |  |  |  | -168.7   | 
|                            |  |                |        |              |  |       |        |      |  |      |        |      |  |      |        |      |  |      |       |      |  |      |          |  |  |  |        |  |  |  |      |  |  |  |          |  |  |  |          |  |  |  |          | 
|275.3                       |  |                | 224.2  |              |  |       | 222.5  |      |  |      | 125.1  |      |  |      | 106.0  |      |  |      | 79.7  |      |  |      |         |  |  |  |       |  |  |  |     |  |  |  | 2,295.2  |  |  |  | 1,861.5  |  |  |  | 1,401.5  | 
|24.6                        |  |                | 25.5   |              |  |       | 27.5   |      |  |      | 2.4    |      |  |      | 2.1    |      |  |      | 6.3   |      |  |      | -0.3     |  |  |  | -9.0   |  |  |  |     |  |  |  | 228.7    |  |  |  | 176.0    |  |  |  | 214.0    | 
|-10.1                       |  |                | 31.4   |              |  |       | 30.2   |      |  |      |       |      |  |      | 3.6    |      |  |      | 3.9   |      |  |      |         |  |  |  |       |  |  |  |     |  |  |  | -18.4    |  |  |  | 83.7     |  |  |  | 76.3     | 
|2.4                         |  |                | 2.9    |              |  |       | 6.8    |      |  |      | 13.7   |      |  |      | 21.6   |      |  |      | 1.5   |      |  |      | -0.7     |  |  |  |       |  |  |  |     |  |  |  | -5.8     |  |  |  | 29.3     |  |  |  | 22.1     | 
|                            |  |                |        |              |  |       |        |      |  |      |        |      |  |      |        |      |  |      |       |      |  |      |          |  |  |  |        |  |  |  |      |  |  |  |          |  |  |  |          |  |  |  |          | 
|292.2                       |  |                | 284.0  |              |  |       | 287.0  |      |  |      | 141.2  |      |  |      | 133.3  |      |  |      | 91.4  |      |  |      | -1.0     |  |  |  | -9.0   |  |  |  |     |  |  |  | 2,499.7  |  |  |  | 2,150.5  |  |  |  | 1,713.9  | 
|                            |  |                |        |              |  |       |        |      |  |      |        |      |  |      |        |      |  |      |       |      |  |      |          |  |  |  |        |  |  |  |      |  |  |  |          |  |  |  |          |  |  |  |          | 
|-20.0                       |  |                | 22.6   |              |  |       | -6.3   |      |  |      |       |      |  |      |       |      |  |      |      |      |  |      | -1.0     |  |  |  | -9.0   |  |  |  |     |  |  |  |         |  |  |  |         |  |  |  |         | 
|-299.5                      |  |                | -227.4 |              |  |       | -171.1 |      |  |      |       |      |  |      |       |      |  |      |      |      |  |      | 0.5      |  |  |  |       |  |  |  | 1.5  |  |  |  | -2,163.1 |  |  |  | -1,520.0 |  |  |  | -1,054.7 | 
|                           |  |                |       |              |  |       |       |      |  |      | -137.4 |      |  |      | -84.5  |      |  |      | -82.5 |      |  |      |         |  |  |  |       |  |  |  | -1.5 |  |  |  | -137.4   |  |  |  | -84.5    |  |  |  | -84.0    | 
|-49.0                       |  |                | -62.2  |              |  |       | -68.5  |      |  |      | -5.7   |      |  |      | -34.5  |      |  |      | -6.7  |      |  |      |         |  |  |  |       |  |  |  |     |  |  |  | -508.1   |  |  |  | -454.4   |  |  |  | -340.3   | 
|-15.3                       |  |                | -11.2  |              |  |       | -12.9  |      |  |      | -5.2   |      |  |      | -4.0   |      |  |      | -3.0  |      |  |      | 0.5      |  |  |  | 9.0    |  |  |  |     |  |  |  | -146.4   |  |  |  | -116.0   |  |  |  | -112.8   | 
|                            |  |                |        |              |  |       |        |      |  |      |        |      |  |      |        |      |  |      |       |      |  |      |          |  |  |  |        |  |  |  |      |  |  |  |          |  |  |  |          |  |  |  |          | 
|-363.8                      |  |                | -300.8 |              |  |       | -252.5 |      |  |      | -148.3 |      |  |      | -123.0 |      |  |      | -92.2 |      |  |      | 1.0      |  |  |  | 9.0    |  |  |  |     |  |  |  | -2,955.0 |  |  |  | -2,174.9 |  |  |  | -1,591.8 | 
|                            |  |                |        |              |  |       |        |      |  |      |        |      |  |      |        |      |  |      |       |      |  |      |          |  |  |  |        |  |  |  |      |  |  |  |          |  |  |  |          |  |  |  |          | 
|-71.6                       |  |                | -16.8  |              |  |       | 34.5   |      |  |      | -7.1   |      |  |      | 10.3   |      |  |      | -0.8  |      |  |      |         |  |  |  |       |  |  |  |     |  |  |  | -455.3   |  |  |  | -24.4    |  |  |  | 122.1    | 
|                            |  |                |        |              |  |       |        |      |  |      |        |      |  |      |        |      |  |      |       |      |  |      |          |  |  |  |        |  |  |  |      |  |  |  | -24.2    |  |  |  | -17.1    |  |  |  | -17.5    | 
|                            |  |                |        |              |  |       |        |      |  |      |        |      |  |      |        |      |  |      |       |      |  |      |          |  |  |  |        |  |  |  |      |  |  |  | -7.8     |  |  |  | -7.3     |  |  |  | -6.2     | 
|                            |  |                |        |              |  |       |        |      |  |      |        |      |  |      |        |      |  |      |       |      |  |      |          |  |  |  |        |  |  |  |      |  |  |  | -50.0    |  |  |  |         |  |  |  |         | 
|                            |  |                |        |              |  |       |        |      |  |      |        |      |  |      |        |      |  |      |       |      |  |      |          |  |  |  |        |  |  |  |      |  |  |  |          |  |  |  |          |  |  |  |          | 
|                            |  |                |        |              |  |       |        |      |  |      |        |      |  |      |        |      |  |      |       |      |  |      |          |  |  |  |        |  |  |  |      |  |  |  | -537.3   |  |  |  | -48.8    |  |  |  | 98.4     | 
|                            |  |                |        |              |  |       |        |      |  |      |        |      |  |      |        |      |  |      |       |      |  |      |          |  |  |  |        |  |  |  |      |  |  |  |          |  |  |  |          |  |  |  |          | 
|510.7                       |  |                | 542.0  |              |  |       |        |      |  |      | 40.8   |      |  |      | 44.6   |      |  |      |       |      |  |      | -296.2   |  |  |  |       |  |  |  |      |  |  |  | 4,915.9  |  |  |  | 4,349.7  |  |  |  |          | 
|                            |  |                |        |              |  |       |        |      |  |      |        |      |  |      |        |      |  |      |       |      |  |      |          |  |  |  |        |  |  |  |      |  |  |  |          |  |  |  |          |  |  |  |          | 
|798.8                       |  |                | 840.7  |              |  |       |        |      |  |      | 348.5  |      |  |      | 296.1  |      |  |      |       |      |  |      | -1,010.1 |  |  |  | -431.9 |  |  |  |      |  |  |  | 9,706.5  |  |  |  | 8,321.3  |  |  |  |          | 
|                            |  |                |        |              |  |       |        |      |  |      |        |      |  |      |        |      |  |      |       |      |  |      |          |  |  |  |        |  |  |  |      |  |  |  |          |  |  |  |          |  |  |  |          | 
|108.8%                      |  |                | 101.4  | %            |  |       | 76.9   | %    |  |      |       |      |  |      |       |      |  |      |      |      |  |      |          |  |  |  |        |  |  |  |      |  |  |  |          |  |  |  |          |  |  |  |          | 
|17.8%                       |  |                | 27.8   | %            |  |       | 30.8   | %    |  |      | 4.5    | %    |  |      | 32.5   | %    |  |      | 8.4   | %    |  |      |          |  |  |  |        |  |  |  |      |  |  |  |          |  |  |  |          |  |  |  |          | 
|5.9%                        |  |                | 5.1    | %            |  |       | 5.4    | %    |  |      | 3.7    | %    |  |      | 3.5    | %    |  |      | 3.5   | %    |  |      |          |  |  |  |        |  |  |  |      |  |  |  |          |  |  |  |          |  |  |  |          | 
|132.5%                      |  |                | 134.3  | %            |  |       | 113.1  | %    |  |      |       |      |  |      |       |      |  |      |      |      |  |      |          |  |  |  |        |  |  |  |      |  |  |  |          |  |  |  |          |  |  |  |          | 

F-8



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##### Table of Contents



Converium Group
Notes to the consolidated and historical combined financial statements (continued)




1.    Organization and nature of operations

Converium Holding Ltd and subsidiaries (Converium Group) is a leading global
professional reinsurer which offers a full range of traditional non-life and
life reinsurance products as well as innovative solutions to help clients
manage capital and risk. Converium Groups principal lines of non-life
reinsurance include liability, property, motor, credit and surety, workers
compensation, aviation and space, accident and health, marine, engineering and
other specialized lines. The principal life reinsurance product is ordinary
life reinsurance.

Converium Group was formed through the restructuring and integration of
substantially all of the third party assumed reinsurance business of Zurich
Financial Services through a series of transactions (the Transactions). On
December 1, 2001, Converium Group entered into a Master Agreement with Zurich
Financial Services (the Master Agreement) which sets forth the terms of the
separation from Zurich Financial Services. In December 2001, Zurich Financial
Services sold 87.5% of its interest in Converium Group through an initial
public offering, which date represented the legal separation from Zurich
Financial Services (the Separation Date). Zurich Financial Services
remaining 12.5% interest in Converium Group was sold in January 2002.

Subsequent to the initial public offering, Converium Group has operated as an
independent company. However under the Master Agreement, Converium Group has
several ongoing business relationships with Zurich Financial Services. These
include the Quota Share Retrocession Agreement, the Catastrophe Agreement,
aggregate excess of loss reinsurance coverage for Unicover Pool losses and
September 11 terrorist attack losses, as well as certain operating
relationships (see Notes 9 and 15).




2.    Summary of significant accounting policies

The consolidated and historical combined financial statements of Converium
Group have been prepared on the basis of accounting principles generally
accepted in the United States (US GAAP) and comply with Swiss law.



|(a) |  | Basis of preparation of the consolidated and historical combined financial statements
|--- |  | -------------------------------------------------------------------------------------

A subsidiary is an entity in which Converium Group owns, directly or
indirectly, more than 50% of the outstanding voting rights. The results of
Converium Group entities are included in the financial statements from the
effective date of acquisition. All significant intercompany balances, profits
and transactions have been eliminated. See Note 20 for the Converium Group
entities included in the consolidated and historical combined financial
statements. Entities where Converium Group has the ability to exercise
significant influence are accounted for using the equity method.

Prior to the Transactions, changes in equity represent movements in Zurich
Financial Services net investment in Converium Group. For periods prior to
July 1, 2001, certain expenses reflected in the financial statements include
allocations of corporate expenses incurred by Zurich Financial Services
related to general and administrative services for Converium Group.
Additionally, investment income includes interest earned on the Zurich
Financing Agreement. See Note 6 for further details on the Zurich Financing
Agreement.

Management believes that the foregoing adjustments and allocations were made
on a basis that is a reasonable reflection of the historical results of
Converium Group. However, these results do not necessarily represent what the
income statement, balance sheet, changes in equity or cash flows of Converium
Group would have been if Converium Group had been a separate stand-alone
entity during the periods presented.



|(b) |  | Foreign currency translation and transactions
|--- |  | ---------------------------------------------

F-9



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##### Table of Contents



Converium Group
Notes to the consolidated and historical combined financial statements (continued)

Foreign currency transactions:Outstanding balances in foreign currencies
arising from foreign currency transactions other than the functional currencies
are translated at end of period exchange rates. Revenues and expenses are
translated using the exchange rate at the date of the transaction or a weighted
average rate. The resulting exchange differences are recorded in the statements
of income.



|(c) |  | Non-life reinsurance operations
|--- |  | -------------------------------

Reinsurance contracts are assessed to determine if underwriting risk, defined
as the reasonable possibility of a significant variation in the amount of
payments and the reasonable possibility that the reinsurer will realize a
significant loss, and timing risk, defined as the reasonable possibility of a
significant variation in the timing of cash flows, is transferred by the ceding
company. Those contracts that do not transfer both risks, referred to in total
as insurance risk, are accounted for using the deposit method. A deposit asset
or liability is recognized based on the consideration paid or received less any
explicitly identified premiums or fees to be retained by the ceding or assuming
company. Deposits for contracts that transfer only significant underwriting
risk are subsequently measured based on the unexpired portion of coverage until
a loss is incurred, after which the present value of expected future cash flows
under the contract is also accrued. Changes in the deposit amount are recorded
in the statement of income as a loss or loss adjustment expense. Deposits for
contracts that transfer only timing risk, or deposits for contracts that
transfer neither significant timing nor underwriting risk, are accounted for
using the interest method. Future cash flows are estimated to calculate the
effective yield, and revenue and expense are recorded as interest income or
expense. The effect of contracts with indeterminate risk is not included in the
determination of net income until sufficient information becomes available to
reasonably estimate the impact.

Converium Group recognizes a liability or an asset to the extent that there is
an obligation to pay or receive cash or other consideration that would not
have been required absent experience under the contract.

Deferred policy acquisition costs:Acquisition costs, principally representing
commissions and brokerage expenses, premium taxes and other underwriting
expenses, net of allowances from retrocessionaires, which vary with and are
directly related to the production of new business, are deferred and amortized
over the period in which the related written premiums are earned. Deferred
policy acquisition costs are periodically reviewed to determine that they do
not exceed recoverable amounts after considering future investment income.

Losses:Losses and loss adjustment expenses are charged to expense as
incurred. Unpaid losses and loss adjustment expenses represent the
accumulation of estimates for ultimate losses based on reports and individual
case estimates received from ceding companies. An amount is included for
losses and loss adjustment expenses incurred but not reported (IBNR) on the
basis of past experience of Converium Group and its ceding companies.
Converium Group does not discount its loss reserves, other than for settled
claims with fixed payment terms.

The methods of determining such loss and loss adjustment expense estimates and
establishing the resulting reserves are continually reviewed and updated and,
as experience develops and new information becomes known, the reserves are
adjusted as necessary. Resulting adjustments are reflected as current expense
in the period in which they become known. Since the reserves are based on
estimates, the ultimate settlement may vary from the amount provided.



|(d) |  | Life reinsurance operations
|--- |  | ---------------------------

Deferred policy acquisition costs:Acquisition and commission costs incurred in
acquiring new business are deferred. Deferred policy acquisition costs are
amortized over the expected life of the contracts as a constant percentage of
expected premiums. Expected premiums are estimated at the effective date of the
contract and are consistently applied throughout the life of the contract unless a premium deficiency occurs.
Deferred policy acquisition costs are subject to recoverability testing at the
time of contract issue and at the end of each accounting period.

F-10



---



##### Table of Contents



Converium Group
Notes to the consolidated and historical combined financial statements (continued)

Future life benefits reserves and contract deposits:Liabilities for future
life benefit reserves and contract deposits are estimated on bases consistent
with those used for the original policies issued and with the terms of the
reinsurance contracts.



|(e) |  | Retrocessions
|--- |  | -------------

Converium Group establishes an allowance for potentially uncollectible
recoverables from retrocessionaires. In addition, Converium Group immediately
charges operations for any recoverable balances that are deemed to be
uncollectible. Collateral and other offsets are considered in determining the
allowance or expense.



|(f) |  | Invested assets
|--- |  | ---------------

Unrealized gains or losses on investments carried at fair value, except those
designated as trading, are recorded in other comprehensive income, net of
deferred income taxes. Unrealized gains or losses on investments designated as
trading are recognized in current period income.

When declines in values of securities below cost or amortized cost are
considered to be other than temporary, an impairment charge is recorded as a
realized loss in the statement of income for the difference between cost or
amortized cost and estimated fair value. Other than temporary declines are
decreases in the cost or amortized cost of the security that Converium Group
believes will not be recovered in the near term, and are identified by
considering various factors such as the financial condition of the issuer, the
market value and the expected future cash flows of the security.

Realized gain or loss on disposals is based on the difference between the
proceeds received and the cost or amortized cost of the investment using the
specific identification method. The amortization of premium and accretion of
discount on available-for-sale investments in fixed maturities is computed
using the effective interest method and is recorded in current period income.
Dividends on equity securities are recorded as revenue on the ex-dividend
date, the date that the dividends become payable to the holders of record.

Real estate held for investment, which is included in the balance sheet under
the caption, Other investments, is recorded at depreciated cost and is
depreciated on a straight-line basis over 40 years. The gain or loss on
disposal is based on the difference between the proceeds received and the
carrying value of the investment.

Certain partnerships in which Converium Group has an interest are engaged
exclusively in making investments in direct private equity, private equity
funds and hedge funds. In the partnerships, these investments are carried at
fair value, with changes in fair value being recorded as other income. The
partnership investments are accounted for based on Converium Groups
underlying partnership capital account.

Short-term and other investments are recorded at cost, which approximates fair
value. Short-term investments are those with a maturity of greater than three
months but less than one year from date of purchase.

The Funds Withheld Asset/Zurich Financing Agreement is carried at the
principal balance plus accrued interest. See Note 6 for further description.



|(g) |  | Derivative instruments
|--- |  | ----------------------

F-11



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##### Table of Contents



Converium Group
Notes to the consolidated and historical combined financial statements (continued)

Converium Group adopted SFAS No. 133, Accounting for Derivative Instruments
and Hedging Activities effective January 1, 2001. SFAS No. 133 requires all
derivatives to be recognized on the balance sheet at fair value. The
recognition of changes in the fair value of a derivative depends on its
intended use. The adoption of SFAS No. 133 did not have a material impact on
the financial condition or results of operations of Converium Group.

Derivatives and other financial instruments are used to hedge exposures or
modify exposures to interest rate and foreign currency risks. Changes in the
fair value of derivatives used in hedging activities are, depending on the
nature of the hedge, either recognized in earnings together with the change in
fair value of the hedged item attributable to the risk being hedged, or
recognized in other comprehensive income until the hedged item affects
earnings. For all hedging activities, the ineffective portion of a derivatives
change in fair value is immediately recognized in earnings. Derivatives not
used in hedging activities are adjusted to fair value through earnings.
Embedded derivatives in insurance contracts and investment contracts are
separated from their host contracts and accounted for as derivative instruments
under SFAS No. 133.



|(h) |  | Obligation to repurchase securities
|--- |  | -----------------------------------

Sales of securities under agreements to repurchase are accounted for as
collateralized transactions and are recorded at their contracted repurchase
amount plus accrued interest. Converium Group minimizes the credit risk that
counterparties to transactions might be unable to fulfill their contractual
obligations by monitoring customer credit exposure and collateral value and
generally requiring additional collateral to be deposited with Converium Group
when deemed necessary.



|(i) |  | Cash and cash equivalents
|--- |  | -------------------------

Cash amounts represent cash on hand and demand deposits. Cash equivalents are
short-term, highly liquid investments with original maturities of three months
or less.



|(j) |  | Fixed assets
|--- |  | ------------

Fixed assets, which are included in the balance sheet under the caption Other
assets, are carried at cost less accumulated depreciation and any necessary
write-downs for impairment. The costs of fixed assets are depreciated
principally on a straight-line basis over the following estimated useful
economic lives: furniture and fixtures five to ten years; computer equipment
and software three to five years. Maintenance and repair costs are charged to
income as incurred; costs incurred for major improvements are capitalized and
depreciated. Gains and losses on disposal of fixed assets are based upon their
carrying amount.



|(k) |  | Goodwill
|--- |  | --------

Goodwill, which is included in the balance sheet under the caption Other
assets, is accounted for under the purchase method, whereby the difference
between the purchase price and the fair value of net assets acquired as part of
a business combination is capitalized as goodwill and amortized on a
straight-line basis over its estimated useful life. In determining the
estimated useful life, Converium Group considers the expected period of
benefits to be received from the acquired company, which is based on factors
such as the type of business, the duration of the underlying reinsurance
contracts, customer relationships and distribution networks. See Note 2(o).



|(l) |  | Recognition and measurement of impaired assets
|--- |  | ----------------------------------------------

Converium Group periodically reviews its long-lived assets, including goodwill,
to determine potential impairment. If the recoverable amount is less than the
carrying amount of the asset, an impairment loss is recognized. The recoverable
amount is measured using the sum of the assets undiscounted estimated future
cash flows expected to arise from the use of the asset and from its disposal at
the end of its useful life. The impairment loss is measured as the difference
between the carrying amount of the asset and its fair value. Fair value is
defined as the market price less cost of disposal. If the market price is not
available, fair value is estimated based on the present value of future cash
flows.



|(m) |  | Income taxes
|--- |  | ------------

Taxes on income are accrued in the same periods as the revenues and expenses to
which they relate. Deferred income taxes are provided for all temporary
differences, which are based on the difference between financial statement
carrying amounts and income tax bases of assets and liabilities using enacted
income tax rates and laws, and for loss carryforwards. A valuation allowance is
recorded to reduce a deferred tax asset to that amount that is expected to be
realized.

For periods prior to the Separation Date, Converium Groups results were
included in the combined income tax returns filed by Zurich Financial Services
or its subsidiaries. Converium Group provides for income taxes substantially on
a stand-alone separate company basis.

F-12



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##### Table of Contents



Converium Group
Notes to the consolidated and historical combined financial statements (continued)



|(n) |  | Employee benefits
|--- |  | -----------------

Converium Group entities provide employee retirement benefits under principally
two types of arrangements: defined benefit plans providing specified benefits
and defined contribution plans. The assets of these plans are principally held
separately from Converium Groups general assets in trustee-administered funds.

Defined benefit plan obligations and contributions are determined periodically
by qualified actuaries using the projected unit credit method. Converium
Groups expense related to defined benefit plans is accrued over the employees
service periods based upon the actuarially determined cost for the period.
Actuarial gains and losses are normally spread over the average remaining
service lives of employees. Contributions to defined contribution pension plans
are charged to income as they become due.

Converium Group recognizes the expense related to incentive plans over the
relevant performance period. With regard to share-based compensation,
Converium Group uses a fair value-based method of accounting. Expense recorded
for share-based compensation takes into account the exercise price as of the
grant date in determining the fair value of the shares or options to be
awarded.



|(o) |  | New accounting pronouncements
|--- |  | -----------------------------

The Financial Accounting Standards Board (FASB) has issued the following new
standards, which will be required to be adopted by Converium Group in the
future:

SFAS 142, Goodwill and Other Intangible Assets

In June 2001, the FASB issued SFAS No. 142, Goodwill and Other Intangible
Assets. This standard prohibits the amortization of goodwill and intangible
assets that have indefinite useful lives, and requires impairment testing of
goodwill annually or if any event occurs which would indicate an impairment of
goodwill. It also prescribes that goodwill should be tested for impairment
under a fair value method different than that previously required under SFAS
No. 121, Accounting for the Impairment of Long-Lived Assets and for
Long-Lived Assets to be Disposed of. This standard is effective for fiscal
years beginning after December 15, 2001.

Except for the reduction of future amortization of goodwill, adoption of SFAS
No. 142 is not expected to impact the financial condition or results of
operations of Converium Group. Amortization of goodwill was US$ 7.8 million,
US$ 7.3 million and US$ 6.2 million for the years ended December 31, 2001,
2000 and 1999, respectively.

SFAS 143, Accounting for Asset Retirement Obligations

In June 2001, the FASB issued SFAS No. 143, Accounting for Asset Retirement
Obligations, which requires that obligations associated with the retirement of
a tangible long-lived asset be recorded as a liability when those obligations
are incurred, with the amount of the liability initially measured at fair
value.

This standard will not have a material impact on the financial condition of
Converium Group.

SFAS 144, Accounting for the Impairment or Disposal of Long-Lived Assets

In August 2001, the FASB issued SFAS No. 144, Accounting for the Impairment or
Disposal of Long-Lived Assets, which supersedes both SFAS No.121, Accounting
for the Impairment of Long-Lived Assets and for Long-Lived Assets to Be
Disposed of and the accounting and reporting provisions of APB Opinion No. 30,
Reporting the Results of Operations  Reporting the Effects of Disposal of a
Segment of a Business, and Extraordinary, Unusual and Infrequently Occurring
Events and Transactions, for the disposal of a segment of a business (as
previously defined in APB Opinion No. 30). SFAS No.144 retains the fundamental
provisions in SFAS No.121 for recognizing and measuring impairment losses on
long-lived assets held for use and long-lived assets to be disposed of by sale,
while also resolving significant implementation issues associated with SFAS
No.121.

This standard is effective for fiscal years beginning after December 15, 2001.
Management does not expect the adoption of SFAS No.144 to have a material
impact on the financial condition of Converium Group because the impairment
assessment under SFAS No.144 is largely unchanged from SFAS No.121. The
provisions of this statement for assets held for sale or other disposal
generally are required to be applied prospectively after the adoption date to
newly initiated disposal activities. As a result, management cannot determine
the potential effects that adoption of SFAS No.144 will have on Converium
Groups financial condition with respect to future disposal decisions.



|(p) |  | Use of estimates
|--- |  | ----------------

The preparation of financial statements in conformity with US GAAP requires
management to make estimates and assumptions that affect reported amounts of
assets and liabilities at the date of the financial statements and reported
amounts of revenues and expenses during the reporting period. Therefore, actual
results could differ from those estimates.

F-13



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##### Table of Contents



Converium Group
Notes to the consolidated and historical combined financial statements (continued)




3.    Restructuring costs

In connection with the Transactions, Converium Group incurred US$ 50.0 million
in restructuring costs during 2001. Any restructuring costs relating to the
Transactions in excess of this amount have been borne by Zurich Financial
Services. The restructuring costs, according to the Master Agreement, include
the costs and expenses of the Transactions, including advisors fees, retention
plan costs expensed in 2001 and stamp duty taxes.




4.    Foreign currency translation and transactions

Table 4.1summarizes the principal exchange rates which have been used for
translation purposes (US dollar per foreign currency unit). The net gains
(losses) on foreign currency transactions included in the statements of income
were immaterial for the years ended December 31, 2001, 2000 and 1999,
respectively.

|                 |  |                |        |                                     |  |      |        |      |  |      |        |  |  |  |        |  |  |  |        | 
|---------------- |  | -------------- | ------ | ----------------------------------- |  | ---- | ------ | ---- |  | ---- | ------ |  |  |  | ------ |  |  |  | ------ | 
|                 |  | Balance sheets |        | Statements of income and cash flows
|                 |  |                |        |                                    
|Exchange rates   |  | 2001           |        | 2000                                |  | 2001 |        | 2000 |  | 1999
|                 |  |                |        |                                     |  |      |        |      |  |     
|British pound    |  |                | 1.4529 |                                     |  |      | 1.4958 |      |  |      | 1.4406 |  |  |  | 1.5148 |  |  |  | 1.6183 | 
|Euro             |  |                | 0.8897 |                                     |  |      | 0.9422 |      |  |      | 0.8955 |  |  |  | 0.9229 |  |  |  | 1.0663 | 
|100 Japanese yen |  |                | 0.7596 |                                     |  |      | 0.8745 |      |  |      | 0.8240 |  |  |  | 0.9284 |  |  |  | 0.8830 | 
|Swiss franc      |  |                | 0.6015 |                                     |  |      | 0.6207 |      |  |      | 0.5929 |  |  |  | 0.5924 |  |  |  | 0.6663 | 




5.    Segment information

The primary measure of segment information, as reflected in the Schedule of
Segment Data, is segment income, defined as income before interest expense,
amortization of goodwill, restructuring costs and income taxes. Converium
Groups business is organized around four operating segments: three non-life
segments, Converium Zurich, Converium North America and Converium Cologne,
which are based principally on geographic regions, and a Converium Life
segment (as described below).

Converium Zurich manages the non-life reinsurance businesses in the United
Kingdom, Western and Southern Europe (Switzerland jointly with Converium
Cologne, Spain, Italy, Portugal, France, Ireland and Malta), the Benelux
countries, Latin America, the Far East and the Pacific Rim, Israel and Southern
Africa. Converium Zurich is also the primary center of expertise for aviation
and space, credit and surety, marine and engineering reinsurance and provides
technical support for catastrophe risk assessment and modeling for the global
operations.

Converium North America, based in New York, manages the non-life reinsurance
businesses in the United States and Canada, and is the global center of
expertise for agribusiness.

Converium Cologne manages the non-life reinsurance businesses in Germany,
Austria, Northern Europe (Denmark, Sweden, Iceland, Finland and Norway),
Central and Eastern Europe (Switzerland jointly with Converium Zurich,
Slovakia, Slovenia, Croatia, Bulgaria and Romania), the Middle East and
Northern Africa. In addition, Converium Cologne has worldwide underwriting
responsibility for health reinsurance with the exception of the US market,
which is written by Converium North America.

Converium Life manages the worldwide reinsurance business underwritten by
Converium Rückversicherung (Deutschland) AG.

The accounting policies of the segments are the same as those described in the
summary of significant accounting policies. Converium Group accounts for
inter-segment revenues and transfers as if the transactions were with third
parties at current market prices.





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##### Table of Contents



Converium Group
Notes to the consolidated and historical combined financial statements (continued)

Table 5.1
Net premiums written by line of business
(US$ million)

|                       |  |      |         |      |  |      |         |  |  |  |         | 
|---------------------- |  | ---- | ------- | ---- |  | ---- | ------- |  |  |  | ------- | 
|Year ended December 31 |  | 2001 |         | 2000 |  | 1999
|                       |  |      |         |      |  |     
|Global Non-Life        |  |      |         |      |  |      |         |  |  |  |         | 
|Liability              |  |      | 458.1   |      |  |      | 474.9   |  |  |  | 410.4   | 
|Property               |  |      | 501.9   |      |  |      | 403.8   |  |  |  | 301.9   | 
|Motor                  |  |      | 437.2   |      |  |      | 333.1   |  |  |  | 159.1   | 
|Credit and Surety      |  |      | 178.6   |      |  |      | 122.0   |  |  |  | 106.4   | 
|Workers Compensation  |  |      | 192.6   |      |  |      | 163.9   |  |  |  | 200.1   | 
|Aviation and Space     |  |      | 181.0   |      |  |      | 119.3   |  |  |  | 97.0    | 
|Accident and Health    |  |      | 116.4   |      |  |      | 85.3    |  |  |  | 66.2    | 
|Marine                 |  |      | 74.3    |      |  |      | 46.3    |  |  |  | 43.7    | 
|Engineering            |  |      | 80.7    |      |  |      | 55.4    |  |  |  | 41.3    | 
|Specialized and other  |  |      | 120.4   |      |  |      | 77.6    |  |  |  | 59.3    | 
|                       |  |      |         |      |  |      |         |  |  |  |         | 
|Total Global Non-Life  |  |      | 2,341.2 |      |  |      | 1,881.6 |  |  |  | 1,485.4 | 
|                       |  |      |         |      |  |      |         |  |  |  |         | 
|Converium Life         |  |      |         |      |  |      |         |  |  |  |         | 
|Total Converium Life   |  |      | 141.4   |      |  |      | 114.4   |  |  |  | 84.8    | 
|                       |  |      |         |      |  |      |         |  |  |  |         | 
|Total                  |  |      | 2,482.6 |      |  |      | 1,996.0 |  |  |  | 1,570.2 | 
|                       |  |      |         |      |  |      |         |  |  |  |         | 

Table 5.2
Net premiums written by geographic area of ceding company
(US$ million)

|                       |  |      |         |      |  |      |         |  |  |  |         | 
|---------------------- |  | ---- | ------- | ---- |  | ---- | ------- |  |  |  | ------- | 
|Year ended December 31 |  | 2001 |         | 2000 |  | 1999
|                       |  |      |         |      |  |     
|Germany                |  |      | 142.4   |      |  |      | 97.3    |  |  |  | 124.2   | 
|France                 |  |      | 60.4    |      |  |      | 49.0    |  |  |  | 58.8    | 
|United Kingdom         |  |      | 593.4   |      |  |      | 317.5   |  |  |  | 241.2   | 
|Rest of Europe         |  |      | 281.0   |      |  |      | 270.6   |  |  |  | 181.8   | 
|Far East               |  |      | 121.6   |      |  |      | 84.7    |  |  |  | 51.5    | 
|Near and Middle East   |  |      | 99.2    |      |  |      | 74.2    |  |  |  | 61.2    | 
|North America          |  |      | 1,038.4 |      |  |      | 1,027.2 |  |  |  | 805.4   | 
|Latin America          |  |      | 146.2   |      |  |      | 75.5    |  |  |  | 46.1    | 
|                       |  |      |         |      |  |      |         |  |  |  |         | 
|Total                  |  |      | 2,482.6 |      |  |      | 1,996.0 |  |  |  | 1,570.2 | 
|                       |  |      |         |      |  |      |         |  |  |  |         | 

In 2001, two reinsurance intermediaries produced approximately 13% and 12%,
respectively, of Converium Groups gross premiums written. The revenues from
these reinsurance intermediaries were produced across all of the segments. The
same two reinsurance intermediaries produced approximately 20% and 14% in
2000, and 21% and 10% in 1999, respectively, of Converium Groups gross
premiums written. No ceding company accounted for more than 10% of Converium
Groups revenues for the years ended December 31, 2001, 2000 and 1999.




6.    Invested assets and investment income

Table 6.1
Net investment income
(US$ million)

|                                                |  |      |       |      |  |      |       |  |  |  |       | 
|----------------------------------------------- |  | ---- | ----- | ---- |  | ---- | ----- |  |  |  | ----- | 
|Year ended December 31                          |  | 2001 |       | 2000 |  | 1999
|                                                |  |      |       |      |  |     
|Fixed maturities                                |  |      | 130.0 |      |  |      | 124.7 |  |  |  | 114.6 | 
|Equity securities                               |  |      | 9.7   |      |  |      | 9.2   |  |  |  | 9.0   | 
|Short-term investments                          |  |      | 4.3   |      |  |      | 5.5   |  |  |  | 11.6  | 
|Cash and cash equivalents                       |  |      | 8.2   |      |  |      | 8.4   |  |  |  | 2.5   | 
|Other                                           |  |      | 5.6   |      |  |      | -5.2  |  |  |  | 7.4   | 
|Funds Withheld Asset/Zurich Financing Agreement |  |      | 75.7  |      |  |      | 40.1  |  |  |  | 74.6  | 
|Total investment income                         |  |      | 233.5 |      |  |      | 182.7 |  |  |  | 219.7 | 
|Investment expenses                             |  |      | -4.8  |      |  |      | -6.7  |  |  |  | -5.7  | 
|                                                |  |      |       |      |  |      |       |  |  |  |       | 
|Net investment income                           |  |      | 228.7 |      |  |      | 176.0 |  |  |  | 214.0 | 
|                                                |  |      |       |      |  |      |       |  |  |  |       | 

As Converium Ltd was not an independent entity prior to the Transactions, it
did not have a separate investment portfolio. Instead, its cash flows were
managed by Zurich Financial Services pursuant to the Zurich Financing





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##### Table of Contents



Converium Group
Notes to the consolidated and historical combined financial statements (continued)

Agreement. The Zurich Financing Agreement was US$ 1,335.2 million as of
December 31, 2000. In conjunction with the establishment of the Funds Withheld
Asset (see Note 9), the Zurich Financing Agreement was cancelled. The Funds
Withheld Asset was US$ 1,598.5 million as of December 31, 2001. Net investment
income on the Zurich Financing Agreement was based on a formula designed to
reflect a total investment return on a diverse investment portfolio. Net
investment income on the Funds Withheld Asset is based on a weighted average
interest rate.

Table 6.2
Net realized capital gains and losses
(US$ million)

|                                    |                         |      |       |       |  |      |      |       |  |  |      |       | 
|----------------------------------- | ----------------------- | ---- | ----- | ----- |  | ---- | ---- | ----- |  |  | ---- | ----- | 
|Year ended December 31              |                         | 2001 |       | 2000  |  | 1999
|                                    |                         |      |       |       |  |     
|Fixed maturities:                   |                         |      |       |       |  |      |      |       |  |  |      |      
|                                    | Realized capital gains  |      |       | 50.0  |  |      |      | 15.0  |  |  |      | 26.8  | 
|                                    | Realized capital losses |      |       | -4.1  |  |      |      | -12.0 |  |  |      | -35.4 | 
|Equity securities:                  |                         |      |       |       |  |      |      |       |  |  |      |      
|                                    | Realized capital gains  |      |       | 48.5  |  |      |      | 94.8  |  |  |      | 102.7 | 
|                                    | Realized capital losses |      |       | -30.6 |  |      |      | -11.0 |  |  |      | -18.7 | 
|Write-down of impaired investments  |                         |      | -82.5 |       |  |      | -1.0 |       |  |  | -2.6 |      
|Other                               |                         |      | 0.3   |       |  |      | -2.1 |       |  |  | 3.5  |      
|                                    |                         |      |       |       |  |      |      |       |  |  |      |      
|Net realized capital (losses) gains |                         |      | -18.4 |       |  |      | 83.7 |       |  |  | 76.3 |      
|                                    |                         |      |       |       |  |      |      |       |  |  |      |      

During 2001, Converium Group recognized impairment losses of US$ 82.5 million
on its equity portfolio following the continued deterioration in global stock
markets, particularly in the telecommunications and technology sectors in
North America.

Table 6.3
Unrealized investment gains and losses (included in other comprehensive income)
(US$ million)

|                                                                          |                         |  |                                           |      |                         |  |       |      |      |  |        |      |  |  |      |       |  |  |      |       | 
|------------------------------------------------------------------------- | ----------------------- |  | ----------------------------------------- | ---- | ----------------------- |  | ----- | ---- | ---- |  | ------ | ---- |  |  | ---- | ----- |  |  | ---- | ----- | 
|                                                                          |                         |  | Net change for the yearended December 31, |      | Total as ofDecember 31,
|                                                                          |                         |  |                                           |      |                        
|                                                                          |                         |  | 2001                                      |      | 2000                    |  | 1999  |      | 2001 |  | 2000  
|                                                                          |                         |  |                                           |      |                         |  |       |      |      |  |       
|Fixed maturities available-for-sale                                       |                         |  | -9.1                                      |      |                         |  | 78.0  |      |      |  | -109.8 |      |  |  | 22.6 |       |  |  | 32.2 |      
|Equity securities available-for-sale                                      |                         |  | 24.7                                      |      |                         |  | -74.8 |      |      |  | -10.7  |      |  |  | 22.1 |       |  |  | -1.3 |      
|Less amounts of net unrealized
investment gains (losses) attributable to: |                         |  |                                           |      |                         |  |       |      |      |  |        |      |  |  |      |       |  |  |      |      
|                                                                          | Deferred income taxes   |  |                                           | -2.9 |                         |  |       | 0.5  |      |  |        | 42.7 |  |  |      | -14.4 |  |  |      | -12.1 | 
|                                                                          | Foreign currency effect |  |                                           | -1.2 |                         |  |       | -1.8 |      |  |        | -5.5 |  |  |      |      |  |  |      |      | 
|                                                                          |                         |  |                                           |      |                         |  |       |      |      |  |        |      |  |  |      |       |  |  |      |      
|Total                                                                     |                         |  | 11.5                                      |      |                         |  | 1.9   |      |      |  | -83.3  |      |  |  | 30.3 |       |  |  | 18.8 |      
|                                                                          |                         |  |                                           |      |                         |  |       |      |      |  |        |      |  |  |      |       |  |  |      |      

Table 6.4
Investments in fixed maturities and equity securities
(US$ million)

|                                           |  |                |         |                  |  |                   |         |            |  |      |      |      |  |      |       |      |  |  |       |  |  |  |       |  |  |  |         |  |  |  |         | 
|------------------------------------------ |  | -------------- | ------- | ---------------- |  | ----------------- | ------- | ---------- |  | ---- | ---- | ---- |  | ---- | ----- | ---- |  |  | ----- |  |  |  | ----- |  |  |  | ------- |  |  |  | ------- | 
|                                           |  | Cost or        |         | Gross            |  | Gross             |         | Estimated 
|                                           |  | amortized cost |         | unrealized gains |  | unrealized losses |         | fair value
|                                           |  |                |         |                  |  |                   |         |           
|                                           |  | 2001           |         | 2000             |  | 2001              |         | 2000       |  | 2001 |      | 2000 |  | 2001 |       | 2000
|                                           |  |                |         |                  |  |                   |         |            |  |      |      |      |  |      |       |     
|Available-for-sale                         |  |                |         |                  |  |                   |         |            |  |      |      |      |  |      |       |      |  |  |       |  |  |  |       |  |  |  |         |  |  |  |         | 
|Fixed maturities:                          |  |                |         |                  |  |                   |         |            |  |      |      |      |  |      |       |      |  |  |       |  |  |  |       |  |  |  |         |  |  |  |         | 
|US government                              |  |                | 469.8   |                  |  |                   | 512.3   |            |  |      | 11.7 |      |  |      | 12.5  |      |  |  | -1.7  |  |  |  | -0.7  |  |  |  | 479.8   |  |  |  | 524.1   | 
|Other governments                          |  |                | 553.2   |                  |  |                   | 512.3   |            |  |      | 8.5  |      |  |      | 23.8  |      |  |  | -4.4  |  |  |  | -8.5  |  |  |  | 557.3   |  |  |  | 527.6   | 
|Corporate and other debt securities        |  |                | 552.3   |                  |  |                   | 537.4   |            |  |      | 8.8  |      |  |      | 11.0  |      |  |  | -7.3  |  |  |  | -12.8 |  |  |  | 553.8   |  |  |  | 535.6   | 
|Mortgage and asset-backed securities       |  |                | 733.5   |                  |  |                   | 642.0   |            |  |      | 10.0 |      |  |      | 10.4  |      |  |  | -3.0  |  |  |  | -3.5  |  |  |  | 740.5   |  |  |  | 648.9   | 
|                                           |  |                |         |                  |  |                   |         |            |  |      |      |      |  |      |       |      |  |  |       |  |  |  |       |  |  |  |         |  |  |  |         | 
|Total as of December 31                    |  |                | 2,308.8 |                  |  |                   | 2,204.0 |            |  |      | 39.0 |      |  |      | 57.7  |      |  |  | -16.4 |  |  |  | -25.5 |  |  |  | 2,331.4 |  |  |  | 2,236.2 | 
|                                           |  |                |         |                  |  |                   |         |            |  |      |      |      |  |      |       |      |  |  |       |  |  |  |       |  |  |  |         |  |  |  |         | 
|Equity securities                          |  |                | 679.3   |                  |  |                   | 612.3   |            |  |      | 47.2 |      |  |      | 64.6  |      |  |  | -25.1 |  |  |  | -65.9 |  |  |  | 701.4   |  |  |  | 611.0   | 
|                                           |  |                |         |                  |  |                   |         |            |  |      |      |      |  |      |       |      |  |  |       |  |  |  |       |  |  |  |         |  |  |  |         | 
|Total available-for-sale as of December 31 |  |                | 2,988.1 |                  |  |                   | 2,816.3 |            |  |      | 86.2 |      |  |      | 122.3 |      |  |  | -41.5 |  |  |  | -91.4 |  |  |  | 3,032.8 |  |  |  | 2,847.2 | 
|                                           |  |                |         |                  |  |                   |         |            |  |      |      |      |  |      |       |      |  |  |       |  |  |  |       |  |  |  |         |  |  |  |         | 

F-16



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##### Table of Contents



Converium Group
Notes to the consolidated and historical combined financial statements (continued)

Table 6.5
Fixed maturity schedule
(US$ million)

|                                     |  |                      |         | 
|------------------------------------ |  | -------------------- | ------- | 
|                                     |  | Estimated fair value
|                                     |  | Available-for-sale  
|                                     |  |                     
|One year through five years          |  |                      | 691.5   | 
|Five years through ten years         |  |                      | 585.7   | 
|Over ten years                       |  |                      | 313.7   | 
|                                     |  |                      |         | 
|Subtotal                             |  |                      | 1,590.9 | 
|Mortgage and asset-backed securities |  |                      | 740.5   | 
|                                     |  |                      |         | 
|Total as of December 31, 2001        |  |                      | 2,331.4 | 
|                                     |  |                      |         | 

The estimated fair values of fixed maturities available-for-sale are shown by
contractual maturity. Actual maturities may differ from contractual maturities
because certain borrowers have the right to call or prepay certain obligations
with or without call or prepayment penalties.

Real estate held for investment consists primarily of US$ 143.3 million, net of
accumulated depreciation, of investments in residential and commercial rental
properties located in Switzerland, acquired in late 2001 from subsidiaries of
Zurich Financial Services. The fire insurance value of Converium Groups real
estate held for investment and fixed assets totaled US$ 215.3 million and US$
33.1 million at December 31, 2001 and 2000, respectively.

There are no investments in any entity in excess of 10% of equity at December
31, 2001 and 2000, other than investments issued or guaranteed by the US or
sovereign governments or their agencies. Cash and investments with a carrying
value of US$ 114.3 million and US$ 51.6 million were deposited in trust with
regulatory authorities as of December 31, 2001 and 2000, respectively.




7.    Goodwill

During August 1997, Zurich Financial Services acquired all the remaining
equity interests in Converium Reinsurance (North America) Inc. not then owned
by Zurich Financial Services. The acquisition of the minority interest in
Converium Reinsurance (North America) Inc. was accounted for as a purchase.
Accordingly, the excess of the consideration paid in exchange for the minority
interest over the fair value of the net assets attributable to the minority
interest was recorded as goodwill. This goodwill, plus additional goodwill
attributable to previous minority interest repurchases, has been reflected in
the financial statements of Converium Group under the application of push
down accounting. An additional US$ 20.7 million of goodwill arose from
Converium Groups acquisition of a 49.9% interest in MDU Services Ltd. during
May 2000. Goodwill was US$ 112.0 million and US$ 119.8 million, and
accumulated amortization of goodwill was US$ 32.5 million and US$ 24.7 million
at December 31, 2001 and 2000, respectively.




8.    Losses and loss adjustment expenses

Significant delays occur in the notification of claims and a substantial
measure of experience and judgment is involved in assessing outstanding
liabilities, the ultimate cost of which cannot be known with certainty as of
the balance sheet date. The reserve for losses and loss adjustment expenses is
determined on the basis of information currently available; however, it is
inherent to the nature of the business written that the ultimate liabilities
may vary as a result of subsequent developments.

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##### Table of Contents



Converium Group
Notes to the consolidated and historical combined financial statements (continued)

Table 8.1
Reserves for losses and loss adjustment expenses
(US$ million)

|                                                       |                                                        |      |         |         |  |      |         |         |  |  |         |         | 
|------------------------------------------------------ | ------------------------------------------------------ | ---- | ------- | ------- |  | ---- | ------- | ------- |  |  | ------- | ------- | 
|Year ended December 31                                 |                                                        | 2001 |         | 2000    |  | 1999
|                                                       |                                                        |      |         |         |  |     
|As of January 1                                        |                                                        |      |         |         |  |      |         |         |  |  |         |        
|                                                       | Gross reserves for losses and loss adjustment expenses |      |         | 4,546.0 |  |      |         | 3,545.7 |  |  |         | 2,988.1 | 
|                                                       | Less reinsurance recoverable                           |      |         | 1,212.2 |  |      |         | 704.9   |  |  |         | 457.3   | 
|Net reserves for losses and loss adjustment expenses   |                                                        |      | 3,333.8 |         |  |      | 2,840.8 |         |  |  | 2,530.8 |        
|Loss and loss adjustment expenses incurred             |                                                        |      |         |         |  |      |         |         |  |  |         |        
|                                                       | Current year                                           |      |         | 2,039.5 |  |      |         | 1,454.6 |  |  |         | 1,184.8 | 
|                                                       | Prior years                                            |      |         | 123.6   |  |      |         | 65.4    |  |  |         | -130.1  | 
|                                                       |                                                        |      |         |         |  |      |         |         |  |  |         |        
|Total                                                  |                                                        |      | 2,163.1 |         |  |      | 1,520.0 |         |  |  | 1,054.7 |        
|                                                       |                                                        |      |         |         |  |      |         |         |  |  |         |        
|Losses and loss adjustment expenses paid               |                                                        |      |         |         |  |      |         |         |  |  |         |        
|                                                       | Current year                                           |      |         | 359.1   |  |      |         | 222.0   |  |  |         | 53.0    | 
|                                                       | Prior years                                            |      |         | 885.2   |  |      |         | 850.6   |  |  |         | 610.0   | 
|                                                       |                                                        |      |         |         |  |      |         |         |  |  |         |        
|Total                                                  |                                                        |      | 1,244.3 |         |  |      | 1,072.6 |         |  |  | 663.0   |        
|                                                       |                                                        |      |         |         |  |      |         |         |  |  |         |        
|Foreign currency translation effects                   |                                                        |      | -87.1   |         |  |      | 45.6    |         |  |  | -81.7   |        
|As of December 31                                      |                                                        |      |         |         |  |      |         |         |  |  |         |        
|                                                       | Net reserves for losses and loss adjustment expenses   |      |         | 4,165.5 |  |      |         | 3,333.8 |  |  |         | 2,840.8 | 
|                                                       | Reinsurance recoverable                                |      |         | 1,545.0 |  |      |         | 1,212.2 |  |  |         | 704.9   | 
|                                                       |                                                        |      |         |         |  |      |         |         |  |  |         |        
|Gross reserves for losses and loss adjustment expenses |                                                        |      | 5,710.5 |         |  |      | 4,546.0 |         |  |  | 3,545.7 |        
|                                                       |                                                        |      |         |         |  |      |         |         |  |  |         |        

In the first half of 2001, Converium Group strengthened reserves by US$ 112.0
million. Converium Group retained an actuarial consulting firm to perform an
independent review of non-life net reserves as of December 31, 2000. The
review was begun during the second quarter of 2001 and completed in the third
quarter of 2001. The independent analysis reflected certain information that
became available after the issuance of the December 31, 2000 financial
statements, including most fourth quarter 2000 and some first quarter 2001
reports from ceding companies, who typically report on a one-quarter lag.
Based on the independent review and Converium Groups own evaluations of these
new developments, additional provisions of US$ 112.0 million, net of
reinsurance, were recorded in the first half of 2001, principally related to
accident years 2000 and prior at Converium North America. The adverse loss
development mainly related to general liability, commercial auto liability and
umbrella policy treaty business written in 1996 through 1999.

In the second half of 2001, Converium Group recorded an additional US$ 11.6
million of net adverse loss reserve development based on its year-end review of
non-life reserves. Converium Cologne strengthened its asbestos and
environmental reserves by US$ 11.5 million, in order to increase the survival
ratio from 13.1 years at December 31, 2000 to 13.8 years at December 31, 2001.
Converium Cologne also performed an in-depth analysis of its European and
Middle East non-proportional motor book in light of current trends, including
lower interest rates, higher long-term disability costs and longevity risk. As
a result of this review, an additional US$ 20.0 million in reserves were
recorded for European and Middle East motor lines for years 2000 and prior.
Converium Cologne also recorded an additional US$ 9.8 million of reserves for
energy and property business in the Middle East. Converium North America
recorded adverse development of US$ 39.0 million, mainly related to general
liability, auto liability and umbrella business written in 1996 through 1999.
Partially offsetting the above, loss reserves at Converium Zurich developed
positively by US$ 69.0 million, reflecting positive development of US$ 30.0 in
aviation and space, primarily on non-proportional treaty business for years
1998 through 2000. Additional positive development was experienced in casualty
lines of business.

In 2000, Converium Group strengthened reserves by US$ 65.4 million. This
result was heavily driven by adverse development from the December 1999
European winter storms Anatol, Lotharand Martin. These events occurred in the
last week of December 1999, which made loss estimation for these events
difficult at December 31, 1999. In addition, Converium North America
experienced adverse loss development mainly related to casualty treaty
business from prior underwriting years.

Converium Groups results were favorably impacted as a result of reserve
adjustments of US$ 130.1 million in 1999. The principal factors which led to
these favorable reserve developments include the following:

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##### Table of Contents



Converium Group
Notes to the consolidated and historical combined financial statements (continued)



| |  | Over the years, Converium Group has increased the portion of its
business derived from specialty lines, in particular aviation and space.
These lines are among the more complex and uncertain lines of business
because of the potential for large losses. In addition, in specialty
lines such as credit and surety business, the correlation between losses
and general economic conditions, and in aviation and space, the longer
reporting periods, increase the uncertainty of the reserving process.
Initial reserve estimates were the best judgment at the time and
reflected this complexity and uncertainty. Over time, the actual
emergence of losses in these lines could be used as an indication of
future loss emergence, or re-estimation of ultimate loss.
|- |  | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
| 
| |  | Over time, Converium Groups clients have been able to provide more
detailed and timely loss information. Combined with technological
advances that Converium Group has made over the same period in its
reserving process, it has been able to perform more comprehensive
analyses. This impact prevails throughout the portfolio. However, it is
particularly noticeable for the traditional book of European property,
European motor and European liability business.                                                                                                                                                                                                                                                                                                   
| 
| |  | Converium Group entered into several new overseas geographical markets
and had significant expansion in both existing and new markets in several
longer-tailed liability lines of business. New lines of business and
markets are inherently more uncertain than existing business and markets,
where historical experience data can be used to support the reserving
process. Accordingly, the initial estimates of ultimate losses for this
business reflected these additional inherent uncertainties. Over time, as
the actual emergence of losses in these markets could be used as an
indication of future loss emergence, the re-estimation of losses
indicated redundancies.                                                                                        

The reserves for certain losses and loss adjustment expenses, such as those for
settled claims with fixed payment terms, represent the present value estimates
of the ultimate cost of all losses incurred but not paid through December 31 of
each year. Where applicable, gross reserves of US$ 413.8 million and US$ 365.0
million have been discounted using average interest rates of 6% in 2001 and
2000. This has reduced reserves by US$ 47.5 million and US$ 46.5 million as of
December 31, 2001 and 2000, respectively. In addition, deferred charges
relating to retrospective reinsurance assumed and structured settlements
totaling US$ 57.9 million and US$ 26.2 million as of December 31, 2001 and
2000, respectively, are included in other assets.

Converium Group believes that its exposure to environmental impairment
liability and asbestos-related claims is relatively small due to the
diminutive amount of business written prior to 1987 for Converium Zurich and
Converium Reinsurance (North America) Inc. Additionally, Converium
Reinsurance (North America) Inc. is protected by a stop loss agreement with
Zurich Insurance Company (ZIC), a wholly owned subsidiary of Zurich
Financial Services, for business effected prior to June 1, 1993. As of
December 31, 2001, Converium Rückversicherung (Deutschland) AG had reserves
for environmental impairment liability and asbestos-related claims of US$ 44.6
million.

September 11 terrorist attacks
As of December 31, 2001, Converium Group estimates its gross and net incurred
losses and loss adjustment expenses related to the September 11 terrorist
attacks to be as follows:

Line of business
(US$ million)

|                       |  |              |       |            |  |                |       |  |  |  |       | 
|---------------------- |  | ------------ | ----- | ---------- |  | -------------- | ----- |  |  |  | ----- | 
|                       |  |              |       |            |  | Retrocessional |       |  |  | 
|                       |  |              |       |            |  | reinsurance    |       |  |  | 
|                       |  | Gross losses |       | recoveries |  | Net losses    
|                       |  |              |       |            |  |               
|Aviation               |  |              | 323.0 |            |  |                | 154.3 |  |  |  | 168.7 | 
|Property and Liability |  |              | 353.5 |            |  |                | 245.0 |  |  |  | 108.5 | 
|Life                   |  |              | 16.4  |            |  |                | 4.4   |  |  |  | 12.0  | 
|                       |  |              |       |            |  |                |       |  |  |  |       | 
|Total                  |  |              | 692.9 |            |  |                | 403.7 |  |  |  | 289.2 | 
|                       |  |              |       |            |  |                |       |  |  |  |       | 

Included in the reinsurance recoveries above are US$ 152.3 million due from
Zurich Financial Services and subsidiaries.

In addition to the gross loss estimates above, we have received claims which
could, if adversely determined, cause us to increase our gross estimate by
approximately 10%. We dispute the merits of these claims based on the terms and
limits of our contracts and their application to the complex circumstances of
September 11. Our ultimate gross exposure to these claims will depend on a
number of factors including the outcome of any dispute over the merits of such
claims. However, our net exposure to the September 11 terrorist attacks is
subject to the caps described below and accordingly, changes, if any, in our
gross loss estimates will not affect our net results.

Certain arrangements with Zurich Financial Services described below provide
protection against potential adverse loss development on the September 11
terrorist attacks for Converium Ltd, Converium Rückversicherung

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Converium Group
Notes to the consolidated and historical combined financial statements (continued)

(Deutschland) AG and Converium Reinsurance (North America) Inc. above the
initial loss amounts recorded of US$ 289.2 million, net of retrocessional
reinsurance recoveries. Ceded premiums in connection with these arrangements
and other coverages from Zurich Financial Services were US$ 28.5 million in
2001.

Converium Ltds exposure under the Quota Share Retrocession Agreement (see
Note 9), is limited for Extraordinary Events. The agreement limits Converium
Ltds losses arising out of any Extraordinary Event to US$ 220.0 million and
the parties have agreed that the September 11 terrorist attacks are an
Extraordinary Event and that the US$ 220.0 million limit applies to losses
arising out of the September 11 terrorist attacks. Because ZIC and Zurich
Insurance Bermuda (ZIB), a wholly owned subsidiary of Zurich Financial
Services, retain losses in excess of the limit, Zurich Financial Services will
be responsible for non-payment, if any, by the retrocessionaires with regard
to losses arising out of the September 11 terrorist attacks in excess of the
US$ 220.0 million limit.

ZIC will indemnify Converium Rückversicherung (Deutschland) AG for losses
arising out of the September 11 terrorist attacks in excess of approximately
US$ 11.0 million, net of retrocessional reinsurance recoveries.

Converium Reinsurance (North America) Inc. is covered under the ZIC 1997
Aggregate Excess of Loss Agreement for losses in excess of US$ 58.2 million.
In addition, ZIC will indemnify Converium Reinsurance (North America) Inc.
against loss development in excess of the available limits under the ZIC 1997
Aggregate Excess of Loss Agreement. See Note 15 for further information.

Enron Chapter 11 reorganization
On December 2, 2001, Enron Corp. announced that it and certain of its
subsidiaries had filed voluntary petitions for Chapter 11 reorganization in
the United States. Converium Group recorded incurred losses of US$ 67.0
million pre-tax (US$ 48.0 million post-tax) for the year ended December 31,
2001, representing Converium Groups aggregate limits under existing
reinsurance contracts in connection with Enron. These exposures result
principally from credit and surety and, to a lesser extent, liability lines of
business in the Converium Zurich and Converium North America operating
segments.

These estimates reflect Converium Groups aggregate limits under the related
contracts. As of the date of these financial statements, all of the facts and
circumstances relating to Enrons reorganization are not known. Accordingly,
the losses Converium Group may ultimately incur, and the timing of any loss
payment, will be affected by numerous factors including the actions of third
parties, possible judicial rulings and other contingencies.




9.    The Quota Share Retrocession Agreement, retrocessional reinsurance and catastrophe protection

Quota Share Retrocession Agreement
In connection with the Transactions, the transfer of Converium Zurichs
business to Converium Ltd by ZIC and ZIB was effected by means of the Quota
Share Retrocession Agreement effective July 1, 2001. The covered business
consists of the business historically managed by Converium Zurich which has an
inception or renewal date on or after January 1, 1987, and consists of
substantially all of the third party reinsurance assumed business written by
ZIC and ZIB, under the Zurich Re brand name. The liabilities Converium Ltd
assumed include all net unearned premiums, net losses and loss adjustment
expenses and experience account balances relating to this business.

The Quota Share Retrocession Agreement provides for the payment of premiums to
Converium Ltd by ZIC as consideration for assuming the covered liabilities.
The Quota Share Retrocession Agreement provides that these premiums are on a
funds withheld basis, whereby the premium is not immediately paid, but is
rather retained by ZIC and credited to a funds withheld account, which is
referred to as the Funds Withheld Asset. In conjunction with the establishment
of the Funds Withheld Asset, the Zurich Financing Agreement was cancelled. See
Note 6 for more information on the Zurich Financing Agreement.

Because the business subject to the Quota Share Retrocession Agreement consists
of business that was historically managed by Converium Zurich, this business is
already reflected in the financial statements. Any reinsurance business written
by ZIC or ZIB that is not part of the historically managed and operated
third-party reinsurance business of Converium Zurich is not covered by the
Quota Share Retrocession Agreement, and all related legal rights and
obligations of this business have been retained by ZIC and ZIB. Accordingly,
this business is excluded from the financial statements. Therefore, execution
of this Quota Share Retrocession Agreement has no impact on results of
operations as reported for 2001, 2000 or 1999.

Converium Ltd will receive the surplus remaining with respect to the Funds
Withheld Asset, if any, after all liabilities have been discharged.
Additionally, Zurich Financial Services has the right to prepay to Converium
Ltd the full amount or a portion thereof of the Funds Withheld Asset prior to
termination of the agreement. Finally, Converium

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Converium Group
Notes to the consolidated and historical combined financial statements (continued)

Ltd is entitled to request cash advances under certain circumstances to
help meet significant cash requirements. Any surplus or any additional cash
flows will be recorded in the financial statements in the period when they
occur.

Converium Ltd is entitled to borrow cash from ZIC if eligible losses from a
single event or series of related events not relating to the business covered
by the Quota Share Retrocession Agreement exceed US$ 25.0 million. The amount
that may be borrowed as a result of any one event or series of related events
is limited to the lesser of US$ 90.0 million, or actual losses from the event.
Converium Ltd is entitled to request multiple advances. However, it may never
borrow more than the Funds Withheld Asset balance, and the aggregate amount
that may be borrowed at any one time ranges from US$ 150.0 to US$ 180.0
million in 2002 and US$ 105.0 to US$ 135.0 million for the period January 1,
2003 to September 30, 2003. Converium Ltd may not request advances beyond
September 30, 2003, unless agreed otherwise with ZIC. Interest on these
advances will accrue at a variable annual rate equal to prevailing LIBOR plus
0.50%, and is payable monthly. Converium Ltd would be required to repay any
advance within one year of receipt. No advances were outstanding at December
31, 2001.

Converium Ltd will continue to administer the transferred business on behalf
of ZIC and ZIB, which remain liable to the original cedents of the business.
Additionally, Converium Ltd will manage third-party retrocessions related to
the business transferred. Converium Group will bear the credit risk for
uncollectible reinsurance balances excluding those related to the September 11
terrorist attacks. Converium Ltd will have a broad right of offset under the
Quota Share Retrocession Agreement so that reinsurance balances owed to ZIC
and ZIB may be offset against the Funds Withheld Asset account directly.

The Quota Share Retrocession Agreement provides for commutation and
termination for special reasons, such as insolvency of a party or loss of its
authorization to do business or a change of control of Converium Ltd. Each of
the parties agrees to indemnify the other against liability or expense
incurred by reason of its conduct or failure to act in appropriate
circumstances. The Quota Share Retrocession Agreement contains other
provisions that are customary for an agreement of this nature.

Retrocessional reinsurance
Retrocessional reinsurance arrangements do not relieve Converium Group from
its direct obligations to its reinsureds. Thus, a credit exposure exists with
respect to reinsurance ceded to the extent that any retrocessionaire is unable
or unwilling to meet the obligations assumed under the retrocessional
agreements. Converium Group holds substantial collateral as security under
related retrocessional agreements in the form of deposits, securities and/or
letters of credit. Converium Groups business is not substantially dependent
upon any single retrocessional contract.

In connection with the Transactions, certain assumed reinsurance contracts of
Converium Reinsurance (North America) Inc. related to business written by a
unit of Zurich Financial Services will be 100% reinsured by Centre Insurance
Company (CIC) or Centre Solutions (US) Limited (CSUS), subsidiaries of
Zurich Financial Services, on an indemnity reinsurance basis, with Converium
Reinsurance (North America) Inc. retaining the assets on a funds withheld
basis. Converium Reinsurance (North America) Inc. has assigned its rights
under certain underlying retrocession agreements to CIC, CSUS or ZIC, Bermuda
Branch. Loss reserves and equivalent reinsurance recoverables of US$ 35.2
million and US$ 253.0 million have been recorded as of December 31, 2001 and
2000, respectively.

Under an existing aggregate excess of loss reinsurance agreement in force
between ZIC and Converium Reinsurance (North America) Inc., ZIC provides
aggregate excess of loss reinsurance protection to Converium Reinsurance
(North America) Inc. with respect to potential losses arising out of Converium
Reinsurance (North America) Inc.s retrocession to the Unicover Pool involving
Amerisafe Interstate Insurance Company. See Notes 15 and 19 for more
information.

Included in reinsurance assets below are recoverables totalling US$ 362.9
million related to the Unicover Pool. On an individual basis, none of the
recoverables from these retrocessionaires exceeds 10% of equity. Recoverables
from subsidiaries of Zurich Financial Services total 11.7% of equity at
December 31, 2001. Recoverables from one other third-party retrocessionaire
were 16.5% of equity at December 31, 2001. There were no recoverables from any
other retrocessionaire that exceeded 10% of equity at December 31, 2001.
Allowances of US$ 9.6 million and US$ 8.7 million have been recorded for
estimated uncollectible receivables and reinsurance recoverables at December
31, 2001 and 2000, respectively.

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##### Table of Contents



Table 9.1
(US$ million)

|                                                 |  |       |         |                    |  |                    |         |      |  |      |         |      |  |  |         |  |  |  |         |  |  |  |         | 
|------------------------------------------------ |  | ----- | ------- | ------------------ |  | ------------------ | ------- | ---- |  | ---- | ------- | ---- |  |  | ------- |  |  |  | ------- |  |  |  | ------- | 
|                                                 |  | Gross |         | Reinsurance assets |  | Net of reinsurance
|                                                 |  |       |         |                    |  |                   
|Year ended December 31                           |  | 2001  |         | 2000               |  | 2001               |         | 2000 |  | 2001 |         | 2000
|                                                 |  |       |         |                    |  |                    |         |      |  |      |         |     
|Reserves for losses and loss
adjustment expenses |  |       | 5,710.5 |                    |  |                    | 4,546.0 |      |  |      | 1,545.0 |      |  |  | 1,212.2 |  |  |  | 4,165.5 |  |  |  | 3,333.8 | 
|Reserves for unearned premiums                   |  |       | 968.7   |                    |  |                    | 774.4   |      |  |      | 78.9    |      |  |  | 54.8    |  |  |  | 889.8   |  |  |  | 719.6   | 
|Future life benefits                             |  |       | 252.0   |                    |  |                    | 162.0   |      |  |      | 44.2    |      |  |  | 25.9    |  |  |  | 207.8   |  |  |  | 136.1   | 
|                                                 |  |       |         |                    |  |                    |         |      |  |      |         |      |  |  |         |  |  |  |         |  |  |  |         | 
|Total underwriting
reserves at December 31       |  |       | 6,931.2 |                    |  |                    | 5,482.4 |      |  |      | 1,668.1 |      |  |  | 1,292.9 |  |  |  | 5,263.1 |  |  |  | 4,189.5 | 
|                                                 |  |       |         |                    |  |                    |         |      |  |      |         |      |  |  |         |  |  |  |         |  |  |  |         | 

Table 9.2
Premiums written and earned
(US$ million)

|                                |      |                  |         |                 |      |  |         |  |      |  |         |  |  |  |         |  |  |  |         |  |  |  |         | 
|------------------------------- | ---- | ---------------- | ------- | --------------- | ---- |  | ------- |  | ---- |  | ------- |  |  |  | ------- |  |  |  | ------- |  |  |  | ------- | 
|                                |      | Premiums written |         | Premiums earned
|                                |      |                  |         |                
|For the years ended December 31 | 2001 |                  | 2000    |                 | 1999 |  | 2001    |  | 2000 |  | 1999   
|                                |      |                  |         |                 |      |  |         |  |      |  |        
|Direct premiums                 |      |                  | 124.9   |                 |      |  | 169.9   |  |      |  | 164.1   |  |  |  | 106.6   |  |  |  | 177.0   |  |  |  | 155.7   | 
|Assumed premiums                |      |                  | 2,756.3 |                 |      |  | 2,395.9 |  |      |  | 1,764.6 |  |  |  | 2,581.9 |  |  |  | 2,244.1 |  |  |  | 1,577.6 | 
|Ceded premiums                  |      |                  | -393.4  |                 |      |  | -569.8  |  |      |  | -358.5  |  |  |  | -388.1  |  |  |  | -559.6  |  |  |  | -331.8  | 
|Catastrophe Agreement           |      |                  | -5.2    |                 |      |  |        |  |      |  |        |  |  |  | -5.2    |  |  |  |        |  |  |  |        | 
|                                |      |                  |         |                 |      |  |         |  |      |  |         |  |  |  |         |  |  |  |         |  |  |  |         | 
|Total                           |      |                  | 2,482.6 |                 |      |  | 1,996.0 |  |      |  | 1,570.2 |  |  |  | 2,295.2 |  |  |  | 1,861.5 |  |  |  | 1,401.5 | 
|                                |      |                  |         |                 |      |  |         |  |      |  |         |  |  |  |         |  |  |  |         |  |  |  |         | 

Table 9.3
Benefits, losses and expenses
(US$ million)

|                                             |  |      |         |      |  |      |         |  |  |  |         | 
|-------------------------------------------- |  | ---- | ------- | ---- |  | ---- | ------- |  |  |  | ------- | 
|For the years ended December 31              |  | 2001 |         | 2000 |  | 1999
|                                             |  |      |         |      |  |     
|Non-life losses and loss adjustment expenses |  |      |         |      |  |      |         |  |  |  |         | 
|Direct                                       |  |      | 104.3   |      |  |      | 169.7   |  |  |  | 83.4    | 
|Assumed                                      |  |      | 2,694.3 |      |  |      | 2,106.5 |  |  |  | 1,363.5 | 
|Ceded                                        |  |      | -635.5  |      |  |      | -756.2  |  |  |  | -392.2  | 
|                                             |  |      |         |      |  |      |         |  |  |  |         | 
|Total                                        |  |      | 2,163.1 |      |  |      | 1,520.0 |  |  |  | 1,054.7 | 
|                                             |  |      |         |      |  |      |         |  |  |  |         | 
|Life benefits and policyholder dividends     |  |      |         |      |  |      |         |  |  |  |         | 
|Assumed                                      |  |      | 140.1   |      |  |      | 88.9    |  |  |  | 90.4    | 
|Ceded                                        |  |      | -2.7    |      |  |      | -4.4    |  |  |  | -6.4    | 
|                                             |  |      |         |      |  |      |         |  |  |  |         | 
|Total                                        |  |      | 137.4   |      |  |      | 84.5    |  |  |  | 84.0    | 
|                                             |  |      |         |      |  |      |         |  |  |  |         | 
|Underwriting acquisition costs               |  |      |         |      |  |      |         |  |  |  |         | 
|Direct                                       |  |      | 32.8    |      |  |      | 56.5    |  |  |  | 52.1    | 
|Assumed                                      |  |      | 529.0   |      |  |      | 492.4   |  |  |  | 378.1   | 
|Ceded                                        |  |      | -53.7   |      |  |      | -94.5   |  |  |  | -89.9   | 
|                                             |  |      |         |      |  |      |         |  |  |  |         | 
|Total                                        |  |      | 508.1   |      |  |      | 454.4   |  |  |  | 340.3   | 
|                                             |  |      |         |      |  |      |         |  |  |  |         | 

Catastrophe
protectionAs of December 31, 2001, Converium Ltd has entered into agreements for
coverage of losses related to certain catastrophic loss events. These
agreements include both traditional reinsurance as well as a catastrophe
derivative described more fully below. The traditional reinsurance agreements
cover losses from an event in excess of US$ 90.0 million.

On June 8, 2001, ZIC entered into a transaction with Trinom Ltd., a Bermuda
company that ultimately provides ZIC with specific high-limit catastrophe
protection. Trinom is a special purpose entity (SPE) established by ZIC in
Bermuda, and which issued all of its common shares to a Bermuda trust.
Trinoms business consists solely of issuing three-year catastrophe securities
to third-party qualified investors in the form of preference shares and two
classes of notes. Simultaneous with the offering of these securities, Trinom
entered into a counterparty contract with ZIC whereby Trinom will make
payments to ZIC from its funds to cover defined catastrophic losses in the
United States and Europe. ZIC is required to make payments to Trinom based on
the balance of Trinoms funds and the magnitude of its losses. The owners of
the securities are entitled to receive their original investment, plus
interest on the notes or dividends on the preference shares, both paid
quarterly, less any loss payments made to ZIC.

Additionally, as part of the Transactions, ZIC and Converium Ltd have entered
into a catastrophe derivative agreement (the Catastrophe Agreement) in the
form of a purchased option whereby Converium Ltd receives protection from ZIC
under terms similar to ZICs protection under the Trinom transaction. Converium
Ltd will pay ZIC amounts at least equal to the payments made by ZIC to Trinom.
Similarly, Converium Ltd is entitled to receive

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Converium Group
Notes to the consolidated and historical combined financial statements (continued)

payments from ZIC that are similar to those that ZIC is entitled to receive
from Trinom. However, there is no contractual relationship between Converium
Ltd and Trinom as only ZIC is the legal counterparty to the Trinom
transaction. This Catastrophe Agreement is effective as of June 18, 2001, and
will remain in effect for the same period as ZICs agreement with Trinom,
including any extension thereto.

The coverage ZIC and ultimately Converium Ltd have obtained from the Trinom
transaction and the related Catastrophe Agreement is expected to reduce
Converium Ltds net retained loss for large catastrophe events that produce
insured losses greater than what is referred to in the industry as once in 100
years magnitude. Perils covered by the Trinom transaction and the Catastrophe
Agreement include only US hurricane, US earthquake, and European windstorm
losses that occur before June 18, 2004. Payments from Trinom to ZIC, and
similarly from ZIC to Converium Ltd, are based on modeled reinsurance losses
for ZIC and ultimately Converium Ltds exposures at the time of the Trinom
transaction.

In a modeled loss contract, the covered partys aggregate exposure to each
geographical region and type of catastrophe, by line of business, is compared
to industry-wide data in order to produce the covered partys market share of
particular loss events by line of business using commercially available natural
catastrophe loss simulation modeling software. The software simulates a
catastrophe, at various levels of severity, by generating certain probabilistic
loss distributions, in order to calculate industry-wide losses and the
corresponding losses for the covered party on a ground-up basis, by line of
business. These losses are then compared to the modeled loss contracts to
determine the amount of the covered partys recovery in respect of such an
event.

Because the Trinom transaction is in two tranches, Converium Ltds coverage
under the Catastrophe Agreement is also effectively in two tranches. The first
tranche provides first event coverages of approximately US$ 65.0 million on 68%
of losses that exceed a range of losses from US$ 209.0 million to US$ 227.0
million; and the second tranche provides US$ 97.0 million of coverage on 100%
of second and subsequent event losses that exceed a range of losses from US$
100.0 million to US$ 133.0 million. The amount of losses that must be incurred
before coverage applies relates to the type of loss event, e.g. earthquake,
hurricane or windstorm. The expected annual cost of the Catastrophe Agreement
to Converium Ltd is approximately US$ 9.4 million. However, if Converium Group
collects amounts as a result of a loss event that is protected by the
Catastrophe Agreement, Converium Group will be required to pay higher amounts
for the remainder of the Catastrophe Agreements term, and to reduce the
recovery by these higher amounts.




10.    Debt

As part of the Transactions, Converium Group assumed US$ 200.0 million
principal amount of non-convertible, unsecured, unsubordinated Senior Notes
(the Senior Notes) originally issued during October 1993. The Senior Notes
mature in full on October 15, 2023 and bear interest at the rate of 7.125%,
payable semiannually in arrears on April 15 and October 15. Debt issuance costs
and discounts incurred related to the Senior Notes have been deferred and are
being amortized over the term of the Senior Notes.




11.    Income taxes

Table 11.1
Income tax (benefit) expense
(US$ million)

|                                   |          |      |        |        |  |      |       |       |  |  |      |      | 
|---------------------------------- | -------- | ---- | ------ | ------ |  | ---- | ----- | ----- |  |  | ---- | ---- | 
|Year ended December 31             |          | 2001 |        | 2000   |  | 1999
|                                   |          |      |        |        |  |     
|Switzerland                        |          |      |        |        |  |      |       |       |  |  |      |     
|                                   | Current  |      |        |       |  |      |       | 1.3   |  |  |      | -1.0 | 
|                                   | Deferred |      |        | -3.5   |  |      |       | 4.0   |  |  |      | 4.6  | 
|                                   |          |      |        |        |  |      |       |       |  |  |      |     
|Total                              |          |      | -3.5   |        |  |      | 5.3   |       |  |  | 3.6  |     
|                                   |          |      |        |        |  |      |       |       |  |  |      |     
|United States                      |          |      |        |        |  |      |       |       |  |  |      |     
|                                   | Current  |      |        | 31.1   |  |      |       | -19.2 |  |  |      | 31.9 | 
|                                   | Deferred |      |        | -178.7 |  |      |       | 0.7   |  |  |      | -9.2 | 
|                                   |          |      |        |        |  |      |       |       |  |  |      |     
|Total                              |          |      | -147.6 |        |  |      | -18.5 |       |  |  | 22.7 |     
|                                   |          |      |        |        |  |      |       |       |  |  |      |     
|Germany                            |          |      |        |        |  |      |       |       |  |  |      |     
|                                   | Current  |      |        | 3.4    |  |      |       | 1.0   |  |  |      | 2.0  | 
|                                   | Deferred |      |        | -22.2  |  |      |       | -7.3  |  |  |      | 12.3 | 
|                                   |          |      |        |        |  |      |       |       |  |  |      |     
|Total                              |          |      | -18.8  |        |  |      | -6.3  |       |  |  | 14.3 |     
|                                   |          |      |        |        |  |      |       |       |  |  |      |     
|Total                              |          |      |        |        |  |      |       |       |  |  |      |     
|                                   | Current  |      |        | 34.5   |  |      |       | -16.9 |  |  |      | 32.9 | 
|                                   | Deferred |      |        | -204.4 |  |      |       | -2.6  |  |  |      | 7.7  | 
|                                   |          |      |        |        |  |      |       |       |  |  |      |     
|Total income tax (benefit) expense |          |      | -169.9 |        |  |      | -19.5 |       |  |  | 40.6 |     
|                                   |          |      |        |        |  |      |       |       |  |  |      |     

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##### Table of Contents



Converium Group
Notes to the consolidated and historical combined financial statements (continued)

Table 11.2illustrates the factors that cause the actual income tax expense to
differ from the expected amount computed by applying the expected rate.

Table 11.2
Expected and actual income tax expense
(US$ milion)

|                                              |                                  |      |        |       |  |      |       |       |  |  |      |      | 
|--------------------------------------------- | -------------------------------- | ---- | ------ | ----- |  | ---- | ----- | ----- |  |  | ---- | ---- | 
|Year ended December 31                        |                                  | 2001 |        | 2000  |  | 1999
|                                              |                                  |      |        |       |  |     
|Expected income tax (benefit) expense         |                                  |      | -180.3 |       |  |      | -11.7 |       |  |  | 37.7 |     
|Increase (reduction) in taxes resulting from: |                                  |      |        |       |  |      |       |       |  |  |      |     
|                                              | Tax-exempt interest income       |      |        | -4.8  |  |      |       | -5.8  |  |  |      | -2.7 | 
|                                              | Non-taxable reinsurance contract |      |        | -20.4 |  |      |       | -20.5 |  |  |      |     | 
|                                              | Amortization of goodwill         |      |        | 2.2   |  |      |       | 2.2   |  |  |      | 2.2  | 
|                                              | Branch tax                       |      |        | 2.6   |  |      |       | 2.8   |  |  |      | 3.6  | 
|                                              | Unusable net operating losses    |      |        | 15.7  |  |      |       | 18.1  |  |  |      |     | 
|                                              | Valuation allowance              |      |        | 3.2   |  |      |       |      |  |  |      |     | 
|                                              | Non-deductible ceded premiums    |      |        | 8.5   |  |      |       |      |  |  |      |     | 
|                                              | Other                            |      |        | 3.4   |  |      |       | -4.6  |  |  |      | -0.2 | 
|                                              |                                  |      |        |       |  |      |       |       |  |  |      |     
|Actual income tax (benefit) expense           |                                  |      | -169.9 |       |  |      | -19.5 |       |  |  | 40.6 |     
|                                              |                                  |      |        |       |  |      |       |       |  |  |      |     

The expected weighted average tax rates for Converium Group were 33.6%, 23.9%
and 38.3% in 2001, 2000 and 1999, respectively. These rates were derived by
obtaining a weighted average of the expected statutory income tax in relation
to the income generated in the various territories in which Converium Group
operates. Converium Groups future effective tax rate will depend largely on
its tax strategies as a separate, independent company. Non-taxable reinsurance
contract income results principally from the difference in financial statement
versus US federal income tax treatment of certain intercompany reinsurance
contracts.

Deferred income taxes are provided for all temporary differences, which are
based on the difference between financial statement carrying amounts and the
income tax bases of assets and liabilities. The income tax base of an asset or
liability is calculated in accordance with the rules for determining taxable
income established by the local taxation authorities. For a particular asset or
liability, this may result in a deferred tax asset in one country but a
deferred tax liability in another as reflected in Table 11.3.

Table 11.3
Deferred income taxes
(US$ million)

|                                                               |                                        |      |        |       |  |  |        |       | 
|-------------------------------------------------------------- | -------------------------------------- | ---- | ------ | ----- |  |  | ------ | ----- | 
|December 31                                                    |                                        | 2001 |        | 2000 
|                                                               |                                        |      |        |      
|Deferred income tax assets                                     |                                        |      |        |       |  |  |        |      
|                                                               | Loss reserve discount                  |      |        | 109.1 |  |  |        | 106.7 | 
|                                                               | Unearned premium reserve deduction     |      |        | 23.6  |  |  |        | 26.8  | 
|                                                               | Accruals not currently deductible      |      |        | 30.5  |  |  |        | 23.8  | 
|                                                               | Impairment of equity securities        |      |        | 8.6   |  |  |        |      | 
|                                                               | Partnership loss                       |      |        | 11.7  |  |  |        | 0.8   | 
|                                                               | Loss carryforwards                     |      |        | 108.3 |  |  |        | 18.1  | 
|                                                               | Other                                  |      |        | 11.8  |  |  |        | 7.1   | 
|                                                               |                                        |      |        |       |  |  |        |      
|Total deferred income tax assets                               |                                        |      | 303.6  |       |  |  | 183.3  |      
|                                                               |                                        |      |        |       |  |  |        |      
|Valuation allowance                                            |                                        |      | -3.2   |       |  |  | -18.1  |      
|                                                               |                                        |      |        |       |  |  |        |      
|Net deferred income tax assets                                 |                                        |      | 300.4  |       |  |  | 165.2  |      
|                                                               |                                        |      |        |       |  |  |        |      
|Deferred income tax liabilities                                |                                        |      |        |       |  |  |        |      
|                                                               | Loss reserve discount                  |      |        | -37.7 |  |  |        | -42.5 | 
|                                                               | Deferred policy acquisition costs      |      |        | -54.2 |  |  |        | -65.0 | 
|                                                               | Unrealized appreciation of investments |      |        | -14.4 |  |  |        | -12.1 | 
|                                                               | Reinsurance contracts                  |      |        |      |  |  |        | -41.7 | 
|                                                               | Investments                            |      |        |      |  |  |        | -4.8  | 
|                                                               | Other                                  |      |        | -0.2  |  |  |        | -9.1  | 
|                                                               |                                        |      |        |       |  |  |        |      
|Total deferred income tax liabilities                          |                                        |      | -106.5 |       |  |  | -175.2 |      
|                                                               |                                        |      |        |       |  |  |        |      
|Net deferred income tax assets                                 |                                        |      | 300.4  |       |  |  | 165.2  |      
|                                                               |                                        |      |        |       |  |  |        |      
|Net
deferred income tax assets (liabilities) as of December 31 |                                        |      | 193.9  |       |  |  | -10.0  |      
|                                                               |                                        |      |        |       |  |  |        |      

The current income tax receivable (payable) as of December 31, 2001 and 2000
was US$ 4.8 million and US$ (14.9) million, respectively.

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##### Table of Contents



Converium Group
Notes to the consolidated and historical combined financial statements (continued)

Converium Reinsurance (North America) Inc. historically filed a consolidated US
tax return with other subsidiaries and affiliates of Zurich Financial Services.
The method of tax allocation between companies was based on an intercompany tax
allocation agreement, and taxes were allocated to each of the companies in the
US consolidated tax group on a separate company tax return basis. As of
December 31, 2000, Converium Reinsurance (North America) Inc.s current income
tax payable of US$ 11.9 million was due under this tax allocation agreement.

In connection with the Master Agreement, the tax allocation agreement was
terminated and amended (the Amended Tax Agreement). Converium Reinsurance
(North America) Inc. paid US$ 54.9 million to settle all costs, net of
payments, through the date of the Transactions under the Amended Tax Agreement
according to its terms. Such settlements will be trued-up at the time the
tax returns for 2000 and 2001 are filed. Further, certain affiliates of Zurich
Financial Services will indemnify (and Zurich Financial Services will
guarantee the performance of such affiliates) certain parties, including
Converium Reinsurance (North America) Inc., for any US income tax liabilities
arising out of the Transactions and prior restructurings and certain other
potential liabilities.

As of December 31, 2001, subsidiaries of Converium Group had total net
operating loss carryforwards of US$ 327.0 million available (subject to
various statutory restrictions) for use in future tax returns, the majority of
which will expire in 2021. A valuation allowance has been recorded related to
certain income tax loss carryforwards in Switzerland.




12.    Employee benefits

Prior to the Separation Date, employees of Converium Group participated in
various pension plans of Zurich Financial Services or its affiliates. After the
Separation Date, Converium Group has established a number of independent
benefit plans for its employees. Converium Group will honor the term of an
employees service with Zurich Financial Services for the purposes of
determining benefits under these new plans.

During 2001 some employees belonged to defined benefit plans. Other employees
participate in defined contribution plans, providing benefits equal solely to
contributions paid plus investment returns.

Personnel costs incurred for 2001, 2000 and 1999 were US$ 104.8 million, US$
72.2 million and US$ 73.6 million, respectively.

(a)    Defined benefit pension plans

Employees of certain of Converium Groups entities are covered under various
defined benefit pension plans. Eligibility for participation in these various
plans is either based on completion of a specified period of continuous
service or date of hire. Benefits are generally based on the employees years
of credited service and average compensation in the years preceding
retirement. Annual funding requirements are determined based on actuarial cost
methods.

The transition obligation (asset) for some entities was determined as of
January 1, 1998, the date of SFAS 87 adoption, due to the unavailability of
prior actuarial data. The transition obligation (asset) is being amortized
over the greater of either fifteen years or the service period of the
employees on a straight-line basis.

Table 12.1
Weighted average

|                                            |  |      |      |      |  |      |      |   |  |  |      |  
|------------------------------------------- |  | ---- | ---- | ---- |  | ---- | ---- | - |  |  | ---- | -
|                                            |  | 2001 |      | 2000 |  | 1999
|                                            |  |      |      |      |  |     
|Discount rate                               |  |      | 4.30 | %    |  |      | 4.39 | % |  |  | 4.36 | %
|Expected long-term rate of return on assets |  |      | 5.25 | %    |  |      | 5.25 | % |  |  | 5.25 | %
|Future salary increases                     |  |      | 2.57 | %    |  |      | 2.65 | % |  |  | 2.59 | %
|Future pension increases                    |  |      | 1.36 | %    |  |      | 1.37 | % |  |  | 1.39 | %

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##### Table of Contents



Converium Group
Notes to the consolidated and historical combined financial statements (continued)

Table 12.2
(US$ million)

|                                               |  |      |       |      |  |      |      |  |  |  |       | 
|---------------------------------------------- |  | ---- | ----- | ---- |  | ---- | ---- |  |  |  | ----- | 
|                                               |  | 2001 |       | 2000 |  | 1999
|                                               |  |      |       |      |  |     
|Projected benefit obligation                   |  |      |       |      |  |      |      |  |  |  |       | 
|Projected benefit obligation as of January 1   |  |      | 42.4  |      |  |      | 41.7 |  |  |  | 45.1  | 
|Service cost                                   |  |      | 2.9   |      |  |      | 2.7  |  |  |  | 2.6   | 
|Interest cost                                  |  |      | 1.8   |      |  |      | 1.7  |  |  |  | 1.8   | 
|Plan amendments                                |  |      | -1.6  |      |  |      |     |  |  |  |      | 
|Actuarial (gains) losses                       |  |      | -0.2  |      |  |      | -2.4 |  |  |  | 0.6   | 
|Foreign currency translation effects           |  |      | -1.4  |      |  |      | 0.7  |  |  |  | -6.3  | 
|Benefits paid                                  |  |      | -0.3  |      |  |      | -2.0 |  |  |  | -2.1  | 
|                                               |  |      |       |      |  |      |      |  |  |  |       | 
|Projected benefit obligation as of December 31 |  |      | 43.6  |      |  |      | 42.4 |  |  |  | 41.7  | 
|                                               |  |      |       |      |  |      |      |  |  |  |       | 
|Fair value of plan assets                      |  |      |       |      |  |      |      |  |  |  |       | 
|Fair value of plan assets as of January 1      |  |      | 32.5  |      |  |      | 30.0 |  |  |  | 31.4  | 
|Actual return on plan assets                   |  |      | -1.7  |      |  |      | 1.5  |  |  |  | 1.5   | 
|Employee contributions                         |  |      | 1.1   |      |  |      | 1.0  |  |  |  | 0.8   | 
|Employer contributions                         |  |      | 2.6   |      |  |      | 2.2  |  |  |  | 2.9   | 
|Net transfer adjustment from the Transactions  |  |      | -9.5  |      |  |      |     |  |  |  |       | 
|Foreign currency translation effects           |  |      | -1.1  |      |  |      | -0.2 |  |  |  | -4.5  | 
|Benefits paid                                  |  |      | -0.3  |      |  |      | -2.0 |  |  |  | -2.1  | 
|                                               |  |      |       |      |  |      |      |  |  |  |       | 
|Fair value of plan assets as of December 31    |  |      | 23.6  |      |  |      | 32.5 |  |  |  | 30.0  | 
|                                               |  |      |       |      |  |      |      |  |  |  |       | 
|Funded status                                  |  |      |       |      |  |      |      |  |  |  |       | 
|Funded status                                  |  |      | -20.0 |      |  |      | -9.9 |  |  |  | -11.7 | 
|Unrecognized transition obligation             |  |      | 1.0   |      |  |      | 1.5  |  |  |  | 2.0   | 
|Unrecognized net actuarial (gains) losses      |  |      | 2.0   |      |  |      | -1.3 |  |  |  | 0.3   | 
|Unrecognized prior service cost                |  |      | -1.6  |      |  |      |     |  |  |  |      | 
|                                               |  |      |       |      |  |      |      |  |  |  |       | 
|Accrued benefit liability                      |  |      | -18.6 |      |  |      | -9.7 |  |  |  | -9.4  | 
|                                               |  |      |       |      |  |      |      |  |  |  |       | 
|Amounts recognized in the balance sheet        |  |      |       |      |  |      |      |  |  |  |       | 
|Accrued benefit liability                      |  |      | -18.6 |      |  |      | -9.7 |  |  |  | -9.4  | 

Table 12.3
Net periodic benefit expense
For the years ended December 31
(US$ million)

|                                      |  |      |      |      |  |      |      |  |  |  |      | 
|------------------------------------- |  | ---- | ---- | ---- |  | ---- | ---- |  |  |  | ---- | 
|                                      |  | 2001 |      | 2000 |  | 1999
|                                      |  |      |      |      |  |     
|Service cost                          |  |      | 2.9  |      |  |      | 2.7  |  |  |  | 2.6  | 
|Interest cost                         |  |      | 1.8  |      |  |      | 1.7  |  |  |  | 1.8  | 
|Expected return on plan assets        |  |      | -1.7 |      |  |      | -1.0 |  |  |  | -1.5 | 
|Employee contributions                |  |      | -1.1 |      |  |      | -1.0 |  |  |  | -0.8 | 
|Amortization of transition obligation |  |      | 0.5  |      |  |      | 0.5  |  |  |  | 0.6  | 
|                                      |  |      |      |      |  |      |      |  |  |  |      | 
|Net periodic benefit expense          |  |      | 2.4  |      |  |      | 2.9  |  |  |  | 2.7  | 
|                                      |  |      |      |      |  |      |      |  |  |  |      | 

Table 12.4
Accrued pension liability
(US$ million)

|                                              |  |                    |       |      |  |      |      |  |  |  |       | 
|--------------------------------------------- |  | ------------------ | ----- | ---- |  | ---- | ---- |  |  |  | ----- | 
|                                              |  | As of December 31,
|                                              |  |                   
|                                              |  | 2001               |       | 2000 |  | 1999
|                                              |  |                    |       |      |  |     
|Balance at January 1                          |  |                    | -9.7  |      |  |      | -9.4 |  |  |  | -11.1 | 
|Current year expense                          |  |                    | -2.4  |      |  |      | -2.9 |  |  |  | -2.7  | 
|Contributions paid                            |  |                    | 2.6   |      |  |      | 2.2  |  |  |  | 2.9   | 
|Net transfer adjustment from the Transactions |  |                    | -9.5  |      |  |      |     |  |  |  |      | 
|Foreign currency translation effects          |  |                    | 0.4   |      |  |      | 0.4  |  |  |  | 1.5   | 
|                                              |  |                    |       |      |  |      |      |  |  |  |       | 
|Balance at December 31                        |  |                    | -18.6 |      |  |      | -9.7 |  |  |  | -9.4  | 
|                                              |  |                    |       |      |  |      |      |  |  |  |       | 

As part of the finalization of the Transactions in respect of employee
benefits, there was a transfer of pension fund assets and benefit obligations
from the Zurich Financial Services pension funds to the pension fund of
Converium Ltd. Under US GAAP, the net impact of this transfer resulted in an
increase in the liabilities of Converium Ltd to its pension fund and a
corresponding reduction of equity of US$ 9.5 million. Zurich Financial
Services administered the benefit plan to cover the existing Converium Ltd
participants through December 31, 2001.

As of January 1, 2002, Swiss employees of Converium Ltd are covered under a new
pension plan, whereby both the employees and employer provide contributions
based on salary, as defined in the plan, and retirement benefits are based on
accumulated retirement savings capital and age at retirement. The new plan
guarantees the retirement benefits which employees were entitled under the
former Zurich Financial Services pension plan as of December 31, 2001 and
transfers the termination benefits of the former plan into the pension plan of
Converium Ltd.

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##### Table of Contents



Converium Group
Notes to the consolidated and historical combined financial statements (continued)

(b)    Defined contribution pension plans

Converium Reinsurance (North America) Inc. sponsors various qualified defined
contribution plans. Substantially all employees of Converium Reinsurance
(North America) Inc. are eligible for participation in these plans. The plans
provide for voluntary contributions by employees which typically range from 0%
to 15% of annual salaries. Contributions by the employer are typically another
10% (matching or otherwise). In addition, various supplemental, non-qualified
deferred compensation plans allow members of management to defer certain
amounts of compensation and receive specified contributions. Converium
Reinsurance (North America) Inc.s contributions under these plans amounted to
US$ 2.4 million, US$ 1.8 million and US$ 1.7 million in 2001, 2000 and 1999,
respectively.




13.    Share compensation and incentive plans

Converium Group has various incentive and share-based compensation plans to
attract, retain and motivate management and employees, to reward them for their
contributions to the performance of Converium Group and encourage employee
share ownership. Share-based compensation plans include all plans under which
shares or options to purchase shares are awarded. The grant of shares and
options to purchase shares in Converium Holding Ltd is at the discretion of the
Remuneration Committee of the Board of Directors.

(a)    Cash-based incentive plans

Various Converium Group entities operate short-term incentive programs for
executives, management and in some cases employees. Awards are made in cash
based on the accomplishment of both organizational and individual performance
objectives. The compensation expense incurred in 2001, 2000 and 1999 in
connection with these plans was US$ 16.4 million, US$ 7.8 million and US$ 10.1
million, respectively.

(b)    Converium Group share-based plans

Share plan

Converium Group adopted a share plan (the Share Plan) for selected
executives. Generally, the size of a participants award is based on their
level of responsibility and position, market conditions and the extent of the
executives prior participation in other Converium Group plans. Under the Share
Plan, 20,863 shares were awarded to executives in 2001. These shares vest in
their entirety on December 11, 2007, and are subject to acceleration after
December 11, 2004 based on the achievement of certain performance objectives.

Retention awards and IPO share grant

In conjunction with the Transactions, Converium Group granted retention awards
to certain employees in the form of 357,902 shares in Converium Holding Ltd
that vest pro rata on December 11, 2002 and December 11, 2003. Employees other
than those who were granted retention awards received, in conjunction with the
Transactions, 118,383 shares in Converium Holding Ltd that vest pro rata on
December 11, 2002 and December 11, 2003.

Stock option plan

Converium Group adopted a stock option plan (the Stock Option Plan) and
certain employees were awarded options to purchase shares in Converium Holding
Ltd. Under the Stock Option Plan, 310,233 options to purchase shares in
Converium Holding Ltd were awarded in 2001. The options were issued with an
exercise price of CHF 82.00 per ordinary share, or US$ 24.59 per American
Depository Share (ADS). The exercise prices were equal to the market value
of the shares or ADSs on the grant date. Of the options awarded under the
Stock Option Plan, 25% vested immediately on the grant date of December 11,
2001, and 25% will vest each year thereafter. The options expire 10.5 years
after the date of grant.

Executive IPO option plan

In connection with the Transactions, Converium Group granted certain
executives options to purchase shares in Converium Holding Ltd (the Executive
IPO Option Plan). Under the Executive IPO Option Plan, 420,000 options to
purchase shares in Converium Holding Ltd were awarded in 2001. The options
were issued with an exercise price of CHF 82.00 per ordinary share, or US$
24.59 per ADS, which exercise prices were equal to the market value of the
shares or ADSs on the grant date. Of the options awarded under the Executive
IPO Option Plan, 25% vested immediately on the grant date of December 11,
2001, and 25% will vest each year thereafter. The options expire 10.5 years
after the date of grant.

The fair value of options granted was estimated on the date of grant using the
Black-Scholes option pricing model with the following weighted average
assumptions used for grants in 2001: risk-free rate of 3.21%, expected lives
of three years, expected volatility of 32.67% and a dividend yield of 0.8%. The
weighted average fair value of Converium Group stock options granted for the
year ended December 31, 2001 was US$ 12.08.

Table 13.1 summarizes the status of Converium Groups outstanding stock
options for the Stock Option Plan and Executive IPO Option Plan. All options
were granted on December 11, 2001 and none were exercised or forfeited.

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Converium Group
Notes to the consolidated and historical combined financial statements (continued)

Table 13.1

|                                   |  |             |         |             |  |  |         | 
|---------------------------------- |  | ----------- | ------- | ----------- |  |  | ------- | 
|                                   |  | Outstanding |         | Exercisable
|                                   |  |             |         |            
|Number of options                  |  |             | 730,233 |             |  |  | 182,558 | 
|Exercise price (CHF)               |  |             | 82.00   |             |  |  | 82.00   | 
|Remaining contractual life (years) |  |             | 10.5    |             |  |  | 10.5    | 

(c)    Zurich Financial Services share-based plans

Prior to the Transactions, employees of Converium Group participated in
various share compensation and incentive plans of Zurich Financial Services.
After the Transactions, Converium Group established a number of independent
share-based plans for its employees and certain Zurich Financial Services
share-based plans were converted into Converium Group shares and options.

Employee performance share plan

At Converium Ltd, substantially all employees participated in a performance
share plan, which provided cash and/or sales-restricted awards of Zurich
Financial Services shares in connection with specific performance
achievements. In 2000 and 1999, 1,804 and 1,600 Zurich Financial Services
shares were awarded under the employee performance share plan.

Long-term performance share plans

Certain Converium Group employees participated in long-term incentive plans
operated by Zurich Financial Services. Each principal plan had a three-year
performance cycle with a new cycle beginning each year. Specific performance
parameters were established for each business unit. The number of shares
awarded at the end of the performance period was determined in relation to the
annual salary at the beginning of the performance period. In 2000 and 1999,
765 and 799 Zurich Financial Services shares were awarded under the long-term
performance share plan.

The outstanding share awards to Converium Group employees under the 2000 and
1999 Zurich Financial Services long-term performance share plans were
converted into 207,602 shares of Converium Holding Ltd, of which 91,887 shares
vest on December 11, 2002, and 115,715 shares vest on December 11, 2003.

Share option plans

Under the Global Share Option Plan, certain executives were awarded options
annually to purchase shares in Zurich Financial Services, the number of
options being determined such that their economic value was a percentage of
annual salary as of January 1, in the year of grant. The exercise price of the
shares was set at 110% of the average market value of the Zurich Financial
Services shares during the month prior to the grant date. In 2000 and 1999,
4,770 and 2,789 options on Zurich Financial Services shares were awarded under
the Global Share Option Plan, and nil and 217 options were forfeited under the
plan.

The outstanding options to purchase shares in Zurich Financial Services will
be converted into options to purchase shares in Converium Holding Ltd. The
expiration and term of the Converium Holding Ltd options will be the same as
the options from which they were converted. Options which were originally
granted in 1999 vest on January 31, 2002 and will expire on January 31, 2006.
Options which were originally granted in 2000 will vest on January 31, 2003
and will expire on January 31, 2007.

(d)    Compensation expense

The compensation expense charged to income under both the Converium Group and
Zurich Financial Services share and share option plans was US$ 11.0 million,
US$ 0.8 million and US$ 8.2 million in 2001, 2000 and 1999, respectively.




14.    Shareholders equity

(a)    Issued share capital

Upon incorporation on June 19, 2001, Converium Holding Ltd had share capital
of CHF 100,000 divided into 10,000 fully paid registered shares with a nominal
value of CHF 10 each, all of which were entitled to receive dividends. On
September 24, 2001, the extraordinary general meeting of the shareholders
passed two resolutions to increase the ordinary share capital to CHF 400
million, divided into 40 million fully paid registered shares with a nominal
value of CHF 10 each, all of which are entitled to receive dividends.

(b)    Conditional share capital

Pursuant to Converium Holding Ltds Articles of Incorporation, share capital
can be increased by the issuance of a maximum of 4 million fully paid
registered shares of CHF 10 nominal value each, amounting to a maximum of CHF

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Converium Group
Notes to the consolidated and historical combined financial statements (continued)

40 million, through the exercise of option or conversion rights which will be
granted to the members of the Board of Directors and to employees.

(c)    Dividend restrictions and capital and solvency requirements

Converium Holding Ltd is subject to legal restrictions on the amount of
dividends it may pay to its shareholders under the Swiss Code of Obligations.
The Swiss Code of Obligations provides that 5% of the annual profit must be
allocated to the general reserve until such reserve in the aggregate has
reached 20% of the paid-in share capital. Similarly, the company laws of
countries in which Converium Group entities operate may restrict the amount of
dividends payable by such entities to their parent companies.

Other than by operation of the restrictions mentioned above, the ability of
Converium Group entities to pay dividends may be restricted or, while dividend
payments per se may be legally permitted, may be indirectly influenced by
minimum capital and solvency requirements that are imposed by insurance, bank
and other regulators in the countries in which the entities operate as well as
by other limitations existing in certain of these countries (e.g. foreign
exchange control restrictions).

In Switzerland, insurance supervisory regulations require entities to fund
their statutory reserves at a minimum level of 20% of net profits until the
statutory reserve fund reaches an amount equal to 50% of the statutory share
capital, including freely disposable reserves, if any. In the United States,
restrictions on payment of dividends are imposed by the Insurance Commissioner
of the state of domicile. For Converium Reinsurance (North America) Inc.,
dividends are payable only from earned surplus and are limited annually to the
greater of 10% of the previous years policyholders surplus or 100% of the
previous years statutory net income. Dividends paid in excess of these
limitations require prior approval of the Insurance Commissioner of the state
of domicile. In addition, Converium Reinsurance (North America) Inc. may not,
for a period of two years from the date of change in control, make any dividend
to its shareholders without the prior approval of the Connecticut Commissioner.
In Germany, the minimum amount of statutory capital required is 10% of the
nominal value of the common stock. If the 10% criterion is met, dividends of
100% of current year surplus can be paid. If the 10% criterion is not met,
dividends are limited to a maximum of 95% of current year surplus less the
prior year loss carryover. Under German law, an entitys supervisory board has
the authority to reclassify up to 100% of the current year surplus to retained
earnings, thereby not allowing dividends to be calculated on this amount. As a
result of these restrictions, neither Converium Reinsurance (North America)
Inc. nor Converium Rückversicherung (Deutschland) AG are able to pay dividends
to Converium Ltd in 2002. However, Converium Ltd may pay a maximum dividend,
net of withholding tax, to Converium Holding Ltd without regulatory approval
of approximately US$ 256.0 million as of December 31, 2001. The maximum
dividend that Converium Holding Ltd is able to pay in 2002, before withholding
tax, is approximately US$ 273.0 million as of December 31, 2001.

Statutory capital and surplus for Converium Ltd was US$ 1.5 billion at
December 31, 2001. This amount includes its holdings in Converium Reinsurance
(North America) Inc. and Converium Rückversicherung (Deutschland) AG, which
had aggregate statutory capital and surplus of US$ 646.2 million at December
31, 2001, computed under local statutory accounting principles. As of December
31, 2001, Converium Groups entities were in compliance with all applicable
regulatory capital adequacy requirements.




15.    Transactions with Zurich Financial Services

Converium Group has entered into various transactions with Zurich Financial
Services and its subsidiaries, including various insurance and cost-sharing
arrangements, the most significant of which are described below.

Certain business being retained by ZIC and ZIB pursuant to the Quota Share
Retrocession Agreement, as described in Note 9, will be subject to a Run-off
Management and Services Agreement between ZIC, ZIB and Converium Group.
Converium Group will receive commercially customary fees in exchange for the
services it renders under this agreement, which include technical accounting,
claims handling, actuarial support and access to certain infrastructure.

Some of Converium Groups information technology applications are operated by
service centers of Zurich Financial Services. Converium Group uses select
information technology applications of Zurich Financial Services based on a
service level agreement.

Predominately all of Converium Groups investments are managed by affiliates of
Zurich Financial Services. Converium Group has entered into investment
management agreements with these managers whereby the investment managers
manage Converium Groups portfolio of investment securities in return for fees
based on the average total market value of the assets under management, as well
as investment performance if the related funds return exceeds
targeted benchmarks. Fees related to these investment management services were
US$ 4.1 million, US$ 4.7 million and US$ 5.1 million for 2001, 2000 and 1999,
respectively.

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Converium Group
Notes to the consolidated and historical combined financial statements (continued)

Converium Group utilizes Zurich Financial Services affiliates as fronting
vehicles. For example, Zurich American Insurance Company fronts Converium
Group for the USAIG aviation pool. Eagle Star Insurance Company Limited fronts
Converium Group for the Global Aerospace Underwriting Managers Pool.
Additionally, beginning in 2001, Zurich Specialties London Ltd, fronts
Converium Group for the SATEC space pool. Gross assumed premiums under these
transactions were US$ 44.0 million, US$ 35.8 million and US$ 27.3 million for
2001, 2000 and 1999, respectively.

During 2000, Converium Group entered into a significant modified life
coinsurance agreement to assume certain assets and liabilities of Zurich
International, Bermuda Branch. The quota share on these deposits and deposit
liabilities totaled US$ 430.3 million and US$ 410.3 million each as of
December 31, 2001 and 2000 and are presented net on the balance sheet. The
contract can be cancelled and withdrawn after five years.

In December 2000, Zurich Financial Services temporarily advanced US$ 233.4
million to Converium Group as part of the normal cash management activities
within the treasury function. This amount was repaid in January 2001.

Converium Reinsurance (North America) Inc. and Converium Zurich had an
intra-Converium aggregate excess of loss reinsurance agreement in place since
July 1, 1997 (1997 Aggregate Excess of Loss Agreement). This agreement
provided protection to Converium Reinsurance (North America) Inc. for losses
that exceeded a net retention after amounts recoverable from its outside
retrocessionaires. Because the 1997 Aggregate Excess of Loss Agreement
pre-dated the Transactions, ZIC was the formal counterparty to Converium
Reinsurance (North America) Inc. In October 2001, the 1997 Aggregate Excess of
Loss Agreement was amended as follows:



| |  | Converium Reinsurance (North America) Inc.s coverage for net losses of
US$ 320.4 million with respect to all Amerisafe business retroceded to
the Unicover Pool remains in effect, with ZIC as counterparty,
|- |  | -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
| 
| |  | Converium Reinsurance (North America) Inc.s coverage for net losses of
US$ 307.5 million from the September 11 terrorist attacks that exceed US$
58.2 million remains in effect, with ZIC as counterparty,  
| 
| |  | The remainder of the coverage under the agreement is commuted.                                                                                                                                               

Converium Group has a limited partnership interest in Insurance Partners,
L.P., a Delaware limited partnership (Insurance Partners), and a limited
partnership interest in Capital Z Financial Services Fund II, L.P., a Bermuda
limited partnership (Capital Z). As of December 31, 2001 and 2000, Converium
Groups investments in Insurance Partners and Capital Z had a carrying value
of US$ 25.8 million and US$ 37.4 million, respectively. As of December 31,
2001, Converium Group has a remaining commitment to Capital Z of US$ 9.2
million.

During July 1999, Converium Group issued a US$ 31.0 million principal amount
non-convertible, unsecured, unsubordinated note receivable (the Note
Receivable due 2000) to ZIC. The Note Receivable due 2000 principal amount,
together with accrued interest, was repaid on January 19, 2000.

The amounts assumed (ceded) by Converium Group to Zurich Financial Services
during 2001, 2000 and 1999 were as follows:

Table 15.1
Transactions with Zurich Financial Services
(US$ million)

|                                                          |  |      |       |      |  |      |      |  |  |  |       | 
|--------------------------------------------------------- |  | ---- | ----- | ---- |  | ---- | ---- |  |  |  | ----- | 
|Consolidated and historical combined statements of income |  |      |       |      |  |      |      |  |  |  |       | 
|for the years ended December 31                           |  | 2001 |       | 2000 |  | 1999
|                                                          |  |      |       |      |  |     
|Net premiums earned                                       |  |      | -9.9  |      |  |      | -2.1 |  |  |  | 56.8  | 
|Losses and loss adjustment expenses                       |  |      | 7.0   |      |  |      | 56.6 |  |  |  | -74.2 | 
|Life benefits and policyholder dividends                  |  |      | -0.6  |      |  |      | -6.4 |  |  |  | 1.9   | 
|Underwriting acquisition costs                            |  |      | -14.4 |      |  |      | 1.5  |  |  |  | -12.4 | 

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Converium Group
Notes to the consolidated and historical combined financial statements (continued)

|                                                    |  |      |       |      |  |  |       | 
|--------------------------------------------------- |  | ---- | ----- | ---- |  |  | ----- | 
|Consolidated and historical combined balance sheets |  |      |       |      |  |  |       | 
|as of December 31                                   |  | 2001 |       | 2000
|                                                    |  |      |       |     
|Premiums receivable                                 |  |      | 12.5  |      |  |  | 25.3  | 
|Reinsurance assets                                  |  |      | 182.9 |      |  |  | 425.2 | 
|Losses and loss adjustment expenses, gross          |  |      | 362.0 |      |  |  | 200.5 | 
|Unearned premiums, gross                            |  |      | 64.8  |      |  |  | 50.3  | 
|Future life benefits, gross                         |  |      | 9.3   |      |  |  | 14.8  | 
|Funds held under reinsurance contracts              |  |      | 4.0   |      |  |  | 298.5 | 

See Notes 3, 6, 8, 9, 11, 12, 13, 16, 17 and 19 for other transactions with
Zurich Financial Services.




16.    Related party transactions

There were no unpaid loans, including guarantee commitments, granted to the
Converium Group directors and members of the Converium Group Executive
Committee as of December 31, 2001.

In May 2000, Converium Group entered into a strategic alliance with the Medical
Defence Union that resulted in a 49.9% participation in MDU Services Ltd. MDU
Services Ltd. distributes medical malpractice insurance policies to the members
of the Medical Defence Union. These insurance policies are issued by Zurich
Financial Services (UKISA), London, and are 100% reinsured by Converium Group.
Gross assumed premiums under this transaction were US$ 57.0 million and US$
30.2 million for 2001 and 2000, respectively.

Converium Group owns 9.67% of PSP Swiss Property AG, which manages real
estate held for investment by Converium Group.




17.    Supplement cash flow disclosures

Significant non-cash financing activity included a net transfer to Zurich
Financial Services of US$ 94.0 million in 2000, which decreased the balance
sheet accounts Zurich Financing Agreement and Net investment by Zurich
Financial Services.

Table 17.1
(US$ million)

|                             |  |      |       |      |  |      |       |  |  |  |       | 
|---------------------------- |  | ---- | ----- | ---- |  | ---- | ----- |  |  |  | ----- | 
|                             |  | 2001 |       | 2000 |  | 1999
|                             |  |      |       |      |  |     
|Income taxes (paid) refunded |  |      | -46.4 |      |  |      | -46.7 |  |  |  | 54.9  | 
|Interest expense paid        |  |      | -22.1 |      |  |      | -17.1 |  |  |  | -17.5 | 




18.    Fair value of financial instruments

The methods and assumptions used by Converium Group in estimating the fair
value of financial instruments are:



| |  | 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.                                                                                                                                                                                                                 
| 
| |  | Zurich Financing Agreement and Funds Withheld Asset: carrying values of
the Zurich Financing Agreement and the Funds Withheld Asset approximate
fair value.                                                                                                                       
| 
| |  | Other investments, for which quoted market prices are not readily
available, are not fair valued and are not significant to Converium
Group.                                                                                                                                      
| 
| |  | Cash and short-term investments: carrying amounts approximate fair values.                                                                                                                                                                                                        
| 
| |  | Debt: fair values are generally based upon quoted market prices.                                                                                                                                                                                                                  

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Converium Group
Notes to the consolidated and historical combined financial statements (continued)

Table 18.1lists the estimated fair values and carrying values of Converium
Groups financial instruments as of December 31, 2001 and 2000.

Table 18.1
Fair value of financial instruments
(US$ million)

|                                                 |  |       |         |          |  |       |         |          |  |  |         |  |  |  |         | 
|------------------------------------------------ |  | ----- | ------- | -------- |  | ----- | ------- | -------- |  |  | ------- |  |  |  | ------- | 
|                                                 |  | Total |         | Total    |  | Total |         | Total   
|                                                 |  | fair  |         | carrying |  | fair  |         | carrying
|                                                 |  | value |         | value    |  | value |         | value   
|                                                 |  | 2001  |         | 2001     |  | 2000  |         | 2000    
|                                                 |  |       |         |          |  |       |         |         
|Fixed maturities                                 |  |       | 2,331.4 |          |  |       | 2,331.4 |          |  |  | 2,236.2 |  |  |  | 2,236.2 | 
|Equity securities                                |  |       | 701.4   |          |  |       | 701.4   |          |  |  | 611.0   |  |  |  | 611.0   | 
|Other investments                                |  |       | 51.8    |          |  |       | 51.8    |          |  |  | 52.2    |  |  |  | 52.2    | 
|Short-term investments                           |  |       | 89.5    |          |  |       | 89.5    |          |  |  | 115.1   |  |  |  | 115.1   | 
|Funds Withheld Asset/
Zurich Financing Agreement |  |       | 1,598.5 |          |  |       | 1,598.5 |          |  |  | 1,335.2 |  |  |  | 1,335.2 | 
|Cash and cash equivalents                        |  |       | 420.5   |          |  |       | 420.5   |          |  |  | 121.9   |  |  |  | 121.9   | 
|Debt                                             |  |       | -194.1  |          |  |       | -197.0  |          |  |  | -185.2  |  |  |  | -196.9  | 




19.    Commitments and contingencies

Converium Group has provided guarantees or commitments to external parties.
These arrangements include commitments under certain conditions to make
capital contributions, or provide equity financing. Converium Groups
guarantees were US$ 150.0 million as of December 31, 2001. Converium knows of
no event that would require it to satisfy these guaranties.

To secure certain assumed reinsurance contracts, irrevocable letters of credit
of US$ 277.5 million were outstanding at December 31, 2001. A parental
guarantee of US$ 120.0 million has been issued related to certain of these
letters of credit.

Converium Group has entered into various operating leases as lessee for office
space and certain computer and other equipment. Rental expenses for these
items totaled US$ 10.8 million, US$ 10.3 million and US$ 7.5 million for the
years ending December 31, 2001, 2000 and 1999, respectively.

Table 19.1lists minimum future payments under operating leases with terms in
excess of one year.

Table 19.1
Minimum future payments under operating leases
(US$ million)

|                    |  |          |      | 
|------------------- |  | -------- | ---- | 
|                    |  | Rental  
|                    |  | payments
|                    |  |         
|2002                |  |          | 11.3 | 
|2003                |  |          | 11.1 | 
|2004                |  |          | 10.7 | 
|2005                |  |          | 10.6 | 
|2006                |  |          | 10.6 | 
|2007 and thereafter |  |          | 21.0 | 
|                    |  |          |      | 
|Total               |  |          | 75.3 | 
|                    |  |          |      | 

Converium Ltd leases office space from Zurich Financial Services. The lease
term is fixed until 2006, with two renewal options for three-year terms each.
The lease payments are fixed with annual rent escalations based on a cost of
living index. Converium Rückversicherung (Deutschland) AG leases office space
from Zurich Financial Services. The lease term is for a period of ten years,
with an option to renew for up to two additional ten-year terms. The lease
payments are fixed through 2003 with bi-annual rent escalations based on
changes in local real estate price indices.

Converium Reinsurance (North America) Inc. is party to a sublease agreement
dated January 1, 1994 as amended January 26, 1996 with ZC Resource LLC (ZC
Resource), a subsidiary of Zurich Financial Services. In connection with the
initial public offering of Converium Group, Converium Reinsurance (North
America) Inc. entered into a new sublease with ZC Resource signed July 13,
2001. The sublease has a term of approximately eleven years, ending in 2012.

The landlord has agreed to allow ZC Resource to continue to sublease office
space to Converium Reinsurance (North America) Inc. after the Transactions.
Accordingly, Converium Reinsurance (North America) Inc. will continue its
sublease from ZC Resource and will continue its rent guaranty for ZC Resource.
As part of the Transactions,
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Converium Group
Notes to the consolidated and historical combined financial statements (continued)

Converium Reinsurance (North America) Inc. entered into an agreement to
indemnify Global Asset Holdings Limited (GAHL) (an indirect parent of ZC
Resource and a co-guarantor of the prime lease) for losses under the prime
lease or the guaranty caused by Converium Reinsurance (North America) Inc.s
default under the sublease that results in a default under the prime lease;
GAHL, in turn, will indemnify Converium Reinsurance (North America) Inc. for
any losses under the guaranty caused by a default by ZC Resource under the
prime lease. CIC will guaranty the punctual payment of all amounts due by GAHL
under the guaranty and all expenses incurred by Converium Reinsurance (North
America) Inc. enforcing the guaranty.

Converium Holding Ltd and its subsidiaries are continuously involved in other
legal proceedings, claims and litigation arising, for the most part, in the
ordinary course of its business operations as a reinsurer. The outcome of such
current legal proceedings, claims and litigation could have a material effect
on operating results or cash flows when resolved in a future period. However,
in the opinion of management these matters are not material to Converium
Groups financial position, with the exception of the two matters described
below:

US Life Insurance Company arbitration

On November 29, 1999, US Life Insurance Company (US Life) initiated an
arbitration proceeding against Superior National Insurance Company (SNIC),
various of its affiliates which are the subject of conservancy by the
California Department of Insurance, ZC Insurance Company (ZCIC), now known
as Converium Insurance (North America) Inc., and CIC. US Life seeks to rescind
a multi-year quota share reinsurance contract effective May 1, 1998 on the
basis that SNIC or its affiliates made material misrepresentations and
omissions in procuring that contract. Inception-to-date amounts ceded to the
contract through December 31, 2001 are US$ 54.0 million premiums earned, US$
18.1 million commissions earned and US$ 75.9 million losses incurred. Based on
the limited information available to date, Converium Group is unable to
predict Converium Insurance (North America) Inc.s chances of prevailing in
this action.

Unicover litigation

In March 2000, Converium Reinsurance (North America) Inc. commenced
arbitration proceedings against members of the Unicover Occupational Accident
Reinsurance Pool (the Pool) relating to the Pools attempt to repudiate a
retrocessional agreement between Converium Reinsurance (North America) Inc.
and the Pool. At the end of March 2000, the Pool initiated a legal action in
the Supreme Court of the State of New York, County of New York (the New York
Court), seeking to stay the arbitration.

In September 2000, the New York Court issued a judgment staying the
arbitration by accepting the Pools position that Unicover Managers, Inc.
(Unicover Managers) was no longer authorized to act on the Pools behalf at
the assertedly relevant time. Converium Reinsurance (North America) Inc.
appealed the factual findings under this judgment.

Converium Reinsurance (North America) Inc.s position when the treaty was
written was, and still is, that the Pool members are bound under the
retrocessional contract. Converium Reinsurance (North America) Inc. believes
that the members of the Pool are in error, and thus initiated a litigation in
Washington State Court and an arbitration to be held in Dallas, Texas with a
view to: (1) compelling the Pool members to perform under the retrocessional
contract; or (2) in the alternative, seeking to unwind the Amerisafe
Interstate Insurance Company (Amerisafe)/Converium Reinsurance (North
America) Inc. leg of the transaction as these were integrated transactions; or
(3) to hold the reinsurance intermediary, Guy Carpenter & Company Inc. (Guy
Carpenter), and/or Unicover Managers responsible for any losses incurred by
Converium Reinsurance (North America) Inc.

Converium Reinsurance (North America) Inc. filed the litigation in a
Washington State Court in October 2000 against the Pool, Amerisafe, Unicover
Managers and Guy Carpenter. Amerisafe has since been dismissed from the
Washington action on personal jurisdictional grounds. The Texas arbitration
with Amerisafe was also initiated in October 2000. In March 2001, Amerisafe
commenced a related action against Converium Reinsurance (North America) Inc.,
Zurich Financial Services Group and Guy Carpenter in the US District Court for
the Western District of Louisiana.

In September 2001, the Appellate Division of the New York Court converted the
proceeding from one limited to the issue of arbitration into an action for
declaratory judgment and remanded the case for further proceedings. The
Appellate Division held that a review of the merits indicates that there are
issues of fact warranting a trial of the issue of enforceability of the
retrocessional agreement. Converium Reinsurance (North America) Inc. has moved
to dismiss this action based on the proceedings already commenced in
Washington state.

The potential financial exposure to Converium Reinsurance (North America) Inc.
is contingent upon the ultimate incurred ratio of the relevant portfolio and
the outcome of Converium Reinsurance (North America) Inc.s various
litigations and the arbitration mentioned above. Inception-to-date amounts
ceded to the Pool through December 31, 2001 that are related to the Amerisafe
treaty are as follows:

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##### Table of Contents



Converium Group
Notes to the consolidated and historical combined financial statements (continued)

|                   |  |  |       | 
|------------------ |  |  | ----- | 
|(US$ million)      |  |  |       | 
|Premiums earned    |  |  | 151.8 | 
|Commissions earned |  |  | 65.3  | 
|Losses incurred    |  |  | 384.2 | 

Based on the limited information available to date, Converium Group is unable
to predict Converium Reinsurance (North America) Inc.s chances of prevailing
in any of these actions. See Notes 9 and 15 regarding aggregate excess of loss
protection related to Unicover.




20.    Consolidated and historical combined entities

A list of operating entities and other important holdings, together with the
country of incorporation and Converium Groups ownership interest, is set out
below.

|                                            |  |               |  |             |      |  |  | 
|------------------------------------------- |  | ------------- |  | ----------- | ---- |  |  | 
|                                            |  | Country of    |  | % of equity
|Entity                                      |  | incorporation |  | shares held
|                                            |  |               |  |            
|Converium Rückversicherung (Deutschland) AG |  | Germany       |  |             | 98.6 | 
|Converium Holding Ltd                       |  | Switzerland   |  |             | 100  | 
|Converium Ltd                               |  | Switzerland   |  |             | 100  | 
|Converium Holdings (North America) Inc.     |  | US            |  |             | 100  | 
|Converium Reinsurance (North America) Inc.  |  | US            |  |             | 100  | 
|Converium Insurance (North America) Inc.    |  | US            |  |             | 100  | 




21.    Earnings per share

Earnings per share data is calculated based on 40 million registered shares of
Converium Holding Ltd issued and outstanding as of December 31, 2001 as though
these shares were outstanding for all periods presented. Diluted earnings per
share data is computed similar to basic earnings per share data except that
the weighted average shares outstanding is increased to include potential
common shares, such as shares from non-vested stock grants and the assumed
exercise of stock options, if dilutive. Potential common shares, which totaled
40,000 for 2001, are excluded from the computation of diluted earnings (loss)
per share as their inclusion would be anti-dilutive.

22.    Subsequent events (unaudited)

Certain claims are being asserted against Converium
Reinsurance (North America) Inc. (CRNA) and Converium
Insurance (North America) Inc. (CINA), along with Centre
Insurance Company (CIC) and certain of its affiliates by
various insurance companies in liquidation in the State of California
(Liquidating Companies), which companies previously were
subsidiaries of the Superior National Insurance Group
(SNIG). As of December 31, 2001, there was no formal
litigation pending between the Liquidating Companies and  CRNA and
CINA. The principal claims which had been asserted against CIC,
rather than against CRNA and CINA, consisted of oral statements to
the effect that certain transfers, including a transfer to CIC in
December 1999 of certain assets in the amounts of
US$ 163.4 million and US$ 22.3 million,
constituted voidable preferences and fraudulent conveyances. In
addition, as of December 31, 2001, a tolling agreement was in
place between, among others, CRNA and CINA, on the one hand, and the
Insurance Commissioner of the State of California, on his own behalf
and as Liquidator of the Liquidating Companies (the
Commissioner), on the other hand, with regard to the
referenced claims. That tolling agreement expired on January 16,
2002.

On January 16, 2002, the Commissioner filed a
complaint against CIC and affiliates, as well as CRNA and CINA on
behalf of the Liquidating Companies, in a proceeding in the Superior
Court of the State of California, County of Los Angeles. The
complaint alleges several counts, including voidable preferences and
fraudulent transfers, seeking the recovery of transfers totaling
$202.9 million, damages for breach of contract in the amount of
$59.8 million, additional damages in an amount to be proved at
trial, and punitive damages. The overwhelming bulk of the damages
sought appear to arise out of CIC transactions, not CRNA or CINA
transactions. CRNA and CINA moved to dismiss the complaint on
April 15, 2002, and intend to defend this litigation vigorously
and to assert various setoffs. As part of the Formation Transactions,
Zurich Financial Services has agreed to indemnify Converium for
liabilities arising out of or related to the assets not assumed by or
transferred to Converium in the separation from Zurich Financial
Services. Based on the limited information available to date,
Converium Group is unable to predict CRNAs and CINAs
chances of prevailing in this action.




Unicover litigation

The Seattle, Washington litigation and the New York
Supreme Court litigation among CRNA, the members of the Unicover
Occupational Accident Reinsurance Pool (the Pool), Guy
Carpenter & Company Inc. (Guy Carpenter) and
Cragwood Managers, LLC have been settled. Pursuant to the settlement,
CRNA has received and will receive reinsurance and indemnity payments
from the Pool and Guy Carpenter in respect of 81% of the
retrocessional obligations which CRNA contended were assumed by the
Pool (with interest in the case of prior ceded losses) in respect of
CRNAs reinsurance of Amerisafe Insurance Group
(Amerisafe). On the basis of this settlement and the
aggregate excess of loss protection from Zurich Insurance Company
(see Notes 9 and 15), CRNA believes that it is fully
protected through reinsurance agreements for all potential liability
in respect of cessions assumed by CRNA from Amerisafe.

The March 2001 litigation initiated by Amerisafe
against CRNA, Guy Carpenter and Zurich Financial Services Group
(ZFS) in the United States District Court for the Western
District of Louisiana is scheduled for trial in August, 2003. ZFS has
been dismissed from the suit, and documentary discovery is
proceeding. Amerisafe contends that CRNA acted in bad faith in making
certain loss payments pursuant to a reservation of rights and in
initiating an arbitration and naming Amerisafe as a party in the
Seattle, Washington litigation referred to above. Amerisafe seeks
damages in an unstated amount. CRNA has moved for dismissal/summary
judgment on the merits, which motion is undetermined at this time.
CRNA has counterclaimed against Amerisafe seeking damages and/or
avoidance of future losses on the basis that Amerisafe failed to
adhere to underwriting guidelines. Based on the limited amount of
information available to date, we are unable to predict CRNAs
chances of prevailing in this action. As part of the settlement of
the Seattle, Washington action, the members of the Pool agreed to
indemnify CRNA for 62% of up to $5 million in legal expenses
incurred in connection with this litigation; this indemnity does not
apply to any amounts which may be paid to Amerisafe pursuant to a
judgment or settlement.

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Converium Holding AG

Report of the Group Auditors on the Financial
Statement Schedules

To the Board of Directors and Shareholders of
Converium Holding AG, Zug

Our audits of the consolidated and historical combined financial statements
referred to in our report dated March 9, 2002, except for Note 22 as to which
the date is May 17, 2002, appearing on page F-2 of this Form 20-F, also
included an audit of the financial statement schedules listed in Part III Item
[18(b)] of this Form 20-F. In our opinion, these financial statement schedules
present fairly, in all material respects, the information set forth therein
when read in conjunction with the related consolidated and historical combined
financial statements of Converium
Group.

PricewaterhouseCoopers Ltd.

Lukas
Marbacher             
          Peter Lüssi

Zurich, March 9, 2002

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Schedule I

|                                              |                                         |                         |         |                 |         |       |         |             |         |          |         |          |         | 
|--------------------------------------------- | --------------------------------------- | ----------------------- | ------- | --------------- | ------- | ----- | ------- | ----------- | ------- | -------- | ------- | -------- | ------- | 
|                                              |                                         |                         |         |                 |         |       |         |             |         |          |         | Amount  
|                                              |                                         |                         |         |                 |         |       |         |             |         |          |         | at which
|                                              |                                         |                         |         | Cost or         |         |       |         |             |         | shown in
|Summary of investments other than investments |                                         | amortized               |         |                 |         |       |         | the balance
|in related parties as of December 31, 2001    |                                         | cost                    |         | Fair value      |         | sheet
|                                             
|                                              |                                         |                         |         | ($ in millions)
|Fixed maturities:                             |                                         |                         |         |                 |         |       |         |             |         |          |         |         
|Bonds:                                        |                                         |                         |         |                 |         |       |         |             |         |          |         |         
|                                              | U.S. government                         |                         | $       | 469.8           |         |       | $       | 479.8       |         |          | $       | 479.8    |        
|                                              | Other government                        |                         |         | 553.2           |         |       |         | 557.3       |         |          |         | 557.3    |        
|                                              | Public utilities                        |                         |         | 28.8            |         |       |         | 27.9        |         |          |         | 27.9     |        
|                                              | Other corporate debt securities         |                         |         | 523.5           |         |       |         | 525.9       |         |          |         | 525.9    |        
|                                              | Mortgage and asset-backed securities    |                         |         | 733.5           |         |       |         | 740.5       |         |          |         | 740.5    |        
|                                              |                                         |                         |         |                
|                                              |                                         | Total fixed maturities  |         |                 | 2,308.8 |       |         |             | 2,331.4 |          |         |          | 2,331.4 | 
|                                              |                                         |                         |         |                
|Equity securities:                            |                                         |                         |         |                 |         |       |         |             |         |          |         |         
|Common stocks:                                |                                         |                         |         |                 |         |       |         |             |         |          |         |         
|                                              | Public utilities                        |                         |         | 17.2            |         |       |         | 18.4        |         |          |         | 18.4     |        
|                                              | Banks, trusts, and insurance companies  |                         |         | 63.3            |         |       |         | 62.8        |         |          |         | 62.8     |        
|                                              | Industrial, miscellaneous and all other |                         |         | 455.3           |         |       |         | 467.4       |         |          |         | 467.4    |        
|Unit-trust                                    |                                         |                         | 143.4   |                 |         |       | 146.0   |             |         |          | 146.0   |         
|Non-redeemable preferred stocks               |                                         |                         | 0.1     |                 |         |       | 6.8     |             |         |          | 6.8     |         
|                                              |                                         |                         |         |                
|                                              |                                         | Total equity securities |         |                 | 679.3   |       |         |             | 701.4   |          |         |          | 701.4   | 
|                                              |                                         |                         |         |                
|Mortgage loans                                |                                         |                         | 0.5     |                 |         |       | 0.5     |             |         |          | 0.5     |         
|Real estate                                   |                                         |                         | 143.3   |                 |         |       | 143.3   |             |         |          | 143.3   |         
|Policyholder, collateral and other loans      |                                         |                         | 21.0    |                 |         |       | 21.0    |             |         |          | 21.0    |         
|Other investments                             |                                         |                         | 30.3    |                 |         |       | 30.3    |             |         |          | 30.3    |         
|Short-term investments                        |                                         |                         | 89.5    |                 |         |       | 89.5    |             |         |          | 89.5    |         
|                                              |                                         |                         |         |                
|                                              |                                         | Total investments       |         |                 | 3,272.7 |       |         |             | 3,317.4 |          |         |          | 3,317.4 | 
|                                              |                                         |                         |         |                
|Funds Withheld Asset                          |                                         |                         | 1,598.5 |                 |         |       | 1,598.5 |             |         |          | 1,598.5 |         
|                                              |                                         |                         |         |                
|                                              |                                         | Total invested assets   |         | $               | 4,871.2 |       |         | $           | 4,915.9 |          |         | $        | 4,915.9 | 
|                                              |                                         |                         |         |                

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Schedule II

Coverium Holding AG
Statement of income

|                                            |  |                         |      | 
|------------------------------------------- |  | ----------------------- | ---- | 
|                                            |  | June 19, 2001          
|                                            |  | (date of incorporation)
|(US$ million)                               |  | to December 31, 2001   
|                                            |  |                        
|Revenues                                    |  |                         |      | 
|Net interest income                         |  |                         | 1.5  | 
|                                            |  |                         |      | 
|Expenses                                    |  |                         |      | 
|Other operating and administration expenses |  |                         | -1.2 | 
|Interest expense                            |  |                         | -1.2 | 
|                                            |  |                         |      | 
|Total expenses                              |  |                         | -2.4 | 
|                                            |  |                         |      | 
|Loss before taxes                           |  |                         | -0.9 | 
|                                            |  |                         |      | 
|Income
taxes                                |  |                         |     | 
|Net loss                                    |  |                         | -0.9 | 
|                                            |  |                         |      | 

See notes to consolidated financial statements.

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Schedule II

Converium Holding AG
Balance sheet

|                                                                |  |  |  |      |  |  |         | 
|--------------------------------------------------------------- |  |  |  | ---- |  |  | ------- | 
|(US$ million)                                                   |  |  |  |      |  |  |         | 
|Year ended December 31                                          |  |  |  | 2001
|                                                                |  |  |  |     
|Assets                                                          |  |  |  |      |  |  |         | 
|Invested assets                                                 |  |  |  |      |  |  |         | 
|Investment in Converium AG                                      |  |  |  |      |  |  | 1,553.2 | 
|Note receivable from Converium Reinsurance (North America) Inc. |  |  |  |      |  |  | 150.0   | 
|                                                                |  |  |  |      |  |  |         | 
|Total invested assets                                           |  |  |  |      |  |  | 1,703.2 | 
|                                                                |  |  |  |      |  |  |         | 
|Other assets                                                    |  |  |  |      |  |  |         | 
|Cash and cash equivalents                                       |  |  |  |      |  |  | 17.1    | 
|Other assets                                                    |  |  |  |      |  |  | 1.1     | 
|                                                                |  |  |  |      |  |  |         | 
|Total assets                                                    |  |  |  |      |  |  | 1,721.4 | 
|                                                                |  |  |  |      |  |  |         | 
|Liabilities
and shareholders equity                            |  |  |  |      |  |  |         | 
|Liabilities                                                     |  |  |  |      |  |  |         | 
|Note payable to Converium AG                                    |  |  |  |      |  |  | 150.0   | 
|Accrued expenses and other liabilities                          |  |  |  |      |  |  | 7.9     | 
|                                                                |  |  |  |      |  |  |         | 
|Total liabilities                                               |  |  |  |      |  |  | 157.9   | 
|                                                                |  |  |  |      |  |  |         | 
|Equity                                                          |  |  |  |      |  |  |         | 
|Common stock                                                    |  |  |  |      |  |  | 253.0   | 
|Additional paid-in capital                                      |  |  |  |      |  |  | 1,336.5 | 
|Unearned stock compensation                                     |  |  |  |      |  |  | -27.1   | 
|Accumulated other comprehensive income                          |  |  |  |      |  |  | 1.1     | 
|                                                                |  |  |  |      |  |  |         | 
|Total equity                                                    |  |  |  |      |  |  | 1,563.5 | 
|                                                                |  |  |  |      |  |  |         | 
|Total liabilities and equity                                    |  |  |  |      |  |  | 1,721.4 | 
|                                                                |  |  |  |      |  |  |         | 

See notes to consolidated financial statements.

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##### Table of Contents



Schedule II

|                                               |  |                         |        | 
|---------------------------------------------- |  | ----------------------- | ------ | 
|Converium Holding AG                           |  |                         |        | 
|Statement of cash flows                        |  |                        
|                                               | 
|(US$ million)                                  | 
|                                               |  | June 19, 2001          
|                                               |  | (date of incorporation)
|                                               |  | to December 31, 2001   
|Cash flows from operating activities           |  |                         |        | 
|Net loss                                       |  |                         | -0.9   | 
|                                              
|Changes in other assets                        |  |                         | 6.8    | 
|                                              
|Cash
provided by operating activities          |  |                         | 5.9    | 
|                                              
|Cash flows from investing activities           |  |                         |        | 
|                                              
|Issuance of note receivable                    |  |                         | -150.0 | 
|                                              
|Investment in Converium AG                     |  |                         | -822.9 | 
|                                              
|Net cash used in investing activities          |  |                         | -972.9 | 
|                                              
|Cash flows from financing activities           |  |                         |        | 
|                                              
|Net transfer from Zurich Financial Services    |  |                         | 834.1  | 
|                                              
|Issuance of note payable                       |  |                         | 150.0  | 
|                                              
|Net cash provided by financing activities      |  |                         | 984.1  | 
|                                              
|Change in cash and cash equivalents            |  |                         | 17.1   | 
|                                              
|Cash and cash equivalents, beginning of period |  |                         |       | 
|                                              
|Cash and cash equivalents, end of period       |  |                         | 17.1   | 
|                                              

See notes to consolidated financial statements.

S-5



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##### Table of Contents



Schedule IV

|                                             |  |                 |       |                         |  |                             |         |            |  |               |         |  |  |             |         |  |  |  |       |  
|-------------------------------------------- |  | --------------- | ----- | ----------------------- |  | --------------------------- | ------- | ---------- |  | ------------- | ------- |  |  | ----------- | ------- |  |  |  | ----- | -
|                                             |  |                 |       |                         |  |                             |         |            |  |               |         |  |  | % of amount
|Reinsurance                                  |  | GrossAmount     |       | Ceded to
othercompanies |  | Assumed from
othercompanies |         | Net amount |  | assumed tonet
|                                             |  | ($ in millions)
|Insurance premiums and
other considerations: |  |                 |       |                         |  |                             |         |            |  |               |         |  |  |             |         |  |  |  |       |  
|2001                                         |  | $               | 124.9 |                         |  |                             | ($398.6 | )          |  | $             | 2,756.3 |  |  | $           | 2,482.6 |  |  |  | 111.0 | %
|2000                                         |  |                 | 169.9 |                         |  |                             | (569.8  | )          |  |               | 2,395.9 |  |  |             | 1,996.0 |  |  |  | 120.0 | %
|1999                                         |  |                 | 164.1 |                         |  |                             | (358.5  | )          |  |               | 1,764.6 |  |  |             | 1,570.2 |  |  |  | 112.4 | %

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##### Table of Contents






GLOSSARY OF SELECTED
INSURANCE AND REINSURANCE TERMS

|                                                |  |                                                                                                                                                                                                                                                                                                                                                                                                                    
|----------------------------------------------- |  | -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|Annuity                                         |  | A contract that pays a periodic income benefit for the life of a person (the annuitant)
or for a specified number of years, or a combination of the two, in return for a single
premium payment. Immediate annuities provide income from the date the policy is taken
out and deferred annuities provide income at a future specified date.                                                                        
|                                                |  |                                                                                                                                                                                                                                                                                                                                                                                                                    
|Cede; ceding insurer; cession                   |  | When an insurer reinsures its risk with another insurer (a cession), it cedes
business and is referred to as the ceding insurer.                                                                                                                                                                                                                                                                             
|                                                |  |                                                                                                                                                                                                                                                                                                                                                                                                                    
|Co-insurance                                    |  | Also referred to as original terms reinsurance, and refers to reinsurance contracts in
which the reinsurer receives a portion of the premiums paid to the ceding company on the
policies. Reinsurance premiums under a co-insurance contract will normally have the
same premium arrangement as the original insurance policies, which may extend over
several years.                                              
|                                                |  |                                                                                                                                                                                                                                                                                                                                                                                                                    
|Combined ratio                                  |  | The sum of the loss ratio and the expense ratio for a non-life insurance company or a
reinsurance company. A combined ratio below 100 generally indicates profitable
underwriting. A combined ratio over 100 generally indicates unprofitable underwriting.
An insurance company with a combined ratio over 100 may be profitable to the extent net
investment results exceed underwriting losses.                 
|                                                |  |                                                                                                                                                                                                                                                                                                                                                                                                                    
|Expense ratio                                   |  | The ratio of non-life insurance or reinsurance operating expenses (i.e., acquisition
costs and profit participation net of reinsurance commissions) to net premiums earned
plus administration expenses to net premiums written.                                                                                                                                                                                   
|                                                |  |                                                                                                                                                                                                                                                                                                                                                                                                                    
|Facultative reinsurance                         |  | The reinsurance of part or all of the insurance provided by a single policy negotiated
on a contract-by-contract basis.                                                                                                                                                                                                                                                                                            
|                                                |  |                                                                                                                                                                                                                                                                                                                                                                                                                    
|Finite risk                                     |  | Insurance and reinsurance policies under which the aggregate risk to the insurer or
reinsurer is capped at a finite limit. Typically, such policies have maturities of
several years and provide for sharing profits arising from the policy with the client at
the policy maturity. The policy limit-to-premium ratio is frequently significantly
lower than under traditional insurance and reinsurance policies.
|                                                |  |                                                                                                                                                                                                                                                                                                                                                                                                                    
|Gross premiums written                          |  | Total premiums (whether or not earned) for insurance contracts written or assumed
(including deposits for contracts with an insignificant amount of mortality or morbidity
risk) during a specific period, without deduction for premiums ceded.                                                                                                                                                                   
|                                                |  |                                                                                                                                                                                                                                                                                                                                                                                                                    
|Incurred but not yet reported (IBNR)
reserves |  | Reserves for estimated losses and LAE which have been incurred but not yet reported to
the insurer or reinsurer, including future development of claims which have been
reported to the insurer or reinsurer but where the established reserves may ultimately
prove to be inadequate.                                                                                                                             
|                                                |  |                                                                                                                                                                                                                                                                                                                                                                                                                    
|Lapse                                           |  | Termination of a policy because of surrender, failure to pay a premium or lack of
sufficient cash value to maintain in-force status.                                                                                                                                                                                                                                                                               

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|                                                |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     
|----------------------------------------------- |  | --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|Loss                                            |  | An insured event that is the basis for submission or payment of a benefit under an
insurance policy. Losses may be covered, limited or excluded from coverage, depending
on the terms of the policy.                                                                                                                                                                                                                                                                                                                                                                
|                                                |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     
|Loss adjustment expenses (LAE)                |  | The expenses of investigating and settling claims, including certain legal and other
fees, and the expenses of administering the claims adjustment process.                                                                                                                                                                                                                                                                                                                                                                                                         
|                                                |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     
|Loss ratio                                      |  | The ratio of a non-life insurance or reinsurance companys net incurred losses and LAE
to net premiums earned.                                                                                                                                                                                                                                                                                                                                                                                                                                                      
|                                                |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     
|Loss reserves                                   |  | Reserves established by an insurer or reinsurer and reflected on its balance sheet to
reflect the estimated cost of payments for claims for which the insurer or reinsurer
ultimately will be required to indemnify insureds or reinsureds in the future in respect
of losses occurring on or prior to the balance sheet date on insurance or reinsurance it
has written and that has been earned. Loss reserves are composed of individual case
reserves for reported claims and IBNR reserves.                                                                    
|                                                |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     
|Modified co-insurance                           |  | A form of reinsurance which differs from co-insurance only in that reserves are retained
by the ceding company while the risk remains with the reinsurer. The ceding company
normally pays interest to replace the interest the reinsurer would have earned if it had
held the assets corresponding to the reserves in its own investment portfolio. We
principally use the term to refer to a proportional reinsurance product offered by our
Converium Life operations to clients to finance their initial acquisition costs such as
agent and broker commissions.
|                                                |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     
|National Association of Insurance
Commissioners |  | An association of the top insurance regulatory officials of all 50 states and the
District of Columbia organized to promote consistency of regulatory practice and
statutory accounting standards throughout the United States.                                                                                                                                                                                                                                                                                                                                     
|                                                |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     
|Net premiums written                            |  | Gross premiums less premiums ceded for reinsurance.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 
|                                                |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     
|Non-proportional reinsurance                    |  | Reinsurance under which the reinsurers participation in a claim depends on the size of
the claim. Also known as excess reinsurance.                                                                                                                                                                                                                                                                                                                                                                                                                              
|                                                |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     
|Participating contracts                         |  | Insurance in which the policyholder is entitled to participate in the earnings or
surplus of the insurance enterprise. The participation occurs through the distribution
of dividends to policyholders.                                                                                                                                                                                                                                                                                                                                                             
|                                                |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     
|Premiums earned                                 |  | That portion of gross premiums written in current and past periods applying to the
expired portion of the policy period.                                                                                                                                                                                                                                                                                                                                                                                                                                            
|                                                |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     
|Proportional reinsurance                        |  | Arrangement whereby the insurer cedes to the reinsurer an agreed fixed percentage of
premiums and claims and other liabilities for each policy covered on a pro rata basis.                                                                                                                                                                                                                                                                                                                                                                                         
|                                                |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     
|Reinsurance                                     |  | The practice whereby one insurer, called the reinsurer, in consideration for premiums
received, agrees to indemnify the ceding                                                                                                                                                                                                                                                                                                                                                                                                                                      

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|                           |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 
|-------------------------- |  | --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|                           |  | insurer for all or a portion of the risk
under a policy or policies of insurance
issued by the ceding insurer. The legal
rights of the insured generally are not
affected by the reinsurance transaction,
and the insurance enterprise issuing the
insurance contract remains liable to the
insured for payment of policy benefits.                                                                                                                                                                                                                                                                                                                                                                                             
|                           |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 
|Reserves                   |  | Liabilities established by insurers and
reinsurers to reflect the estimated cost of
claims payments, benefits payments and the
related expenses that the insurer or
reinsurer will ultimately be required to pay
in accordance with the insurance or
reinsurance it has written.                                                                                                                                                                                                                                                                                                                                                                                                                                                
|                           |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 
|Retention                  |  | The amount or portion of risk which a ceding
insurer retains for its own account. Losses
and loss expenses paid by the ceding insurer
in excess of the retention level are then
reimbursed to the insurer by the reinsurer.
In proportional insurance, the retention may
be a percentage of the original policys
limit. In non-proportional insurance, the
retention is an amount of loss, a loss ratio
or a percentage.                                                                                                                                                                                                                                                                                                       
|                           |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 
|Retrocessional Reinsurance |  | An arrangement under which a reinsurer cedes
to another reinsurer (the
retrocessionaire) all or a portion of the
insurance risks reinsured by the first
reinsurer. Retrocessional reinsurance
generally does not legally discharge the
ceding reinsurer from its liability to the
original ceding company.                                                                                                                                                                                                                                                                                                                                                                                                                    
|                           |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 
|Separate account           |  | Investment account established and
maintained by an insurer to which funds have
been allocated for certain insurance
policies or contracts of the insurer. The
income, gains and losses realized from
assets allocated to the account are, in
accordance with the insurance policies or
contracts, credited to or charged against
the account without regard to other income,
gains or losses of the company or the
companys other separate accounts. Separate
accounts cannot generally be charged with
the liabilities of the general account.
Products meeting this definition are often
referred to as investment linked or unit
linked products. The policyholders bear
all of the investment risk for these
products.
|                           |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 
|Survival Ratio             |  | An industry measure of the number of years
it would take a company to exhaust its A&E
reserves for losses and loss expenses based
on that companys current level of A&E
claims payments. The ratio is derived by
dividing the current ending losses and loss
expense reserves by the average annual
payments for the prior three years. The
ratio is computed based on the ending
reserves for losses and loss expenses over
the respective claims settlements during the
fiscal year.                                                                                                                                                                                                                                         
|                           |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 
|Surrender                  |  | Many life insurance products permit the
insured to withdraw a portion of the cash
surrender value of the contract. Future
benefits are reduced accordingly.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     
|                           |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 
|Tail                       |  | The period of time that elapses between the
incurrence and settlement of losses under a
policy. A short-tail insurance product is
one where ultimate losses are known and
settled comparatively quickly; ultimate
losses under a long-tail insurance product
are sometimes not known and settled for many
years.                                                                                                                                                                                                                                                                                                                                                                                                            

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|                         |  |                                                                                                                                                                                                                                                                                                                                                                              
|------------------------ |  | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|Term life insurance      |  | Life insurance protection for a limited
period which expires without maturity value
if the insured survives the period specified
in the policy.                                                                                                                                                                                                                              
|                         |  |                                                                                                                                                                                                                                                                                                                                                                              
|Treaty reinsurance       |  | A type of reinsurance whereby the ceding
company automatically cedes and the
reinsurer automatically assumes a
predetermined portion or category of
specified risks underwritten by the ceding
company.                                                                                                                                                                      
|                         |  |                                                                                                                                                                                                                                                                                                                                                                              
|Underwriting             |  | The process whereby an insurer or reinsurer
reviews applications submitted for insurance
or reinsurance coverage and determines
whether it will provide all or part of the
coverage being requested for an agreed
premium.                                                                                                                                                   
|                         |  |                                                                                                                                                                                                                                                                                                                                                                              
|Underwriting results     |  | The pre-tax profit or loss experienced by a
non-life insurance company or reinsurance
company after deducting incurred losses and
loss expenses and operating expenses from
premiums earned. This profit and loss
calculation includes reinsurance assumed and
ceded but excludes investment income.                                                                         
|                         |  |                                                                                                                                                                                                                                                                                                                                                                              
|Unit linked              |  | See Separate account.                                                                                                                                                                                                                                                                                                                                                      
|                         |  |                                                                                                                                                                                                                                                                                                                                                                              
|Unit trust               |  | Unit trusts can be invested in stocks,
shares, government securities and other
investment instruments. The fund is divided
into units, which fluctuate in value,
depending on the value of the overall fund.
The unit trust is an open ended fund which
means it has a variable number of units in
issue at any one time. Units are bought
from and sold to the fund manager.
|                         |  |                                                                                                                                                                                                                                                                                                                                                                              
|Universal life insurance |  | A life insurance product under which
premiums are generally flexible, the level
of death benefits may be adjusted and
expenses and other charges are specifically
disclosed to the policyholder and deducted
from their account balance.                                                                                                                                     
|                         |  |                                                                                                                                                                                                                                                                                                                                                                              
|Whole life insurance     |  | A permanent life insurance product offering
guaranteed death benefits and guaranteed
cash values.                                                                                                                                                                                                                                                                            

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SIGNATURES

The registrant hereby certifies that it has reasonable grounds to believe
that it meets all of the requirements for filing on Form 20-F and has duly
caused this Annual Report to be signed on its behalf by the undersigned,
thereunto duly authorized, in the city of Zurich, Switzerland on May
 21, 2002.

CONVERIUM HOLDING AG

|   |                  |                                              
|-- | ---------------- | ---------------------------------------------
|By | /s/
Dirk Lohmann
|   |                 
|   | Name:            | Dirk Lohmann                                 
|   | Title:           | Chief Executive Officer, Converium
Holding AG

|   |                     |                                              
|-- | ------------------- | ---------------------------------------------
|By | /s/
Martin A. Kauer
|   |                    
|   | Name:               | Martin A. Kauer                              
|   | Title:              | Chief Financial Officer, Converium
Holding AG

Sig-1



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INDEX TO EXHIBITS

|        |  |                                                                                                                                                                                                                                                                                                                                                                                        
|------- |  | ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|Exhibit |  |                                                                                                                                                                                                                                                                                                                                                                                        
|Number  |  | Description                                                                                                                                                                                                                                                                                                                                                                            
|        |  |                                                                                                                                                                                                                                                                                                                                                                                        
|1.1     |  | Articles of Incorporation of Converium Holding AG, adopted November 8, 2001.*                                                                                                                                                                                                                                                                                                          
|1.2     |  | Bylaws of Converium Holding AG, adopted November 16, 2001.*                                                                                                                                                                                                                                                                                                                            
|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.*
|3.1     |  | Indenture, dated as of October 20, 1993 between Zurich Reinsurance Centre
Holdings, Inc. and The Bank of New York, as Trustee, relating to
$200,000,000 principal amount of 7 1/8 % Senior Notes due 2023 (and assumed
by Converium Holdings (North America) Inc. pursuant to the Supplement
Indenture included as Exhibit 3.2 hereto).*                                               
|3.2     |  | First Supplemental Indenture among Zurich Reinsurance Centre Holdings, Inc.,
as Issuer, Converium Holdings (North America) Inc., as Guarantor, and The
Bank of New York, as Trustee, dated as of November 20, 2001.*                                                                                                                                                                   
|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 (and effective as of July 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     |  | Excess of Loss Reinsurance Agreement between Zurich Insurance Company and
Zurich Reinsurance Centre f/k/a Zurich Reinsurance Company of America, dated
as of February 2, 1993.*                                                                                                                                                                                                        
|4.8     |  | Stop Loss Reinsurance Agreement between Zurich Insurance Company and Zurich
Reinsurance Cente f/k/a Zurich Reinsurance Company of America, dated as of
March 5, 1993.*                                                                                                                                                                                                                 





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|     |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       
|---- |  | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|4.9  |  | Aggregate Excess of Loss Agreement between Zurich Reinsurance (North
America), Inc. and Zurich Insurance Company, dated July 1, 1997.*                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                
|4.10 |  | Indemnity Agreement (Unicover) between Zurich Reinsurance (North America),
Inc. and Zurich Insurance Company, dated as of October 1, 2001.*                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           
|4.11 |  | Indemnity Agreement (September 11th Cessions) between Zurich Reinsurance
(North America), Inc. and Zurich Insurance Company, dated as of October 1,
2001.*                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            
|4.12 |  | Indemnity Agreement (September 11th Losses) between Zürich Rückversicherung
(Köln) Aktiengesellschaft and Zurich Insurance Company, dated as of October
1, 2001.*                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     
|4.13 |  | Partial Commutation Agreement between Zurich Reinsurance (North America),
Inc. and Zurich Insurance Company, dated as of October 1, 2001.*                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            
|4.14 |  | 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 Brach, dated as of October 1,
2001.*                                                                                                                                                                                                                                                                                                                                                                                                                                                              
|4.15 |  | 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.*                                                                                                                                                                                                                                                                                                                                                                                                                                                                 
|4.16 |  | 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.*                                                                                                                                                                                                                                                                                                                                                                                                                                                
|4.17 |  | 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.*                                                                                                                                                                                                                                                                                                                                                                                                                                  
|4.18 |  | 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.*                                                                                                                                                                                                                                                                                                                                                                                                                                                                          
|4.19 |  | 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.*                                                                                                                                                                                                                                                                                                                                                                                                                                                                          
|4.20 |  | 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.*                                                                                                                                                                                                                                                                                                                                                                                                                                                           
|4.21 |  | 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.*





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|     |  |                                                                                                                                                                                                                                                                                                        
|---- |  | -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|4.22 |  | Catastrophe Cover Retrocession Agreement by and between Converium AG and
Zurich Insurance Company, dated December 1, 2001.*                                                                                                                                                                            
|4.23 |  | Stock Purchase Agreement between Zurich Reinsurance (North America), Inc.
and Centre Strategic Investments Holdings Limited, dated August 23, 2001.*                                                                                                                                                   
|4.24 |  | Run-off Services and Management Agreement between Zurich Insurance Company
and Converium AG, dated December 3, 2001.*                                                                                                                                                                                  
|4.25 |  | 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. *                       
|4.26 |  | Tax Sharing and Indemnification Agreement between Zurich Financial Services,
Zurich Insurance Company, Converium Holding AG and Converium AG dated
December 3, 2001. *                                                                                                                                 
|4.27 |  | Form of Converium Standard Stock Option Plan for Non-U.S. Employees. *                                                                                                                                                                                                                                 
|4.28 |  | Form of Converium Standard Stock Purchase Plan for Non-U.S. Employees. *                                                                                                                                                                                                                               
|4.29 |  | Omnibus Share Plan for U.S. Employees. *                                                                                                                                                                                                                                                               
|4.30 |  | Converium Employee Stock Purchase Plan for U.S. Subsidiaries.*                                                                                                                                                                                                                                         
|4.31 |  | Form of Converium Annual Incentive Deferral Plan.*                                                                                                                                                                                                                                                     
|4.32 |  | Investment Management Agreement between ZC Insurance Company and Scudder
Kemper Investments, Inc., dated January 1, 2000.*                                                                                                                                                                             
|4.33 |  | Investment Management Agreement between Zurich Reinsurance (North America),
Inc. and Scudder Kemper Investments, Inc., dated May 28, 1999.*                                                                                                                                                            
|4.34 |  | Investment Management Agreement between Zurich
Beteilgungs-Aktiengesellschaft and Zürich Rückversicherung (Köln)
Aktiengesellschaft, dated November 29, 2000.*                                                                                                                                         
|4.35 |  | Lease, between Zurich Insurance Company and Converium AG, dated August 29,
2001.*                                                                                                                                                                                                                      
|4.36 |  | Sublease Support Agreement among Zurich Reinsurance (North America), Inc.,
Global Asset Holdings Limited and Centre Insurance Company, dated as of
October 1, 2001.*                                                                                                                                   
|4.37 |  | Sublease between ZC Resource LLC and Zurich Reinsurance (North America),
Inc., dated as of June 20, 2001.*                                                                                                                                                                                             
|4.38 |  | 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.*
|8.1  |  | Subsidiaries of the Registrant                                                                                                                                                                                                                                                                         



---

|* |  | Incorporated by reference to the Companys Registration Statement filed on
Form F-1, on December 10, 2001.
|- |  | ----------------------------------------------------------------------------------------------------------