Peer Analysis Perspectives As of 12/31/2012

March 20th, 2013

Peer Analysis Overview

SAA P&C & Health Client Portfolios

23 Clients (20 Primary / 3 Reinsurers)

28 Portfolios

$10.4B In Assets

$9.2B Core Fixed Income

$1.2B Risk Assets

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RISK ASSET ALLOCATION

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Risk Asset Allocation Review

Typical Risk Assets

1. U.S. Equities

2. International Equities

3. High Yield Fixed Income

Other Risk Assets

1. Convertible Bonds

2. Emerging Market Debt

3. REITs

4. Gold & Commodities

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AS % OF TOTAL PORTFOLIO

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Risk Asset Allocation - % of Portfolio

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Max 35.11%

Median 10.07%

Average 11.76%

Reinsuer

Health

P&C

Risk Asset Allocation - % of Portfolio, By Portfolio Size

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Max 35.11%

Median 10.07%

Average 11.76%

Risk Asset Composition

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AS % OF SURPLUS

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Risk Asset Allocation - % of Surplus

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Max 67.6%

Median 17.9%

Average 22.4%

Risk Asset Allocation - % of Surplus, By Portfolio Size

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Max 67.6%

Median 17.9%

Average 22.4%

Risk Asset Allocation

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U.S. Equity % Intl. Equity % HY % Other %

Max 100.0% 31.6% 62.6% 74.4%

Median 68.4% 12.5% 0.0% 0.0%

Average 60.6% 12.7% 10.2% 4.4%

CORE FIXED INCOME ALLOCATION REVIEW

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Fixed Income Portfolio Duration & Portfolio Size

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Duration (Yrs)

Max 5.88

Median 3.81

Average 4.00

Fixed Income Portfolio Book Yield & Portfolio Size

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Book Yield (%)

Max 4.49

Median 3.01

Average 2.98

Fixed Income Portfolio Book Yield & Duration

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Duration (Yrs) Book Yield (%)

Max 5.88 4.49

Median 3.81 3.01

Average 4.00 2.98

Risk Asset Allocation By Fixed Income Portfolio Duration

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Duration (Yrs) RA % of Surplus

Max 5.88 67.6%

Median 3.81 17.9%

Average 4.00 22.4%

PERFORMANCE REVIEW

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Fixed Income Performance – 2012

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Fixed Income Performance – 3 Years Ending 12/31/2012

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Risk Assets Performance – 3 Years Ending 12/31/2012

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Risk Assets Performance – 2012

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Total Portfolio Performance - 3 Years Ending 12/31/2012

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Total Portfolio Performance - 2012

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Fixed Income Investment Management Fees

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The Quest for Prudent Yield

Increase Non-Treasury Allocation

Duration Extension

Emerging Market Debt

High Yield Corporates/Bank Loans

REITs

High Dividend Equity

Inverse ETFs & Hedging Thoughts

Risk Asset Allocation to Surplus Ratio

Active vs. Passive Management of Risk Assets

Global Portfolio Positioning

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DISCUSSION & QUESTIONS

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