RMS Performs Analysis for Fremantle Ltd, a Multi-Peril Catastrophe Swap

$200 Million Series Issued for Three-Year Multi-Event Cover

Newark, Calif. – June 21, 2007 – Risk Management Solutions (RMS), the world’s leading provider of products and services for the management of catastrophe risk, has designed the trigger mechanisms and performed the risk analysis for a securitization of multi-peril, multi-event catastrophe risk.

Covering U.S. earthquake and hurricane risk, Japan earthquake and typhoon risk, and Europe windstorm risk, the securities were issued by Fremantle Ltd, a Cayman Islands SPV, providing $200 million of collateralized multi-event cover for Brit Insurance Limited, a subsidiary of Brit Insurance Holdings PLC (Brit Insurance), for three years, as part of a program structured and placed by ABN-AMRO.

The catastrophe swap would be triggered for U.S. events if aggregate insurance industry losses as estimated by Property Claims Services (PCS) exceed defined threshold amounts. Japan and Europe events would trigger if specific parametric criteria, such as wind speeds or ground motions, are met or exceeded. RMS designed the triggers, and analyzed the probabilities of exceedance, in conjunction with structuring work performed by Guy Carpenter & Company Ltd.

“This deal is a great example of how innovative trigger and deal structuring can bring tailored protection to the sponsor, while remaining transparent enough for investors to understand,” said Peter Nakada, managing director of RMS Consulting. “Furthermore, tranching the deal opens up the market to investors that want investment-grade exposure to catastrophe risk.”

The multi-event cover is structured with three Classes, each consisting of 2 event payments. Payments under Class C cover the occurrence of the fourth and fifth triggering events during the risk period; this Class is rated Ba2 by Moody’s and BB- by Fitch. Class B covers the sixth and seventh triggering events and is rated A3 and BBB+ by Moody’s and Fitch respectively. Class A, rated Aa1 and AAA by Moody’s and Fitch respectively, covers the eighth and ninth triggering events to occur.