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Previous: ZURICH REINSURANCE CENTRE HOLDINGS INC, PREM14A, 1997-05-20 |
Next: CINERGY CORP, U-1/A, 1997-05-20 |
<PAGE> 1
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
----------------
RULE 13E-3 TRANSACTION STATEMENT
(PURSUANT TO SECTION 13(e)
OF THE SECURITIES EXCHANGE ACT OF 1934)
ZURICH REINSURANCE CENTRE HOLDINGS, INC.
----------------------------------------
(Name of the Issuer)
ZURICH CENTRE INVESTMENTS LIMITED
CENTRE MERGER CORP.
ZURICH REINSURANCE CENTRE HOLDINGS, INC.
----------------------------------------
(Name of Person(s) Filing Statement)
Common Stock, $0.01 par value
-----------------------------
(Title of Class of Securities)
989822101
----------------------------------------
(CUSIP Number of Class of Securities)
Steven D. Germain, Esq. Mark R. Sarlitto, Esq.
Zurich Centre Investments Limited Zurich Reinsurance Centre
Cumberland House Holdings, Inc.
One Victoria Street One Chase Manhattan Plaza
P.O. Box HM 1788 New York, N.Y. 10005
Hamilton, HM HX Bermuda (212) 898-5000
(441) 295-8501
- --------------------------------------------------------------------------------
(Name, Address and Telephone Number of Person Authorized to Receive Notices and
Communications on Behalf of Person(s) Filing Statement)
Copies to:
Thomas M. Cerabino, Esq. Samuel C. Butler, Esq.
Willkie Farr & Gallagher Cravath, Swaine & Moore
One Citicorp Center Worldwide Plaza
153 East 53rd Street 825 Eighth Avenue
New York, N.Y. 10022 New York, NY 10019
(212) 821-8000 (212) 474-1000
This statement is filed in connection with (check the appropriate box):
a. [X] The filing of solicitation materials or an information statement
subject to Regulation 14A, Regulation 14C, or Rule 13e-3(c) under the Securities
Exchange Act of 1934.
b. [ ] The filing of a registration statement under the Securities Act of
1933.
c. [ ] A tender offer
d. [ ] None of the above
<PAGE> 2
Check the following box if the soliciting materials or information statement
referred to in checking box (a) are preliminary copies. [X]
Calculation of Filing Fee
<TABLE>
<CAPTION>
Transaction Valuation* Amount of Filing Fee*
<S> <C>
$355,020,904.50 $71,004.18
</TABLE>
[X] Check box if any part of the fee is offset as provided by Rule 0-11(a)(2)
and identify the filing with which the offsetting fee was previously paid.
Identify the previous filing by registration statement number or the Form or
Schedule and the date of its filing.
Amount Previously Paid: $71,004.18
Filing Party: Zurich Reinsurance Centre Holdings, Inc.
Form or Registration No: Schedule 14A
Date Filed: May 20, 1997
- ----------
* For purposes of calculation of fee only. 8,987,871 shares of Common
Stock, par value $0.01 per share, of Zurich Reinsurance Centre Holdings, Inc. to
be converted into the right to receive $39.50 per share in cash. The amount of
the filing fee calculated in accordance with Rule 0-11 of the Securities
Exchange Act of 1934 equals 1/50 of 1% of the transaction value.
<PAGE> 3
This Rule 13e-3 Transaction Statement (the "Statement") relates to a
proposal to approve and adopt an Agreement and Plan of Merger (the "Merger
Agreement"), dated as of April 17, 1997, among Zurich Centre Investments
Limited, a Bermuda corporation ("Parent"), Centre Merger Corp., a Delaware
corporation ("Sub"), and Zurich Reinsurance Centre Holdings, Inc., a Delaware
corporation (the "Company"), and the merger (the "Merger") of Sub with and into
the Company upon the terms and subject to the conditions set forth in the Merger
Agreement. A copy of the Merger Agreement has been filed by the Company as
Appendix A to the preliminary proxy statement (the "Proxy Statement") filed as
Exhibit (d) to this Statement.
The cross-reference sheet below is being supplied pursuant to General
Instruction F to Schedule 13E-3 and shows the location in the Proxy Statement of
the information required to be included in response to the items of this
Statement. The information in the Proxy Statement, including all appendices
thereto, is hereby expressly incorporated herein by reference and the responses
to each item in this Statement are qualified in their entirety by the
information contained in the Proxy Statement and such appendices. Capitalized
terms used herein and not otherwise defined shall have the meanings ascribed to
such terms in the Proxy Statement.
<PAGE> 4
CROSS REFERENCE SHEET
Item 1. Issuer and Class of Security Subject to the Transaction.
(a) The information set forth in "SUMMARY--The Parties" and
"THE PARTIES--The Company" is incorporated herein by
reference.
(b) The information set forth on the cover page of the Proxy
Statement and in "THE SPECIAL MEETING--Record Date and
Voting" is incorporated herein by reference.
(c)-(d) The information set forth in "AVAILABLE INFORMATION" and
"MARKET PRICE AND DIVIDEND INFORMATION" is incorporated
herein by reference.
(e) Not applicable.
(f) The information set forth in "CERTAIN TRANSACTIONS IN
THE COMMON STOCK" is incorporated herein by reference.
Item 2. Identity and Background.
(a)-(d),(g) The information set forth in "ADDITIONAL INFORMATION",
"SUMMARY--The Parties", "THE PARTIES", "SECURITY
OWNERSHIP OF MANAGEMENT AND CERTAIN BENEFICIAL OWNERS"
and Appendix D to the Proxy Statement is incorporated
herein by reference.
(e) Negative.
(f) Negative.
Item 3. Past Contacts, Transactions or Negotiations.
(a)(1) The information set forth in "RELATED PARTY
TRANSACTIONS" is incorporated herein by reference.
(a)(2) The information set forth in "SPECIAL FACTORS--
Background of the Merger" and "CERTAIN TRANSACTIONS IN
THE COMMON STOCK" is incorporated herein by reference.
(b) The information set forth in "SPECIAL
FACTORS--Background of the Merger" is incorporated
herein by reference.
-2-
<PAGE> 5
Item 4. Terms of the Transaction.
(a) The information set forth in "SUMMARY" and "THE MERGER
AGREEMENT" is incorporated herein by reference.
(b) The information set forth in "SUMMARY", "SPECIAL
FACTORS--Sources of Funds; Fees and Expenses", and
"--Interests of Certain Persons in the Merger", and "THE
MERGER AGREEMENT--The Merger" is incorporated herein by
reference.
Item 5. Plans or Proposals of the Issuer or Affiliate.
(a) The information set forth in "SUMMARY--The Merger" and
"SPECIAL FACTORS--Plans for the Company After the
Merger" are incorporated herein by reference.
(b) Not applicable.
(c) The information set forth in "SPECIAL FACTORS--
Interests of Certain Persons in the Merger", "--Plans
for the Company After the Merger" and "--Certain Effects
of the Merger", and "THE MERGER AGREEMENT--The Merger"
and "--Stock Options; Restricted Stock" is incorporated
herein by reference.
(d)-(g) The information set forth in "SPECIAL FACTORS--Plans for
the Company After the Merger" and "--Certain Effects of
the Merger" is incorporated herein by reference.
Item 6. Source and Amount of Funds or Other Consideration.
(a) The information set forth in "SPECIAL FACTORS--Sources
of Funds; Fees and Expenses" and "--Plans for the
Company After the Merger", and "THE MERGER
AGREEMENT--The Merger" is incorporated herein by
reference.
(b) The information set forth in "SPECIAL FACTORS--Sources
of Funds; Fees and Expenses" and "THE MERGER
AGREEMENT--Expenses" is incorporated herein by
reference.
(c) Not applicable.
(d) Not applicable.
-3-
<PAGE> 6
Item 7. Purpose(s), Alternatives, Reasons and Effects.
(a)-(c) The information set forth in "SPECIAL FACTORS--Purpose
and Structure of the Merger" and "--Background of the
Merger" is incorporated herein by reference.
(d) The information set forth in "SUMMARY--The Merger",
"SPECIAL FACTORS--Plans for the Company After the
Merger", "--Certain Effects of the Merger", "--Certain
Federal Income Tax Consequences", "--Anticipated
Accounting Treatment", and "THE MERGER AGREEMENT--The
Merger" is incorporated herein by reference.
Item 8. Fairness of the Transaction.
(a) The information set forth in "SUMMARY--Special Factors",
"--Interests of Certain Persons in the Merger", "SPECIAL
FACTORS--Recommendation of the Special Committee and
Board of Directors of the Company; Fairness of the
Merger" and "--Interests of Certain Persons in the
Merger" is incorporated herein by reference.
(b) The information set forth in "SUMMARY--Special Factors"
and "SPECIAL FACTORS--Recommendation of the Special
Committee and Board of Directors of the Company;
Fairness of the Merger", "--Background of the Merger",
"--Purpose and Structure of the Merger", "--Opinion of
Financial Advisor to the Special Committee" and
"--Summary of Financial Analysis of Donaldson, Lufkin &
Jenrette Securities Corporation" are incorporated herein
by reference.
(c) The information set forth in "SUMMARY--The Special
Meeting" and "THE SPECIAL MEETING--Vote Required;
Revocability of Proxies" is incorporated herein by
reference.
(d) The information set forth in "SPECIAL
FACTORS--Background of the Merger", "--Recommendation of
the Special Committee and Board of Directors of the
Company; Fairness of the Merger" and "--Opinion of
Financial Advisor to the Special Committee" is
incorporated herein by reference.
(e) The information set forth in "SUMMARY--Special Factors"
and "SPECIAL FACTORS--Background of the Merger" and
"--Recommendation of the Special Committee and Board of
Directors of the Company; Fairness of the Merger" is
incorporated herein by reference.
-4-
<PAGE> 7
(f) Not applicable.
Item 9. Reports, Opinions, Appraisals and Certain Negotiations.
(a)-(c) The information set forth in "SUMMARY--Special Factors"
and "SPECIAL FACTORS--Background of the Merger",
"--Opinion of Financial Advisor to the Special
Committee" and "--Summary of Financial Analysis of
Donaldson, Lufkin & Jenrette Securities Corporation" is
incorporated herein by reference.
Item 10. Interest in Securities of the Issuer.
(a)-(b) The information set forth in "SPECIAL FACTORS--Interests
of Certain Persons in the Merger", "SECURITY OWNERSHIP
OF MANAGEMENT AND CERTAIN BENEFICIAL OWNERS", "CERTAIN
TRANSACTIONS IN THE COMMON STOCK" and Appendix D to the
Proxy Statement is incorporated herein by reference.
Item 11. Contracts, Arrangements or Understandings With Respect to the Issuer's
Securities.
Not Applicable.
Item 12. Present Intention and Recommendations of Certain Persons With Regard to
the Transaction.
(a)-(b) The information set forth in "SUMMARY--The Special
Meeting", "--Special Factors", "--Interests of Certain
Persons in the Merger" and "--Security Ownership of
Management and Certain Beneficial Owners", "THE SPECIAL
MEETING--Vote Required; Revocability of Proxies", and
"SPECIAL FACTORS--Recommendation of the Special
Committee and Board of Directors of the Company;
Fairness of the Merger" and "--Interests of Certain
Persons in the Merger" is incorporated herein by
reference.
Item 13. Other Provisions of the Transaction.
(a) The information set forth in "SUMMARY--Appraisal
Rights", "THE SPECIAL MEETING--Appraisal Rights" and
Appendix C to the Proxy Statement is incorporated herein
by reference.
(b) Not applicable.
(c) Not applicable.
Item 14. Financial Information.
-5-
<PAGE> 8
(a) The information set forth in "SELECTED FINANCIAL DATA" and
"INCORPORATION OF CERTAIN DOCUMENTS BY REFERENCE" in the
Proxy Statement is incorporated herein by reference.
(b) Not applicable.
Item 15. Persons and Assets Employed, Retained or Utilized.
(a)-(b) The information set forth in "SUMMARY--Solicitation of
Proxies" and "THE SPECIAL MEETING--Solicitation of
Proxies" is incorporated herein by reference.
Item 16. Additional Information.
The information set forth in "CERTAIN PROJECTED FINANCIAL DATA"
is incorporated herein by reference.
Item 17. Material to be Filed as Exhibits.
(a) Not applicable.
(b)(1) Fairness opinion of Morgan Stanley & Co. Incorporated
("Morgan Stanley") dated April 17, 1997 (incorporated
herein by reference to Appendix B to the Proxy
Statement).
(b)(2) A report presented by Morgan Stanley to the Board of
Directors of the Company, dated April 17, 1997,
containing certain financial analyses.
(b)(3) A report prepared by Donaldson, Lufkin & Jenrette
Securities Corporation to Zurich Group, dated December
4, 1996, containing certain financial analyses.
(c) Agreement and Plan of Merger, dated as of April 17,
1997, by and among the Company, Parent and Sub
(incorporated herein by reference to Appendix A to the
Proxy Statement).
(d) Preliminary Proxy Statement and related Notice of
Special Meeting, letter to stockholders and proxy card
(incorporated herein by reference to the Proxy Statement
and related materials filed by the Company on Schedule
14A).
-6-
<PAGE> 9
(e) Full text of Section 262 of the Delaware General
Corporation Law (incorporated herein by reference to
Appendix C to the Proxy Statement).
(f) Not applicable.
-7-
<PAGE> 10
SIGNATURE
After due inquiry and to the best of its knowledge and belief, each of the
undersigned certify that the information set forth in this statement is true,
complete and correct.
Date: May 20, 1997 ZURICH CENTRE INVESTMENTS LIMITED
By: /s/ Thomas Gleeson
---------------------------------
Name: Thomas Gleeson
Title: Vice President
Date: May 20, 1997 CENTRE MERGER CORP.
By: /s/ Steven D. Germain
---------------------------------
Name: Steven D. Germain
Title: Vice President
Date: May 20, 1997 ZURICH REINSURANCE CENTRE HOLDINGS,
INC.
By: /s/ Mark R. Sarlitto
---------------------------------
Name: Mark R. Sarlitto
Title: Senior Vice President,
General Counsel and
Secretary
-8-
<PAGE> 11
EXHIBIT INDEX
Exhibit No. Page No.
(a) Not applicable.
(b)(1) Fairness opinion of Morgan Stanley & Co.
Incorporated ("Morgan Stanley") dated April
17, 1997 (incorporated herein by reference
to Appendix B to the Proxy Statement).
(b)(2) A report presented by Morgan Stanley to the
Board of Directors of the Company, dated
April 17, 1997, containing certain financial
analyses.
(b)(3) A report prepared by Donaldson, Lufkin &
Jenrette Securities Corporation to Zurich
Group, dated December 4, 1996, containing
certain financial analyses.
(c) Agreement and Plan of Merger, dated as of
April 17, 1997, by and among the Company,
Parent and Sub (incorporated herein by
reference to Appendix A to the Proxy
Statement).
(d) Preliminary Proxy Statement and related
Notice of Special Meeting, letter to
stockholders and proxy card (incorporated
herein by reference to the Proxy Statement
and related materials filed by the Company
on Schedule 14A).
(e) Full text of Section 262 of the Delaware
General Corporation Law (incorporated herein
by reference to Appendix C to the Proxy
Statement).
(f) Not applicable.
-9-
<PAGE> 1
PROJECT JUICE
Presentation to the Board of Directors
April 17, 1997
MORGAN STANLEY
<PAGE> 2
PROJECT JUICE
================================================================================
Presentation to the Board
Table of Contents
SECTION I COMPANY OVERVIEW
Tab A Profile of Juice Company
Tab B Stock Market Analysis
Tab C Summary of Recent Analyst Commentary
SECTION II SUMMARY OF ANALYSIS
Tab A Valuation Summary
Tab B Multiple Matrix
Tab C Trading Comparison of Selected Companies
Tab D Summary of Economic Book Value Analysis
Tab E Summary of Discounted Cash Flow Analysis
Tab F Selected Premiums Paid in Precedent Transactions
APPENDICES
A Reserve Run-off Valuation
B Cost of Capital Analysis
C Excess Capital
D Comparable Company Statutory Operating Performance
E Discounted Cash Flow Valuation
F Precedent Transaction Analysis
MORGAN STANLEY
<PAGE> 3
PROJECT JUICE
================================================================================
Profile of Juice Company
Overview
o Third largest broker writer of property - casualty reinsurance in U.S.
- Casualty risk accounted for approximately 75% of 1995 Net Premiums
Written
- Property risk accounted for approximately 19% of 1995 Net Premiums
Written
- Multi-Peril risk accounted for the remaining 6% of 1995 Net Premiums
Written
- Treaty-based policies accounted for approximately 91% of 1995 Net
Premiums Written with facultative-based policies accounting for the
remaining 9%
- 47% of coverages are pro rata versus 53% on an excess of loss basis
o GAAP equity of $711.9MM as of December 31, 1996
o Fully distributed unaffected market value of common equity (including
shares owned by Zurich Insurance Group) of $805MM as of January 10, 1997
- Public float of approximately 8.6MM (33%) shares at January 10, 1997
- Zurich Insurance Group owns 66% of Juice
- Directors and certain executive officers own remaining 1% of Juice
-1-
MORGAN STANLEY
<PAGE> 4
PROJECT JUICE
================================================================================
Profile of Juice Company
(continued)
o Juice organized in 1993
- Initial Public Offering of approximately 8.55MM shares at $35
- In May 1993, Juice acquired ZRC from a Zurich affiliate for $63.3MM
o In April, 1995 Juice acquired Re Capital Reinsurance Corporation,
subsequently renamed ZC Insurance Company (ZCIC)
o Juice composed of wholly-owned operating subsidiaries Zurich Reinsurance
Centre, Inc (ZRC) and ZC Insurance Company
o Statutory capital and surplus of $690MM as of December 31, 1996
o ZRC ratings: "A" A.M. Best rating, "AA-" S&P claims-paying ability rating,
"Aa3" Moody's financial strength rating
-2-
MORGAN STANLEY
<PAGE> 5
PROJECT JUICE
================================================================================
Profile of Juice Company
(continued)
Business Strategy - "Act direct, think broker"
o Operate as a lead reinsurer to develop close and long-term client
relationships
- In 1995, operated as lead reinsurer with respect to approximately 82%
of non-affiliated gross premiums written
o Limit aggregate risk per treaty by including limitations of liability on
treaties
- Possess aggregate loss limits on 66% of its non-affiliated reinsurance
contracts written in 1995
o Build on reputation and affiliations of the Zurich Insurance Group
-3-
MORGAN STANLEY
<PAGE> 6
PROJECT JUICE
================================================================================
Juice Business Description
By Line Business Production and Profitability
($MM)
<TABLE>
<CAPTION>
1996 1995 1994
-------------------------------- -------------------------------- ----------------------------------
% of Pure Loss & % of Pure Loss & % of Pure Loss &
Total Loss LAE Total Loss LAE Total Loss LAE
Product Line NPW NPW Ratio Res. NPW NPW Ratio Res. NPW NPW Ratio Res.
- -------------------------- ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Reinsurance-Casualty $270.6 37.1% 62.4% $560.9 $286.6 47.6% 78.1% $424.8 $179.4 59.4% 77.9% $172.7
Other Liability Occurrence 62.2 8.5 51.0 79.8 65.1 10.8 62.1 50.5 -- -- -- --
Auto Liability 24.3 3.3 71.9 22.3 37.8 6.3 64.1 27.3 31.3 10.4 72.0 10.5
Auto Physical 33.5 4.6 91.8 16.1 36.5 6.1 76.9 13.3 -- -- -- --
Reinsurance-Property 31.6 4.3 52.9 20.9 32.7 5.4 54.5 22.0 26.8 8.9 63.4 14.8
Workers' Comp 117.3 16.1 62.9 69.0 27.0 4.5 56.8 18.6 25.9 8.6 60.8 15.2
Fire 20.2 2.8 52.5 13.5 19.1 3.2 75.3 13.4 9.0 3.0 105.4 9.0
Commercial MultiPeril 27.5 3.8 57.4 15.6 19.0 3.1 40.3 10.4 7.4 2.5 49.0 7.2
Homeowners 13.9 1.9 72.9 5.1 14.8 2.5 47.2 4.2 7.4 2.4 65.2 3.4
Fidelity 28.8 4.0 60.5 5.9 13.8 2.3 55.4 1.4 -- -- -- --
All Other 99.2 13.6 -- 97.8 49.8 8.3 69.3 81.4 14.9 4.9 -- 18.6
------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------
Totals $729.3 100.0% 100.0% $906.9 $602.3 100.0% 70.9% $667.4 $302.2 100.0% 74.9%(1) $251.4
====== ====== ====== ====== ====== ====== ====== ====== ====== ====== ====== ======
</TABLE>
Sources: A.M. Best, Company
Note: (1) Includes the effects (losses), net of reinsurance recoverable,
associated with the Northridge earthquake and the East coast
winter storms of $7.9MM (A/T), which added 5.5% to ZRC's loss and
LAE ratio in 1994.
-4-
MORGAN STANLEY
<PAGE> 7
PROJECT JUICE
================================================================================
Statutory Operating Profile of Juice (1)
($MM, except per share data)
<TABLE>
<CAPTION>
For the Years Ended December 31,
-----------------------------------------------------------------
Historical Projected (2)
------------------------------------- -----------------------
1994 1995 1996 1997 1998 CAGR/AVG
--------- --------- --------- --------- --------- ----------
<S> <C> <C> <C> <C> <C> <C>
Income Statement
Net premiums written $ 302.2 $ 602.3 $ 729.3 $ 791.2 $ 866.5 26.9%
Change in unearned premium (80.4) (104.3) 45.0 (48.9) (49.5) N.M.
--------- --------- --------- --------- ---------
Net premiums earned 221.8 497.9 684.3 742.4 817.1 35.1%
Net investment income 42.0 70.1 95.5 104.9 122.4 28.9%
Realized investment gains/losses (3) (24.4) 31.6 (4.3) 12.0 12.7 N.M.
--------- --------- --------- --------- ---------
Total revenue 239.5 599.6 775.5 859.2 952.2 36.6%
Loss and LAE expenses 182.8 376.3 485.8 529.6 586.6 30.6%
Underwriting expenses (4) 97.2 186.4 247.9 250.0 267.5 26.1%
--------- --------- --------- --------- ---------
Total expenses 280.0 562.7 733.7 779.6 854.1 29.1%
---------------------------------------------------------------------------------------------------------------------
Pre-tax net gain (40.5) 36.9 41.8 79.6 98.1 43.0%
Pre-tax net operating gain (5) (16.2) 5.3 46.1 67.6 85.4 139.2%
---------------------------------------------------------------------------------------------------------------------
Taxes 1.3 30.7 12.5 43.4 51.4 N.M.
Equity in Earnings of ZCIC -- -- -- (0.6) 0.7 N.M.
---------------------------------------------------------------------------------------------------------------------
After-tax net gain (41.9) 6.2 29.3 35.6 47.4 87.6%
After-tax net operating gain (5) (26.0) (14.3) 32.1 27.8 39.1 10.4%
---------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------
Loss and LAE ratio 82.4% 75.6% 71.0% 71.3% 71.8% 74.4%
Total Expense ratio 32.2% 30.9% 34.0% 31.6% 30.9% 31.9%
--------- --------- --------- --------- ---------
Combined ratio 114.6% 106.5% 105.0% 102.9% 102.7% 106.3%
Return on average surplus N.M. N.M. 4.8% 4.0% 5.4% 4.7%
-----------------------------------------------------------------------------------------------------------------------
Balance Sheet
Unpaid losses and LAE+UPR $ 365.3 $ 932.3 $ 1,208.7 $ 1,518.8 $ 1,835.0 45.0%
Capital & Surplus
Beginning of year 614.7 607.5 657.2 690.1 705.1 4.1%
End of year 607.5 657.2 690.1 705.1 747.7 5.0%
Average 611.1 632.3 673.6 697.6 726.4 4.5%
-----------------------------------------------------------------------------------------------------------------------
NPW/Average capital & surplus 0.49 x 0.95 1.08 x 1.13 x 1.19 x 0.97 x
Losses+LAE+UPR/Ending Surplus 0.60 1.42 1.75 2.15 2.45 1.68
-----------------------------------------------------------------------------------------------------------------------
</TABLE>
Notes:
- ----------
(1) Based on statutory financial data of primary insurance subsidiary, Zurich
Reinsurance Centre. Historical financial results prior to 1994 are not
comparable and thus are excluded.
(2) From Company "Base Case" projections.
(3) Includes revenues classified as "Other Income".
(4) Includes commission expenses.
(5) Excludes realized gains/losses.
-5-
MORGAN STANLEY
<PAGE> 8
PROJECT JUICE
================================================================================
Juice's GAAP Historical Operating Profile
($MM, except per share data)
<TABLE>
<CAPTION>
For the years ended December 31,
-----------------------------------------------------------------
Actual (1) Projected (3)
------------------------------------- ----------------------- 1994-1998
Income Statement 1994 1995 (2) 1996 1997E 1998E CAGR/AVG
--------- --------- --------- --------- --------- ----------
<S> <C> <C> <C> <C> <C> <C>
Net premiums written $ 309.6 $ 602.3 $ 729.3 $ 815.0 896.5 27.5%
Change in unearned premium (85.0) (99.7) (45.0) (60.5) (52.7) N.M.
--------- --------- --------- --------- ---------
Net premiums earned 224.6 502.6 684.3 754.5 843.8 35.7%
Net Investment Income 51.0 80.0 92.2 114.4 132.5 25.4%
Realized investment gains/losses (35.6) 33.5 (1.8) 12.0 12.7 N.M.
Other Income 3.2 0.5 0.7 0.0 0.0 N.M.
--------- --------- --------- --------- ---------
Total revenue $ 243.2 $ 616.7 $ 775.5 $ 880.9 $ 989.0 37.2%
Loss and LAE expenses 182.8 376.3 485.8 537.7 604.6 31.6%
Commissions 53.2 124.3 184.7 196.0 216.1 38.5%
Other operating costs and expenses 34.8 43.4 47.7 55.6 58.4 13.7%
Interest Expense 14.3 15.1 14.3 14.3 14.3 -0.6%
Goodwill Amortization 0.0 0.8 1.2 1.2 1.2 N.M.
--------- --------- --------- --------- ---------
Total expenses $ 285.1 $ 559.9 $ 733.7 $ 804.9 $ 894.5 30.3%
--------------------------------------------------------------------------------------------------------------
Pre-tax income ($41.9) $ 56.8 $ 41.8 $ 76.0 $ 94.5 N.M.
Pre-tax operating income(4) (6.3) 23.2 43.6 64.0 81.8 N.M.
--------------------------------------------------------------------------------------------------------------
Federal Income Tax Expense (Benefit) (10.7) 13.3 12.5 23.8 29.8 N.M.
---------------------------------------------------------------------------------------------------------------------
After-tax income (31.2) 43.4 29.3 52.2 64.7 N.M.
After-tax operating income(4) (8.0) 21.6 30.5 44.4 56.5 N.M.
Net Income available to common (31.2) 43.4 29.3 52.2 64.7 N.M.
---------------------------------------------------------------------------------------------------------------------
Weighted average shares outstanding 26.11 26.16 26.16 26.20 26.20 0.2%
---------------------------------------------------------------------------------------------------------------------
Net Income per share ($1.19) $ 1.66 $ 1.12 $ 1.99 $ 2.47 N.M.
---------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------
Loss & LAE ratio 81.4% 74.9% 71.0% 71.3% 71.6% 74.0%
Expense ratio 11.2% 7.2% 6.5% 6.8% 6.5% 7.7%
Commission ratio 23.7% 24.7% 27.0% 26.0% 25.6% 25.4%
--------- --------- --------- --------- ---------
Combined ratio 116.3% 106.8% 104.5% 104.1% 103.8% 107.1%
Return on average common equity N.M. 3.5% 4.4% 6.1% 7.3% 5.3%
------------------------------------------------------------------------------------------------------------------------
Balance Sheet
Losses and LAE+UPR $ 382.0 $ 961.7 $ 1,252.0 $ 1,571.0 $ 1,898.7 44.7%
Long term debt 198.4 198.4 198.4 198.4 198.4 N.M.
Common Equity
Beginning of year 637.7 565.2 681.6 711.9 742.1 5.5%
End of year 565.2 681.6 711.9 742.1 804.5 8.2%
Average Balance 601.5 623.4 696.7 727.0 773.3 6.8%
------------------------------------------------------------------------------------------------------------------------
NPW/Average common equity 0.51 x 0.97 x 1.05 x 1.12 x 1.16 x 0.96 x
Losses+LAE+UPR/Ending equity 0.68 1.41 1.76 2.12 2.36 1.66
Losses+LAE/NPW 1.23 1.60 1.72 1.93 2.12 1.72
EBIT/Interest N.M. 4.75 3.93 6.32 7.61 5.65
Debt/Total Capitalization (5) 26.0% 22.5% 21.8% 21.1% 19.8% 22.2%
------------------------------------------------------------------------------------------------------------------------
</TABLE>
Notes:
- ------
(1) Historical financial data from the 10-Ks.
(2) 1995 figures reflect the acquisition of Re Capital in 4/95. Prior
years have not been restated to reflect this acquisition. Pro forma
for the acquisition, total revenues, net income and net income per
share data in 1995 would have been $650.0MM, $38.8MM and $1.48. In
1994, the corresponding pro forma financial data would have been
$385.6MM, ($25.3MM) and ($.097), respectively.
(3) Company estimates
(4) Excludes realized gains/(losses).
(5) Total book capitalization is defined as the book value of common
equity plus debt.
-6-
MORGAN STANLEY
<PAGE> 9
PROJECT JUICE
================================================================================
Expectations at IPO Have Not Materialized
ZRC's IPO price of $35 was based on extremely optimistic projections
Environment at IPO Present Environment
- ------------------ -------------------
o IPO occured at top of reinsurance o Pricing environment has
equity cycle declined substantially
o $600 million of statutory capital o Increased capital and capacity
making it the largest broker in the reinsurance industry
market reinsurer with strong, leading to intense competition
clean balance sheet
- Company has slipped to third
from being the largest
broker market reinsurer
o Poised to benefit from o Commoditization and increased
consolidation and turmoil in the pricing pressure
reinsurance industry
o Strong earnings growth o Slower growth and cost
expectation reduction than expected leading
to lower operating earnings
- Long term secular earnings growth
expectation of 15-20%
o Substantial benefits from Zurich o Inability to capitalize on
relationship opportunities overseas and in
finite risk markets because of
the Zurich relationship
o Capable management team with o Management incentives are out
strong financial incentives of the money
o Unique business strategy of o Unwillingness to pursue
"Think direct, act broker" with commodity transactions in tough
focus on non-commodity business business environment
-7-
MORGAN STANLEY
<PAGE> 10
PROJECT JUICE
================================================================================
Expectations at IPO Have Not Materialized
(continued)
<TABLE>
<CAPTION>
1994E Actual Difference 1995E Actual Difference 1996E Latest Est. Difference 1997E
----- ------ ---------- ----- ------ ---------- ----- ----------- ---------- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
NPW ($MM) $375 $310 ($65) $800 $602 ($198) $980 $729 ($251) $1,225
Operating Earning($MM) 36.1 (6.3) (42.4) 62.8 23.2 (39.6) 99.8 32.6 (67.2) 131.2
Per Share Data
Operating Earnings $1.38 ($0.11) ($1.49) $2.40 $0.62 ($1.78) $3.82 $1.24 ($2.58) $5.03
Multiple (1) 25.4 N.M. 14.6 56.5 9.2 28.2 7.0
Book Value 25.18 21.64 (3.54) 27.11 26.02 (1.09) 30.24 27.16 ($3.08) 34.32
Multiple (1) 1.39 1.62 1.29 1.35 1.16 1.29 1.02
Combined Ratio 101.0% 116.3% 15.3% 99.0% 106.8% 7.8% 99.0% 102.9% 3.9% 99.6%
Operating Return on Equity N.M. 3.5% 4.7%
</TABLE>
Note: (1) Based on $35 IPO price.
-8-
MORGAN STANLEY
<PAGE> 11
PROJECT JUICE
================================================================================
Analyst Expectations (1) and Price Performance
IPO (5/12/93) to Present
<TABLE>
<CAPTION>
ANALYST ESTIMATES ACTUAL EPS
------------------------------ ------------------------------ JUICE ABSOLUTE
1993 1994 1995 1996 1993 1994 1995 1996 STOCK PRICE PERFORMANCE
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Jan-93
Feb-93
Mar-93
Apr-93
May-93 12-May-93 35
Jun-93 13-May-93 35.125
Jul-93 0.33 14-May-93 35
Aug-93 0.33 17-May-93 34.375
Sep-93 0.33 18-May-93 32.75
Oct-93 0.33 19-May-93 32.875
Nov-93 0.33 20-May-93 32.75
Dec-93 0.35 21-May-93 33.125
Jan-94 0.34 0.12 24-May-93 32.75
Feb-94 0.96 25-May-93 32.5
Mar-94 0.86 26-May-93 31.625
Apr-94 0.86 27-May-93 32.625
May-94 0.34 28-May-93 32.375
Jun-94 0.38 31-May-93 32.375
Jul-94 0.29 01-Jun-93 32.5
Aug-94 0.04 02-Jun-93 32.25
Sep-94 0.03 03-Jun-93 32.25
Oct-94 -0.13 04-Jun-93 32.125
Nov-94 -0.12 07-Jun-93 31.875
Dec-94 -0.12 08-Jun-93 31.75
Jan-95 -0.12 -0.11 09-Jun-93 31.75
Feb-95 0.38 10-Jun-93 31.625
Mar-95 0.41 11-Jun-93 31.5
Apr-95 0.43 14-Jun-93 32.625
May-95 0.46 15-Jun-93 32.5
Jun-95 0.48 16-Jun-93 32.5
Jul-95 0.52 17-Jun-93 32.375
Aug-95 0.54 18-Jun-93 32.25
Sep-95 0.57 21-Jun-93 31.875
Oct-95 0.57 22-Jun-93 31.5
Nov-95 0.56 23-Jun-93 31.125
Dec-95 0.56 24-Jun-93 30.375
Jan-96 0.57 0.62 25-Jun-93 30.125
Feb-96 0.97 28-Jun-93 31
Mar-96 0.96 29-Jun-93 30.75
Apr-96 0.97 30-Jun-93 32.25
May-96 1.02 01-Jul-93 33.75
Jun-96 1.02 02-Jul-93 32.25
Jul-96 1.02 05-Jul-93 32.25
Aug-96 1.08 06-Jul-93 31.625
Sep-96 1.08 07-Jul-93 31.625
Oct-96 1.07 08-Jul-93 32
Nov-96 1.12 09-Jul-93 32.625
Dec-96 1.13 12-Jul-93 32.75
Jan-97 1.24 13-Jul-93 32.625
Feb-97
Mar-97
Apr-97
</TABLE>
Note: (1) Represents I/B/E/S consensus mean FY1 EPS estimates.
-9-
MORGAN STANLEY
<PAGE> 12
2
<TABLE>
<CAPTION>
JUICE ABSOLUTE
STOCK PRICE PERFORMANCE -- CONT.
<S> <C> <C>
14-Jul-93 33
15-Jul-93 32.875
16-Jul-93 32.5
19-Jul-93 32.25
20-Jul-93 32.75
21-Jul-93 32.75
22-Jul-93 33
23-Jul-93 33
26-Jul-93 32.875
27-Jul-93 33.125
28-Jul-93 33
29-Jul-93 33.5
30-Jul-93 33.5
02-Aug-93 33.625
03-Aug-93 33.75
04-Aug-93 34
05-Aug-93 33.875
06-Aug-93 33.5
09-Aug-93 33.5
10-Aug-93 33
11-Aug-93 33
12-Aug-93 33.25
13-Aug-93 33.25
16-Aug-93 33.75
17-Aug-93 33.625
18-Aug-93 33.375
19-Aug-93 33.375
20-Aug-93 33.5
23-Aug-93 33.5
24-Aug-93 33.5
25-Aug-93 33.625
26-Aug-93 33.125
27-Aug-93 32.625
30-Aug-93 32.5
31-Aug-93 32.625
01-Sep-93 32.25
02-Sep-93 31.75
03-Sep-93 31.75
06-Sep-93 31.75
07-Sep-93 31.625
08-Sep-93 31.5
09-Sep-93 31.25
10-Sep-93 31.25
13-Sep-93 31.5
14-Sep-93 31.375
15-Sep-93 31.625
16-Sep-93 31.375
17-Sep-93 31.25
20-Sep-93 31.25
21-Sep-93 30.75
</TABLE>
<PAGE> 13
3
<TABLE>
<CAPTION>
JUICE ABSOLUTE STOCK
PRICE PERFORMANCE -- CONT.
<S> <C>
22-Sep-93 31.25
23-Sep-93 31.25
24-Sep-93 31
27-Sep-93 31.25
28-Sep-93 31.125
29-Sep-93 31.125
30-Sep-93 31.25
01-Oct-93 31.125
04-Oct-93 31
05-Oct-93 31.5
06-Oct-93 32
07-Oct-93 32.75
08-Oct-93 32.5
11-Oct-93 32.75
12-Oct-93 32.75
13-Oct-93 32.625
14-Oct-93 31.75
15-Oct-93 32
18-Oct-93 32
19-Oct-93 31.5
20-Oct-93 31.75
21-Oct-93 31.375
22-Oct-93 31.5
25-Oct-93 31.375
26-Oct-93 31.125
27-Oct-93 31
28-Oct-93 31
29-Oct-93 31
01-Nov-93 30.5
02-Nov-93 30.25
03-Nov-93 29.5
04-Nov-93 29.5
05-Nov-93 29.75
08-Nov-93 30
09-Nov-93 29.75
10-Nov-93 29.75
11-Nov-93 30.25
12-Nov-93 30.375
15-Nov-93 30.5
16-Nov-93 30.625
17-Nov-93 31
18-Nov-93 30.5
19-Nov-93 30.375
22-Nov-93 30.25
23-Nov-93 29.75
24-Nov-93 29.625
25-Nov-93 29.625
26-Nov-93 30
29-Nov-93 30
30-Nov-93 29.875
</TABLE>
<PAGE> 14
4
<TABLE>
<CAPTION>
JUICE ABSOLUTE STOCK
PRICE PERFORMANCE -- CONT.
<S> <C>
01-Dec-93 30
02-Dec-93 30
03-Dec-93 30
06-Dec-93 30
07-Dec-93 29.75
08-Dec-93 29.5
09-Dec-93 29.375
10-Dec-93 29.125
13-Dec-93 28.625
14-Dec-93 28.375
15-Dec-93 28.375
16-Dec-93 27.75
17-Dec-93 27.25
20-Dec-93 27.625
21-Dec-93 27.875
22-Dec-93 28.25
23-Dec-93 27.75
24-Dec-93 27.75
27-Dec-93 27.5
28-Dec-93 27.625
29-Dec-93 28
30-Dec-93 28.25
31-Dec-93 28.125
03-Jan-94 28.375
04-Jan-94 27.5
05-Jan-94 27.25
06-Jan-94 27
07-Jan-94 27.25
10-Jan-94 27
11-Jan-94 26.75
12-Jan-94 26.875
13-Jan-94 26.875
14-Jan-94 26.625
17-Jan-94 26.75
18-Jan-94 26.875
19-Jan-94 26.875
20-Jan-94 27
21-Jan-94 26.75
24-Jan-94 26.75
25-Jan-94 26.875
26-Jan-94 26.625
27-Jan-94 26.5
28-Jan-94 26.625
31-Jan-94 26.875
01-Feb-94 26.875
02-Feb-94 26.75
03-Feb-94 27.5
04-Feb-94 27
07-Feb-94 26.875
08-Feb-94 27.25
</TABLE>
<PAGE> 15
5
<TABLE>
<CAPTION>
JUICE ABSOLUTE STOCK
PRICE PERFORMANCE -- CONT.
<S> <C>
09-Feb-94 27.25
10-Feb-94 27.25
11-Feb-94 27.25
14-Feb-94 27.375
15-Feb-94 27.25
16-Feb-94 27
17-Feb-94 26.5
18-Feb-94 26.5
21-Feb-94 26.5
22-Feb-94 26.25
23-Feb-94 26.125
24-Feb-94 26
25-Feb-94 26.125
28-Feb-94 26.25
01-Mar-94 26.375
02-Mar-94 25.875
03-Mar-94 25.625
04-Mar-94 25.5
07-Mar-94 25.25
08-Mar-94 25.125
09-Mar-94 25
10-Mar-94 24.75
11-Mar-94 24.375
14-Mar-94 25.25
15-Mar-94 25.25
16-Mar-94 25.625
17-Mar-94 25.75
18-Mar-94 25.875
21-Mar-94 26.625
22-Mar-94 26.75
23-Mar-94 26.75
24-Mar-94 26.75
25-Mar-94 26.875
28-Mar-94 27
29-Mar-94 26.5
30-Mar-94 26.5
31-Mar-94 26.375
01-Apr-94 26.375
04-Apr-94 25.875
05-Apr-94 26
06-Apr-94 26
07-Apr-94 26.5
08-Apr-94 26.375
11-Apr-94 26.25
12-Apr-94 26.5
13-Apr-94 26
14-Apr-94 26
15-Apr-94 26
18-Apr-94 25.875
19-Apr-94 26
</TABLE>
<PAGE> 16
6
<TABLE>
<CAPTION>
JUICE ABSOLUTE STOCK
PRICE PERFORMANCE -- CONT.
<S> <C>
20-Apr-94 25.875
21-Apr-94 25.75
22-Apr-94 25.75
25-Apr-94 25.75
26-Apr-94 25.625
27-Apr-94 25.625
28-Apr-94 25.75
29-Apr-94 25.5
02-May-94 25.5
03-May-94 25.5
04-May-94 25.375
05-May-94 25.625
06-May-94 25.5
09-May-94 25.5
10-May-94 25.5
11-May-94 25.125
12-May-94 24.625
13-May-94 24.875
16-May-94 25.125
17-May-94 25
18-May-94 25.125
19-May-94 25.375
20-May-94 25.125
23-May-94 25.25
24-May-94 25.5
25-May-94 25.375
26-May-94 25.375
27-May-94 25.75
30-May-94 25.75
31-May-94 25.625
01-Jun-94 25.75
02-Jun-94 26.375
03-Jun-94 26.125
06-Jun-94 26.125
07-Jun-94 25.875
08-Jun-94 26
09-Jun-94 26
10-Jun-94 26
13-Jun-94 26.375
14-Jun-94 26.625
15-Jun-94 27.125
16-Jun-94 27
17-Jun-94 27.25
20-Jun-94 27.25
21-Jun-94 27.25
22-Jun-94 27.125
23-Jun-94 26.625
24-Jun-94 26.5
27-Jun-94 26.5
28-Jun-94 26.75
</TABLE>
<PAGE> 17
7
<TABLE>
<CAPTION>
JUICE ABSOLUTE STOCK
PRICE PERFORMANCE -- CONT.
<S> <C>
29-Jun-94 27.25
30-Jun-94 26.875
01-Jul-94 27.125
04-Jul-94 27.125
05-Jul-94 27.25
06-Jul-94 27.25
07-Jul-94 27.5
08-Jul-94 27.375
11-Jul-94 27.5
12-Jul-94 27.5
13-Jul-94 27.375
14-Jul-94 27.375
15-Jul-94 27.375
18-Jul-94 27.5
19-Jul-94 27.5
20-Jul-94 27.625
21-Jul-94 27.5
22-Jul-94 27.5
25-Jul-94 27.25
26-Jul-94 27.25
27-Jul-94 27.125
28-Jul-94 27
29-Jul-94 27.25
01-Aug-94 27.125
02-Aug-94 27
03-Aug-94 27
04-Aug-94 26.875
05-Aug-94 27.25
08-Aug-94 27.25
09-Aug-94 27.375
10-Aug-94 27.25
11-Aug-94 27.375
12-Aug-94 27.125
15-Aug-94 27.25
16-Aug-94 27.375
17-Aug-94 27.25
18-Aug-94 27.25
19-Aug-94 27.375
22-Aug-94 27
23-Aug-94 27
24-Aug-94 27.375
25-Aug-94 27.25
26-Aug-94 27.375
29-Aug-94 27.5
30-Aug-94 27.375
31-Aug-94 27.375
01-Sep-94 27.125
02-Sep-94 27.125
05-Sep-94 27.125
06-Sep-94 27.125
</TABLE>
<PAGE> 18
8
<TABLE>
<CAPTION>
JUICE ABSOLUTE STOCK
PRICE PERFORMANCE -- CONT.
<S> <C>
07-Sep-94 27.125
08-Sep-94 27.125
09-Sep-94 27
12-Sep-94 27
13-Sep-94 27.125
14-Sep-94 27
15-Sep-94 27.25
16-Sep-94 27
19-Sep-94 27.125
20-Sep-94 27.125
21-Sep-94 27.125
22-Sep-94 27
23-Sep-94 27
26-Sep-94 27.125
27-Sep-94 27.125
28-Sep-94 27
29-Sep-94 27
30-Sep-94 27
03-Oct-94 27
04-Oct-94 27
05-Oct-94 27
06-Oct-94 26.875
07-Oct-94 26.75
10-Oct-94 26.625
11-Oct-94 26.625
12-Oct-94 26.375
13-Oct-94 26.25
14-Oct-94 26.375
17-Oct-94 26.75
18-Oct-94 26.625
19-Oct-94 26.625
20-Oct-94 26.5
21-Oct-94 26.5
24-Oct-94 26.5
25-Oct-94 26.5
26-Oct-94 26.375
27-Oct-94 26.125
28-Oct-94 26.125
31-Oct-94 26
01-Nov-94 25.75
02-Nov-94 25.75
03-Nov-94 25.75
04-Nov-94 25.75
07-Nov-94 25.75
08-Nov-94 26.75
09-Nov-94 26.75
10-Nov-94 27.375
11-Nov-94 27.375
14-Nov-94 27.25
15-Nov-94 27.5
</TABLE>
<PAGE> 19
9
<TABLE>
<CAPTION>
JUICE ABSOLUTE STOCK
PRICE PERFORMANCE -- CONT.
<S> <C>
16-Nov-94 27.375
17-Nov-94 27.25
18-Nov-94 27.25
21-Nov-94 27.25
22-Nov-94 26.75
23-Nov-94 26.375
24-Nov-94 26.375
25-Nov-94 26.125
28-Nov-94 26.375
29-Nov-94 26.375
30-Nov-94 26.5
01-Dec-94 26.375
02-Dec-94 26.5
05-Dec-94 26.5
06-Dec-94 26.375
07-Dec-94 26
08-Dec-94 25.5
09-Dec-94 25.5
12-Dec-94 25.5
13-Dec-94 25.25
14-Dec-94 25.375
15-Dec-94 25.75
16-Dec-94 26
19-Dec-94 26.25
20-Dec-94 27
21-Dec-94 27.5
22-Dec-94 27.25
23-Dec-94 27.375
26-Dec-94 27.375
27-Dec-94 27.25
28-Dec-94 28
29-Dec-94 28.5
30-Dec-94 28.875
02-Jan-95 28.875
03-Jan-95 28.875
04-Jan-95 28.875
05-Jan-95 29
06-Jan-95 28.875
09-Jan-95 28.875
10-Jan-95 28.875
11-Jan-95 28.875
12-Jan-95 29.125
13-Jan-95 29
16-Jan-95 29.25
17-Jan-95 29.125
18-Jan-95 29
19-Jan-95 28.75
20-Jan-95 28.625
23-Jan-95 28.5
24-Jan-95 28.5
</TABLE>
<PAGE> 20
10
<TABLE>
<CAPTION>
JUICE ABSOLUTE STOCK
PRICE PERFORMANCE -- CONT.
<S> <C>
25-Jan-95 28.5
26-Jan-95 28.625
27-Jan-95 28.875
30-Jan-95 28.875
31-Jan-95 29
01-Feb-95 28.75
02-Feb-95 28.75
03-Feb-95 28.625
06-Feb-95 28.875
07-Feb-95 29
08-Feb-95 29
09-Feb-95 29
10-Feb-95 29
13-Feb-95 29
14-Feb-95 29.125
15-Feb-95 29.5
16-Feb-95 29.875
17-Feb-95 30
20-Feb-95 30
21-Feb-95 30
22-Feb-95 29.875
23-Feb-95 29.875
24-Feb-95 29.875
27-Feb-95 30
28-Feb-95 30.25
01-Mar-95 30.25
02-Mar-95 30.25
03-Mar-95 30.125
06-Mar-95 30.125
07-Mar-95 30
08-Mar-95 29.875
09-Mar-95 30.125
10-Mar-95 30.125
13-Mar-95 30.25
14-Mar-95 30.125
15-Mar-95 30.375
16-Mar-95 30.25
17-Mar-95 30.125
20-Mar-95 30.375
21-Mar-95 30.125
22-Mar-95 30.375
23-Mar-95 30.375
24-Mar-95 30.375
27-Mar-95 30.25
28-Mar-95 30.125
29-Mar-95 30.125
30-Mar-95 30.375
31-Mar-95 30.375
03-Apr-95 30.75
04-Apr-95 30.75
</TABLE>
<PAGE> 21
11
<TABLE>
<CAPTION>
JUICE ABSOLUTE STOCK
PRICE PERFORMANCE -- CONT.
<S> <C>
05-Apr-95 30.75
06-Apr-95 30.625
07-Apr-95 30.5
10-Apr-95 30.25
11-Apr-95 30.5
12-Apr-95 30.375
13-Apr-95 30.375
14-Apr-95 30.375
17-Apr-95 30.5
18-Apr-95 30.625
19-Apr-95 30.375
20-Apr-95 30.375
21-Apr-95 30.125
24-Apr-95 30.125
25-Apr-95 30.375
26-Apr-95 30.125
27-Apr-95 30.125
28-Apr-95 29.875
01-May-95 29.875
02-May-95 29.75
03-May-95 29.75
04-May-95 30
05-May-95 29.75
08-May-95 29.75
09-May-95 29.75
10-May-95 29.875
11-May-95 29.75
12-May-95 30.125
15-May-95 30.125
16-May-95 30
17-May-95 30.125
18-May-95 29.5
19-May-95 29.625
22-May-95 29.5
23-May-95 29.5
24-May-95 29.75
25-May-95 30.25
26-May-95 30
29-May-95 30
30-May-95 29.375
31-May-95 29
01-Jun-95 28.75
02-Jun-95 28.75
05-Jun-95 28.75
06-Jun-95 28.75
07-Jun-95 28.75
08-Jun-95 28.875
09-Jun-95 28.875
12-Jun-95 28.875
13-Jun-95 28.75
</TABLE>
<PAGE> 22
12
<TABLE>
<CAPTION>
JUICE ABSOLUTE STOCK
PRICE PERFORMANCE -- CONT.
<S> <C>
14-Jun-95 28.75
15-Jun-95 29
16-Jun-95 29.125
19-Jun-95 29.125
20-Jun-95 29.25
21-Jun-95 29.375
22-Jun-95 28.75
23-Jun-95 29
26-Jun-95 28.75
27-Jun-95 29
28-Jun-95 29.125
29-Jun-95 28.75
30-Jun-95 28.625
03-Jul-95 28.625
04-Jul-95 28.625
05-Jul-95 28.5
06-Jul-95 28.5
07-Jul-95 28.25
10-Jul-95 28.25
11-Jul-95 28.125
12-Jul-95 28.25
13-Jul-95 28.125
14-Jul-95 28.25
17-Jul-95 28.25
18-Jul-95 28.25
19-Jul-95 28.25
20-Jul-95 28.125
21-Jul-95 28.25
24-Jul-95 28.25
25-Jul-95 28.125
26-Jul-95 28
27-Jul-95 28
28-Jul-95 28
31-Jul-95 28.125
01-Aug-95 28.125
02-Aug-95 28.25
03-Aug-95 28.25
04-Aug-95 28.25
07-Aug-95 28.25
08-Aug-95 28.375
09-Aug-95 28.375
10-Aug-95 28.25
11-Aug-95 28.375
14-Aug-95 28.5
15-Aug-95 28.875
16-Aug-95 29.375
17-Aug-95 29.75
18-Aug-95 29.625
21-Aug-95 29.75
22-Aug-95 29.875
</TABLE>
<PAGE> 23
13
<TABLE>
<CAPTION>
JUICE ABSOLUTE STOCK
PRICE PERFORMANCE -- CONT.
<S> <C>
23-Aug-95 29.75
24-Aug-95 29.75
25-Aug-95 29.75
28-Aug-95 29.875
29-Aug-95 29.688
30-Aug-95 29.5
31-Aug-95 29.5
01-Sep-95 29.625
04-Sep-95 29.625
05-Sep-95 29.375
06-Sep-95 29.75
07-Sep-95 30
08-Sep-95 30
11-Sep-95 29.875
12-Sep-95 29.875
13-Sep-95 29.875
14-Sep-95 29.875
15-Sep-95 29.75
18-Sep-95 29.875
19-Sep-95 29.75
20-Sep-95 29.625
21-Sep-95 29.625
22-Sep-95 29.25
25-Sep-95 29.75
26-Sep-95 29.875
27-Sep-95 29.75
28-Sep-95 29.625
29-Sep-95 29.75
02-Oct-95 29.5
03-Oct-95 29.5
04-Oct-95 29.375
05-Oct-95 29.5
06-Oct-95 29.5
09-Oct-95 29.375
10-Oct-95 29.125
11-Oct-95 29.5
12-Oct-95 29.5
13-Oct-95 29.25
16-Oct-95 29.375
17-Oct-95 29.25
18-Oct-95 29.375
19-Oct-95 29.375
20-Oct-95 29.375
23-Oct-95 29.125
24-Oct-95 29
25-Oct-95 28.875
26-Oct-95 28.875
27-Oct-95 28.875
30-Oct-95 28.75
31-Oct-95 28.75
</TABLE>
<PAGE> 24
14
<TABLE>
<CAPTION>
JUICE ABSOLUTE STOCK
PRICE PERFORMANCE -- CONT.
<S> <C>
01-Nov-95 28.625
02-Nov-95 28.25
03-Nov-95 28.5
06-Nov-95 28.5
07-Nov-95 28.375
08-Nov-95 28.5
09-Nov-95 28.875
10-Nov-95 28.875
13-Nov-95 29
14-Nov-95 29
15-Nov-95 28.875
16-Nov-95 28.625
17-Nov-95 28.75
20-Nov-95 28.625
21-Nov-95 28.625
22-Nov-95 28.625
23-Nov-95 28.625
24-Nov-95 28.625
27-Nov-95 28.75
28-Nov-95 28.75
29-Nov-95 28.875
30-Nov-95 29.25
01-Dec-95 29.5
04-Dec-95 29.125
05-Dec-95 29.5
06-Dec-95 29.375
07-Dec-95 29.25
08-Dec-95 29.25
11-Dec-95 28.75
12-Dec-95 28.75
13-Dec-95 28.75
14-Dec-95 29.25
15-Dec-95 29.75
18-Dec-95 29.5
19-Dec-95 29.5
20-Dec-95 29.5
21-Dec-95 29.625
22-Dec-95 30
25-Dec-95 30
26-Dec-95 29.875
27-Dec-95 30.5
28-Dec-95 30.125
29-Dec-95 30.375
01-Jan-96 30.375
02-Jan-96 30.25
03-Jan-96 30.25
04-Jan-96 30.25
05-Jan-96 30.25
08-Jan-96 30.125
09-Jan-96 30.25
</TABLE>
<PAGE> 25
15
<TABLE>
<CAPTION>
JUICE ABSOLUTE STOCK
PRICE PERFORMANCE -- CONT.
<S> <C>
10-Jan-96 30.125
11-Jan-96 29.875
12-Jan-96 29.875
15-Jan-96 29.875
16-Jan-96 29.75
17-Jan-96 29.625
18-Jan-96 29.375
19-Jan-96 29.625
22-Jan-96 30
23-Jan-96 30.5
24-Jan-96 30.125
25-Jan-96 30
26-Jan-96 29.875
29-Jan-96 30.125
30-Jan-96 30.25
31-Jan-96 30.125
01-Feb-96 30.25
02-Feb-96 30.25
05-Feb-96 30.375
06-Feb-96 30.625
07-Feb-96 30.375
08-Feb-96 30.5
09-Feb-96 30.5
12-Feb-96 30.5
13-Feb-96 31.125
14-Feb-96 31.625
15-Feb-96 31.625
16-Feb-96 32.375
19-Feb-96 32.375
20-Feb-96 32.25
21-Feb-96 32.25
22-Feb-96 32.375
23-Feb-96 32.375
26-Feb-96 32.375
27-Feb-96 32.25
28-Feb-96 31.75
29-Feb-96 31.75
01-Mar-96 31.75
04-Mar-96 32.125
05-Mar-96 32.125
06-Mar-96 32
07-Mar-96 31.875
08-Mar-96 31
11-Mar-96 31
12-Mar-96 31.25
13-Mar-96 31.25
14-Mar-96 30.625
15-Mar-96 30.625
18-Mar-96 31.25
19-Mar-96 31
</TABLE>
<PAGE> 26
16
<TABLE>
<CAPTION>
JUICE ABSOLUTE STOCK
PRICE PERFORMANCE -- CONT.
<S> <C>
20-Mar-96 31.125
21-Mar-96 31.125
22-Mar-96 31.25
25-Mar-96 31.25
26-Mar-96 31.125
27-Mar-96 31.375
28-Mar-96 31.25
29-Mar-96 32.625
01-Apr-96 32.25
02-Apr-96 32.25
03-Apr-96 32.125
04-Apr-96 32.125
05-Apr-96 32.125
08-Apr-96 31.75
09-Apr-96 31.875
10-Apr-96 31
11-Apr-96 31.5
12-Apr-96 31.625
15-Apr-96 31.75
16-Apr-96 31.563
17-Apr-96 31.375
18-Apr-96 31.375
19-Apr-96 31.125
22-Apr-96 31.25
23-Apr-96 31
24-Apr-96 30.75
25-Apr-96 30.375
26-Apr-96 30.25
29-Apr-96 30
30-Apr-96 30.125
01-May-96 30
02-May-96 29.875
03-May-96 29.938
06-May-96 29.875
07-May-96 29.875
08-May-96 30.125
09-May-96 30.5
10-May-96 30.625
13-May-96 30.875
14-May-96 31.25
15-May-96 31.25
16-May-96 31.5
17-May-96 31.75
20-May-96 31.875
21-May-96 31.625
22-May-96 31.5
23-May-96 31.5
24-May-96 32
27-May-96 32
28-May-96 31.75
</TABLE>
<PAGE> 27
17
<TABLE>
<CAPTION>
JUICE ABSOLUTE STOCK
PRICE PERFORMANCE -- CONT.
<S> <C>
29-May-96 32.125
30-May-96 32.125
31-May-96 31.875
03-Jun-96 32
04-Jun-96 32
05-Jun-96 32.125
06-Jun-96 31.875
07-Jun-96 31.75
10-Jun-96 31.75
11-Jun-96 31.25
12-Jun-96 31.125
13-Jun-96 31.25
14-Jun-96 31.375
17-Jun-96 31.5
18-Jun-96 31.625
19-Jun-96 31.625
20-Jun-96 31.75
21-Jun-96 31.625
24-Jun-96 31.375
25-Jun-96 30.875
26-Jun-96 31.125
27-Jun-96 31.25
28-Jun-96 31.5
01-Jul-96 31.25
02-Jul-96 31.25
03-Jul-96 31.375
04-Jul-96 31.375
05-Jul-96 31.25
08-Jul-96 31.375
09-Jul-96 31.25
10-Jul-96 31.25
11-Jul-96 31.25
12-Jul-96 31.125
15-Jul-96 31.25
16-Jul-96 30.625
17-Jul-96 30.5
18-Jul-96 30.375
19-Jul-96 30.25
22-Jul-96 30.125
23-Jul-96 30.125
24-Jul-96 29
25-Jul-96 28.875
26-Jul-96 29
29-Jul-96 29.125
30-Jul-96 29
31-Jul-96 30
01-Aug-96 29.5
02-Aug-96 29.75
05-Aug-96 29.25
06-Aug-96 29
</TABLE>
<PAGE> 28
18
<TABLE>
<CAPTION>
JUICE ABSOLUTE STOCK
PRICE PERFORMANCE -- CONT.
<S> <C>
07-Aug-96 28.875
08-Aug-96 28.875
09-Aug-96 28.625
12-Aug-96 28.625
13-Aug-96 28.75
14-Aug-96 28.75
15-Aug-96 28.75
16-Aug-96 29.5
19-Aug-96 29.313
20-Aug-96 29
21-Aug-96 28.875
22-Aug-96 28.875
23-Aug-96 28.75
26-Aug-96 28.625
27-Aug-96 30.25
28-Aug-96 29.875
29-Aug-96 29.75
30-Aug-96 29.875
02-Sep-96 29.875
03-Sep-96 29.25
04-Sep-96 29.25
05-Sep-96 29.125
06-Sep-96 29
09-Sep-96 28.875
10-Sep-96 29.125
11-Sep-96 29.75
12-Sep-96 30.25
13-Sep-96 30.75
16-Sep-96 30.625
17-Sep-96 31.063
18-Sep-96 30.625
19-Sep-96 30.75
20-Sep-96 30.75
23-Sep-96 30.625
24-Sep-96 30.25
25-Sep-96 30.25
26-Sep-96 30.5
27-Sep-96 30.75
30-Sep-96 31.375
01-Oct-96 31.25
02-Oct-96 31.125
03-Oct-96 30.875
04-Oct-96 31.125
07-Oct-96 31.063
08-Oct-96 31.25
09-Oct-96 30.375
10-Oct-96 30.375
11-Oct-96 30.5
14-Oct-96 30.375
15-Oct-96 30.5
</TABLE>
<PAGE> 29
19
<TABLE>
<CAPTION>
JUICE ABSOLUTE STOCK
PRICE PERFORMANCE -- CONT.
<S> <C>
16-Oct-96 30.125
17-Oct-96 30.625
18-Oct-96 30.5
21-Oct-96 30.25
22-Oct-96 29.75
23-Oct-96 29.5
24-Oct-96 29.875
25-Oct-96 29.625
28-Oct-96 29.125
29-Oct-96 30
30-Oct-96 30.125
31-Oct-96 30
01-Nov-96 29.875
04-Nov-96 30
05-Nov-96 29.938
06-Nov-96 30.5
07-Nov-96 30.75
08-Nov-96 31.5
11-Nov-96 31.625
12-Nov-96 31.5
13-Nov-96 31.125
14-Nov-96 31.125
15-Nov-96 31
18-Nov-96 30.875
19-Nov-96 30.875
20-Nov-96 29.875
21-Nov-96 29.75
22-Nov-96 29.75
25-Nov-96 30.25
26-Nov-96 30.75
27-Nov-96 30.75
28-Nov-96 30.75
29-Nov-96 30.625
02-Dec-96 31.5
03-Dec-96 32.375
04-Dec-96 32.625
05-Dec-96 32.75
06-Dec-96 32.25
09-Dec-96 32.125
10-Dec-96 32.25
11-Dec-96 32.125
12-Dec-96 32
13-Dec-96 32.125
16-Dec-96 32.25
17-Dec-96 32
18-Dec-96 32
19-Dec-96 32.125
20-Dec-96 32.125
23-Dec-96 32
24-Dec-96 32.375
</TABLE>
<PAGE> 30
20
<TABLE>
<CAPTION>
JUICE ABSOLUTE STOCK
PRICE PERFORMANCE -- CONT.
<S> <C>
25-Dec-96 32.375
26-Dec-96 32.25
27-Dec-96 32.25
30-Dec-96 32
31-Dec-96 31.25
01-Jan-97 31.25
02-Jan-97 31.25
03-Jan-97 30.75
06-Jan-97 30.375
07-Jan-97 30.375
08-Jan-97 30.375
09-Jan-97 31
10-Jan-97 30.75
13-Jan-97 37.875
14-Jan-97 37.875
15-Jan-97 37.875
16-Jan-97 37.875
17-Jan-97 37.75
20-Jan-97 37.875
21-Jan-97 37.75
22-Jan-97 37.875
23-Jan-97 37.875
24-Jan-97 37.875
27-Jan-97 37.875
28-Jan-97 38
29-Jan-97 37.875
30-Jan-97 37.875
31-Jan-97 37.875
03-Feb-97 38
04-Feb-97 38
05-Feb-97 38
06-Feb-97 38
07-Feb-97 38.125
10-Feb-97 38.125
11-Feb-97 38.125
12-Feb-97 38.25
13-Feb-97 38.25
14-Feb-97 38.125
17-Feb-97 38.125
18-Feb-97 38.25
19-Feb-97 38.125
20-Feb-97 38.125
21-Feb-97 38.25
24-Feb-97 38.25
25-Feb-97 38.25
26-Feb-97 38.375
27-Feb-97 38.25
28-Feb-97 38.375
03-Mar-97 38.375
04-Mar-97 38.5
</TABLE>
<PAGE> 31
21
<TABLE>
<CAPTION>
JUICE ABSOLUTE STOCK
PRICE PERFORMANCE -- CONT.
<S> <C>
05-Mar-97 38.5
06-Mar-97 38.375
07-Mar-97 38.5
10-Mar-97 38.625
11-Mar-97 38.375
12-Mar-97 38.25
13-Mar-97 38
14-Mar-97 38.125
17-Mar-97 38.25
18-Mar-97 37.875
19-Mar-97 37.75
20-Mar-97 38
21-Mar-97 38
24-Mar-97 38
25-Mar-97 38.125
26-Mar-97 38.125
27-Mar-97 38.25
28-Mar-97 38.25
31-Mar-97 38.375
01-Apr-97 38.375
02-Apr-97 38.5
03-Apr-97 38.5
04-Apr-97 38.375
07-Apr-97 38.5
08-Apr-97 38.625
09-Apr-97 38.625
10-Apr-97 38.625
11-Apr-97 38.375
14-Apr-97 38.375
</TABLE>
-10-
MORGAN STANLEY
<PAGE> 32
PROJECT JUICE
================================================================================
Indexed Price Performance Since 1/13/97 Announcement
<TABLE>
<CAPTION>
JUICE BROKER-REINSURER COMPOSITE(1) S&P 500 GENERAL RE
<S> <C> <C> <C> <C>
13-Jan-97 100 100 100 100
14-Jan-97 100 101.5245296 101.2310569 101.2135922
15-Jan-97 100 100.9788066 101.0124949 100.8090615
16-Jan-97 100 100.6515256 101.3482377 99.11003236
17-Jan-97 99.669967 101.1319023 102.1935195 100.4854369
20-Jan-97 100 101.7753631 102.2633013 100.566343
21-Jan-97 99.669967 102.1979842 103.0559176 100
22-Jan-97 100 102.6215604 103.5180577 99.11003236
23-Jan-97 100 103.260811 102.3765322 99.11003236
24-Jan-97 100 103.3489868 101.4496188 98.05825243
27-Jan-97 100 102.7235295 100.7254677 98.13915858
28-Jan-97 100.330033 102.7260684 100.7254677 97.89644013
29-Jan-97 100 102.0385763 101.7103132 99.6763754
30-Jan-97 100 103.6212096 103.2468302 101.3754045
31-Jan-97 100 104.5517661 103.5088412 104.5307443
03-Feb-97 100.330033 104.5861962 103.5838896 106.7152104
04-Feb-97 100.330033 105.4365316 103.9169991 106.7961165
05-Feb-97 100.330033 105.1296763 102.4713302 105.420712
06-Feb-97 100.330033 106.049616 102.7175416 105.8252427
07-Feb-97 100.660066 105.9084686 103.9564983 106.3915858
10-Feb-97 100.660066 105.4646828 103.4127266 105.6634304
11-Feb-97 100.660066 105.5351221 103.9604482 107.6860841
12-Feb-97 100.990099 106.983799 105.6957775 109.1423948
13-Feb-97 100.990099 107.3209092 106.8873353 111.97411
14-Feb-97 100.660066 108.3881504 106.447578 113.02589
17-Feb-97 100.660066 108.3881504 106.447578 113.02589
18-Feb-97 100.990099 108.9534151 107.4758726 113.592233
19-Feb-97 100.660066 109.5941883 106.97555 114.1585761
20-Feb-97 100.660066 110.0805877 105.6997275 111.2459547
21-Feb-97 100.990099 109.8366507 105.5641137 111.3268608
24-Feb-97 100.990099 109.7602276 106.6845729 112.8640777
25-Feb-97 100.990099 110.4482509 106.9242011 111.97411
26-Feb-97 101.320132 112.1959615 106.0789193 112.1359223
27-Feb-97 100.990099 111.2770168 104.681966 111.6504854
28-Feb-97 101.320132 109.4162096 104.1223947 109.789644
03-Mar-97 101.320132 110.1283542 104.7135653 110.1941748
04-Mar-97 101.650165 110.1088124 104.139511 110.7605178
05-Mar-97 101.650165 110.6485478 105.5930797 111.3268608
06-Mar-97 101.320132 110.6973353 105.1414728 111.0841424
07-Mar-97 101.650165 112.0227511 105.985438 111.6504854
10-Mar-97 101.980198 112.6819309 107.1282801 112.4595469
11-Mar-97 101.320132 112.5423374 106.8241366 112.7831715
12-Mar-97 100.990099 113.0111567 105.8919567 112.8640777
13-Mar-97 100.330033 111.9948133 103.9564983 109.7087379
14-Mar-97 100.660066 111.8577259 104.4318047 109.7087379
17-Mar-97 100.990099 110.1796654 104.7662309 110.4368932
18-Mar-97 100 110.5864974 103.9696647 110.0323625
19-Mar-97 99.669967 110.9684136 103.4574923 109.0614887
20-Mar-97 100.330033 110.4102589 103.0467012 107.9288026
21-Mar-97 100.330033 109.8310719 103.2376137 108.4951456
24-Mar-97 100.330033 109.1709692 104.1316112 108.0097087
25-Mar-97 100.660066 109.1666504 103.892983 108.0906149
26-Mar-97 100.660066 108.8877853 104.0802623 106.8770227
27-Mar-97 100.990099 108.4315828 101.8920093 104.2071197
28-Mar-97 100.990099 108.4315828 101.8920093 104.2071197
31-Mar-97 101.320132 107.0440663 99.68532343 102.2653722
01-Apr-97 101.320132 106.9555053 100.0171163 101.2135922
02-Apr-97 101.650165 106.4969468 98.76235994 101.2944984
03-Apr-97 101.650165 105.0280776 98.79000935 100.9708738
04-Apr-97 101.320132 103.8247176 99.78802122 99.6763754
07-Apr-97 101.650165 104.479359 100.3449593 101.2944984
08-Apr-97 101.980198 104.2906713 100.8700298 103.4789644
09-Apr-97 101.980198 103.9644551 100.1435136 102.6699029
10-Apr-97 101.980198 104.0067873 99.84595331 101.9417476
11-Apr-97 101.320132 102.4952227 97.12182855 100.8090615
14-Apr-97 101.320132 102.571787 97.92234467 101.6990291
</TABLE>
Note: (1) The Broker-Reinsurer Composite consists of the following companies:
NAC Re, Everest Re (Prudential Re), Transatlantic Holdings, Chartwell
Re and Trenwick Group.
<PAGE> 33
23
PROJECT JUICE
================================================================================
Indexed Price Performance
<TABLE>
<CAPTION>
Last Three Years
Broker-
Juice Reinsurer S&P500 General Re
Composite(1)
<S> <C> <C> <C> <C>
15-Apr-94 100 100 100 100
18-Apr-94 99.51923077 101.3521901 99.16625577 102.6666667
19-Apr-94 100 104.766456 99.18418575 105
20-Apr-94 99.51923077 103.1238816 99.05419337 102.1111111
21-Apr-94 99.03846154 104.2798354 100.5715182 100.7777778
22-Apr-94 99.03846154 104.5166135 100.3249809 99.77777778
25-Apr-94 99.03846154 104.726366 101.4635349 101.3333333
26-Apr-94 98.55769231 104.0747449 101.2752701 99.77777778
27-Apr-94 98.55769231 104.0747449 101.2752701 99.77777778
28-Apr-94 99.03846154 103.7442777 100.6544444 99.55555556
29-Apr-94 98.07692308 103.5210124 101.0601103 99.11111111
02-May-94 98.07692308 103.1192267 101.5330136 100
03-May-94 98.07692308 104.6233671 101.5352548 100.8888889
04-May-94 97.59615385 106.9711618 101.2416514 103.7777778
05-May-94 98.55769231 112.1584856 101.1654489 107.4444444
06-May-94 98.07692308 114.0466888 100.3675647 111.4444444
09-May-94 98.07692308 116.0015592 99.1348783 108.6666667
10-May-94 98.07692308 116.7827564 99.96189879 107.8888889
11-May-94 96.63461538 115.5732016 98.94885472 105.6666667
12-May-94 94.71153846 114.9262354 99.45537675 105.4444444
13-May-94 95.67307692 114.4531329 99.54278542 106.7777778
16-May-94 96.63461538 115.6808607 99.6212291 107.6666667
17-May-94 96.15384615 118.4127289 100.7149581 108.8888889
18-May-94 96.63461538 119.8590636 101.6831772 108.3333333
19-May-94 97.59615385 118.6807355 102.3084854 106.8888889
20-May-94 96.63461538 118.5600173 101.9588507 105.4444444
23-May-94 97.11538462 118.2742949 101.573356 106.8888889
24-May-94 98.07692308 118.1181487 101.934197 107.1111111
25-May-94 97.59615385 117.5961002 102.2771079 107.5555556
26-May-94 97.59615385 117.989028 102.4384777 107.4444444
27-May-94 99.03846154 116.6946401 102.4989914 107.7777778
30-May-94 99.03846154 116.6946401 102.4989914 107.7777778
31-May-94 98.55769231 117.4310961 102.3129679 106.4444444
01-Jun-94 99.03846154 117.3462648 102.5662289 108.3333333
02-Jun-94 101.4423077 118.2924697 102.5707114 107.3333333
03-Jun-94 100.4807692 119.8991571 103.1265409 108.2222222
06-Jun-94 100.4807692 119.9126699 102.8463849 106.6666667
07-Jun-94 99.51923077 121.3007487 102.6962213 105.8888889
08-Jun-94 100 121.0909979 102.4384777 105.1111111
09-Jun-94 100 121.0686255 102.6177776 105.8888889
10-Jun-94 100 121.0373952 102.7993187 105.7777778
13-Jun-94 101.4423077 120.9124775 102.8956923 105.7777778
14-Jun-94 102.4038462 120.2608529 103.6285804 106.2222222
15-Jun-94 104.3269231 120.6402644 103.2341208 105.4444444
16-Jun-94 103.8461538 120.7073799 103.5299655 105.4444444
17-Jun-94 104.8076923 121.1939969 102.7500112 103.6666667
20-Jun-94 104.8076923 119.6138831 102.0843606 101.7777778
21-Jun-94 104.8076923 117.9936864 101.1564839 101.1111111
22-Jun-94 104.3269231 116.8377326 101.5487023 100.7777778
23-Jun-94 102.4038462 114.6325714 100.7732305 99.11111111
24-Jun-94 101.9230769 113.3335251 99.2424582 97.55555556
27-Jun-94 101.9230769 114.3599028 100.253261 98.44444444
28-Jun-94 102.8846154 113.8910016 99.97534627 99.11111111
29-Jun-94 104.8076923 113.4043846 100.3249809 99.22222222
30-Jun-94 103.3653846 114.4978778 99.57192165 96.77777778
30-Jun-94 103.3653846 114.4978778 99.5719165 96.77777778
01-Jul-94 104.3269231 115.5736588 100.0044825 97.77777778
04-Jul-94 104.3269231 115.5736588 100.0044825 97.77777778
05-Jul-94 104.8076923 113.5740436 100.0425837 98.33333333
06-Jul-94 104.8076923 113.2258588 99.98879376 97.55555556
07-Jul-94 105.7692308 113.1097972 100.4930745 97.55555556
08-Jul-94 105.2884615 113.6240882 100.7553006 96.55555556
11-Jul-94 105.7692308 111.0654335 100.4213546 95.55555556
12-Jul-94 105.7692308 111.0878077 100.3967009 94.22222222
13-Jul-94 105.2884615 111.7930316 100.5715182 94.66666667
14-Jul-94 105.2884615 112.6101158 101.6204223 98.66666667
15-Jul-94 105.2884615 112.4003668 101.7885158 98.33333333
18-Jul-94 105.7692308 112.3206786 102.0260881 99.55555556
19-Jul-94 105.7692308 112.842239 101.7212784 98.11111111
20-Jul-94 106.25 110.8696563 101.2147564 96.33333333
21-Jul-94 105.7692308 110.0404548 101.4411224 98.33333333
22-Jul-94 105.7692308 111.6107671 101.5531848 97.77777778
25-Jul-94 104.8076923 111.9990365 101.8086871 98.66666667
26-Jul-94 104.8076923 111.9990383 101.609216 100.8888889
27-Jul-94 104.3269231 112.5569756 101.4321574 101.6666667
28-Jul-94 103.8461538 113.0123605 101.8042046 102
29-Jul-94 104.8076923 114.2354316 102.7074275 102.7777778
01-Aug-94 104.3269231 115.3913855 103.3237707 102.5555556
02-Aug-94 103.8461538 115.2841818 103.2229145 102.6666667
03-Aug-94 103.8461538 116.1679296 103.4223856 102
04-Aug-94 103.3653846 114.8199372 102.738805 100.1111111
05-Aug-94 104.8076923 113.0701609 102.4452015 98.55555556
08-Aug-94 104.8076923 113.2710538 102.6245013 98.66666667
09-Aug-94 105.2884615 112.2488755 102.6334663 98.44444444
10-Aug-94 104.8076923 112.4320543 103.1646421 97.55555556
11-Aug-94 105.2884615 111.9901787 102.8463849 97.11111111
12-Aug-94 104.3269231 112.378448 103.5322067 97.44444444
15-Aug-94 104.8076923 113.9497075 103.3730781 96.66666667
16-Aug-94 105.2884615 113.2132551 104.2202698 99.44444444
17-Aug-94 104.8076923 110.4324426 104.2561298 99.55555556
18-Aug-94 104.8076923 109.3436043 103.8078802 98.66666667
19-Aug-94 105.2884615 109.8791656 103.9221839 97.44444444
22-Aug-94 103.8461538 110.7764262 103.6173742 96.66666667
23-Aug-94 103.8461538 110.9013439 104.1082074 96.88888889
24-Aug-94 105.2884615 111.7403433 105.1212515 98.44444444
25-Aug-94 104.8076923 110.6692243 104.908333 97.77777778
26-Aug-94 105.2884615 110.6692243 106.1903268 100.4444444
29-Aug-94 105.7692308 111.2136434 106.3673854 99.77777778
30-Aug-94 105.2884615 110.3653307 106.6990901 99.66666667
31-Aug-94 105.2884615 111.0840709 106.5690977 99.22222222
01-Sep-94 104.3269231 110.4277913 106.0491282 99
02-Sep-94 104.3269231 110.5126226 105.5605361 98.11111111
05-Sep-94 104.3269231 110.5126226 105.5605361 98.11111111
06-Sep-94 104.3269231 111.2714492 105.7555247 98
07-Sep-94 104.3269231 110.7848322 105.5538124 96.88888889
08-Sep-94 104.3269231 110.5349968 106.0424044 97.44444444
09-Sep-94 103.8461538 109.6866805 104.9307454 96
12-Sep-94 103.8461538 107.7896158 104.4892196 95.77777778
</TABLE>
<PAGE> 34
24
<TABLE>
<S> <C> <C> <C> <C>
13-Sep-94 104.3269231 107.7271588 105.0607378 95.66666667
14-Sep-94 103.8461538 108.271578 105.0697028 95.44444444
15-Sep-94 104.8076923 107.9056774 106.4166928 96.22222222
16-Sep-94 103.8461538 108.8831126 105.6053611 95.33333333
19-Sep-94 104.3269231 108.2268295 105.5291586 93.77777778
20-Sep-94 104.3269231 106.8965511 103.8504639 93.77777778
21-Sep-94 104.3269231 107.6106329 103.4246268 94.44444444
22-Sep-94 103.8461538 107.199991 103.3820431 93.22222222
23-Sep-94 103.8461538 106.842952 103.0234435 95.33333333
26-Sep-94 104.3269231 105.4590744 103.281187 95.88888889
27-Sep-94 104.3269231 105.8072591 103.5568605 94.88888889
28-Sep-94 103.8461538 104.9948316 104.1821686 95.55555556
29-Sep-94 103.8461538 105.209239 103.5994442 94.88888889
30-Sep-94 103.8461538 104.9594001 103.7047828 94.11111111
03-Oct-94 103.8461538 104.3478654 103.4873818 93.33333333
04-Oct-94 103.8461538 103.8836226 101.8848895 94.55555556
05-Oct-94 103.8461538 104.1292585 101.645076 94.22222222
06-Oct-94 103.3653846 103.5624652 101.3850912 93.88888889
07-Oct-94 102.8846154 103.8929341 101.9991932 96.44444444
10-Oct-94 102.4038462 103.6295807 102.8822448 96.11111111
11-Oct-94 102.4038462 104.232261 104.3950872 96.77777778
12-Oct-94 101.4423077 103.9516799 104.3233673 95.55555556
13-Oct-94 100.9615385 105.0936346 104.8388543 96.55555556
14-Oct-94 101.4423077 104.7990544 105.1369402 96.88888889
17-Oct-94 102.8846154 105.2586423 105.1055628 96.33333333
18-Oct-94 102.4038462 104.410326 104.8142005 97.33333333
19-Oct-94 102.4038462 104.8922846 105.4014075 97.66666667
20-Oct-94 101.9230769 105.1286089 104.6326595 97.55555556
21-Oct-94 101.9230769 107.123564 104.1933749 97.22222222
24-Oct-94 101.9230769 105.2577279 103.2834282 96.77777778
25-Oct-94 101.9230769 103.865455 103.4403156 96.55555556
26-Oct-94 101.4423077 103.3476059 103.6846116 96.33333333
27-Oct-94 100.4807692 103.0530221 104.4085347 96.33333333
28-Oct-94 100.4807692 105.8119158 106.183603 98
31-Oct-94 100 105.3700401 105.8653458 99.55555556
01-Nov-94 99.03846154 104.8344788 104.9845354 100.7777778
02-Nov-94 99.03846154 106.7940041 104.5542158 101.7777778
03-Nov-94 99.03846154 107.660029 104.8702317 101.6666667
04-Nov-94 99.03846154 109.5883276 103.6084092 101.7777778
07-Nov-94 99.03846154 109.2490025 103.7854677 100.3333333
08-Nov-94 102.8846154 108.499032 104.3637097 100.8888889
09-Nov-94 102.8846154 107.7849503 104.3076785 102.1111111
10-Nov-94 105.2884615 108.2715708 104.0723475 102.6666667
11-Nov-94 105.2884615 107.0708686 103.6240979 101.7777778
14-Nov-94 104.8076923 108.8518752 104.4511184 102.2222222
15-Nov-94 105.7692308 108.6467776 104.2247523 102.8888889
16-Nov-94 105.2884615 107.83435 104.3525035 104.3333333
17-Nov-94 104.8076923 105.7769397 103.8952889 103.1111111
18-Nov-94 104.8076923 104.9957389 103.4268681 101.5555556
21-Nov-94 104.8076923 105.098286 102.7163925 100.3333333
</TABLE>
<PAGE> 35
25
<TABLE>
<S> <C> <C> <C> <C>
22-Nov-94 102.8846154 104.6965038 100.8763279 100
23-Nov-94 101.4423077 104.1390564 100.840468 100.5555556
24-Nov-94 101.4423077 104.1390564 100.840468 100.5555556
25-Nov-94 100.4807692 104.7943924 101.3694025 100.7777778
28-Nov-94 101.4423077 105.4371574 101.7885158 103.6666667
29-Nov-94 101.4423077 105.0537803 102.0148819 104.7777778
30-Nov-94 101.9230769 106.0221202 101.6831772 104.3333333
01-Dec-94 101.4423077 105.8347419 100.6141019 104
02-Dec-94 101.9230769 106.5711943 101.5957685 105.3333333
05-Dec-94 101.9230769 107.075527 101.600251 106.4444444
06-Dec-94 101.4423077 106.6336549 101.5531848 106.3333333
07-Dec-94 100 105.8123677 101.1318302 106.3333333
08-Dec-94 98.07692308 105.7541101 99.8363889 105.1111111
09-Dec-94 98.07692308 106.5665394 100.1748173 105.7777778
12-Dec-94 98.07692308 105.0712569 100.7373706 105
13-Dec-94 97.11538462 106.3968768 100.8897754 105.2222222
14-Dec-94 97.59615385 106.3745062 101.9700569 109.6666667
15-Dec-94 99.03846154 109.2089178 102.0529831 109.6666667
16-Dec-94 100 112.9895308 102.8284549 109.6666667
19-Dec-94 100.9615385 114.8287969 102.6289838 109.8888889
20-Dec-94 103.8461538 119.5691347 102.4474427 112.3333333
21-Dec-94 105.7692308 124.2022705 103.009996 114.2222222
22-Dec-94 104.8076923 120.8369489 103.0234435 111.6666667
23-Dec-94 105.2884615 121.5062857 103.0593034 113.7777778
26-Dec-94 105.2884615 121.5062857 103.0593034 113.7777778
27-Dec-94 104.8076923 123.0104244 103.6509929 113.2222222
28-Dec-94 107.6923077 122.081937 103.290152 111.1111111
29-Dec-94 109.6153846 122.9969151 103.3573894 110.7777778
30-Dec-94 111.0576923 125.1079318 102.9337935 109.7777778
02-Jan-95 111.0576923 125.1079318 102.9337935 109.7777778
03-Jan-95 111.0576923 124.7373764 102.8979336 109.7777778
04-Jan-95 111.0576923 123.4071015 103.2565332 110.2222222
05-Jan-95 111.5384615 122.1663164 103.1736071 109.3333333
06-Jan-95 111.0576923 121.6974152 103.2498095 109.2222222
09-Jan-95 111.0576923 121.1124559 103.2834282 109.7777778
10-Jan-95 111.0576923 121.7911043 103.4739343 109.3333333
11-Jan-95 111.0576923 120.9833299 103.4694518 110
12-Jan-95 112.0192308 121.4699469 103.4649693 111
13-Jan-95 111.5384615 122.2376296 104.4354296 113.5555556
16-Jan-95 112.5 124.0857517 105.1996952 116.3333333
17-Jan-95 112.0192308 123.9207441 105.3498588 114.1111111
18-Jan-95 111.5384615 124.0633775 105.2758976 114
19-Jan-95 110.5769231 123.0323413 104.6550719 113
20-Jan-95 110.0961538 122.7778511 104.1687211 111.2222222
23-Jan-95 109.6153846 120.8406964 104.3995697 110.3333333
24-Jan-95 109.6153846 122.3760654 104.4107759 110
25-Jan-95 109.6153846 122.7955669 104.7648931 109.4444444
26-Jan-95 110.0961538 123.0677729 104.9621229 110.2222222
27-Jan-95 111.0576923 123.6480808 105.4260612 113.3333333
30-Jan-95 111.0576923 123.2243852 105.0047066 113
</TABLE>
<PAGE> 36
26
<TABLE>
<S> <C> <C> <C> <C>
31-Jan-95 111.5384615 124.6124622 105.432785 114.7777778
01-Feb-95 110.5769231 125.5586636 105.4283025 113.5555556
02-Feb-95 110.5769231 125.8178158 105.9617195 113.5555556
03-Feb-95 110.0961538 126.8581653 107.2750908 116
06-Feb-95 111.0576923 127.8714857 107.8354028 114.3333333
07-Feb-95 111.5384615 128.0411483 107.7614416 115.5555556
08-Feb-95 111.5384615 127.9922022 107.846609 117.5555556
09-Feb-95 111.5384615 127.5815568 107.6224842 116.5555556
10-Feb-95 111.5384615 125.1671021 107.9071227 114.8888889
13-Feb-95 111.5384615 123.6583103 107.9497064 112.8888889
14-Feb-95 112.0192308 123.0332593 108.1514187 114.6666667
15-Feb-95 113.4615385 125.7516112 108.597427 115.6666667
16-Feb-95 114.9038462 125.0151571 108.7498319 115.3333333
17-Feb-95 115.3846154 125.0864756 108.0214263 114.2222222
20-Feb-95 115.3846154 125.0864756 108.0214263 114.2222222
21-Feb-95 115.3846154 124.3052766 108.1940024 112.3333333
22-Feb-95 114.9038462 124.9746134 108.7162132 113.5555556
23-Feb-95 114.9038462 125.7646685 109.1286028 116.3333333
24-Feb-95 114.9038462 125.5950095 109.3975526 116.4444444
27-Feb-95 115.3846154 125.0683026 108.4338159 114.5555556
28-Feb-95 116.3461538 127.3624981 109.2361827 115.7777778
01-Mar-95 116.3461538 126.8893956 108.8462056 113.3333333
02-Mar-95 116.3461538 127.6794525 108.7296607 113.6666667
03-Mar-95 115.8653846 126.7556183 108.7946569 112.7777778
06-Mar-95 115.8653846 126.081623 108.8417231 112
07-Mar-95 115.3846154 127.8313993 108.055045 110.7777778
08-Mar-95 114.9038462 127.1396882 108.2836523 111.5555556
09-Mar-95 115.8653846 126.9700221 108.2881348 111.8888889
10-Mar-95 115.8653846 127.8584248 109.7247748 112.8888889
13-Mar-95 116.3461538 128.0593195 109.8323547 112.8888889
14-Mar-95 115.8653846 127.7512193 110.4688691 114.7777778
15-Mar-95 116.8269231 127.0371376 110.242503 115.4444444
16-Mar-95 116.3461538 127.8094805 111.0336635 115.2222222
17-Mar-95 115.8653846 125.6760897 111.0583173 115.1111111
20-Mar-95 116.8269231 125.8457522 111.1995159 115.8888889
21-Mar-95 115.8653846 124.7259192 110.9574611 116.5555556
22-Mar-95 116.8269231 124.7923419 111.0887982 116.6666667
23-Mar-95 116.8269231 123.9533425 111.1546909 116.2222222
24-Mar-95 116.8269231 122.7125538 112.2797974 116.5555556
27-Mar-95 116.3461538 122.4403442 112.7795957 118.4444444
28-Mar-95 115.8653846 121.4188605 112.936483 118.8888889
29-Mar-95 115.8653846 121.1370984 112.7616657 119.2222222
30-Mar-95 116.8269231 122.5475461 112.5599534 118.1111111
31-Mar-95 116.8269231 123.649899 112.2215249 117.3333333
03-Apr-95 118.2692308 123.3464591 112.4770272 116.8888889
04-Apr-95 118.2692308 125.3283586 113.2368103 118.7777778
05-Apr-95 118.2692308 127.140592 113.3107714 118.3333333
06-Apr-95 117.7884615 128.1762866 113.4250751 118.2222222
07-Apr-95 117.3076923 129.4795288 113.5012775 118.4444444
10-Apr-95 116.3461538 129.11363 113.6335111 118.5555556
</TABLE>
<PAGE> 37
27
<TABLE>
<S> <C> <C> <C> <C>
11-Apr-95 117.3076923 129.8240005 113.3018064 118.1111111
12-Apr-95 116.8269231 130.8988361 113.6693711 118.6666667
13-Apr-95 116.8269231 130.2737869 114.1310682 119.1111111
14-Apr-95 116.8269231 130.2737869 114.1310682 119.1111111
17-Apr-95 117.3076923 130.3987081 113.4362813 117.3333333
18-Apr-95 117.7884615 127.7964161 113.2659465 115.5555556
19-Apr-95 116.8269231 127.9525659 113.1650903 115.1111111
20-Apr-95 116.8269231 128.6624481 113.2480165 115.1111111
21-Apr-95 115.8653846 130.059383 113.9652158 114.1111111
24-Apr-95 115.8653846 131.0857608 114.9513649 115.1111111
25-Apr-95 116.8269231 132.0944227 114.7743063 113.2222222
26-Apr-95 115.8653846 130.5991438 114.8998162 112.3333333
27-Apr-95 115.8653846 131.9876745 115.0992873 113.5555556
28-Apr-95 114.9038462 131.5703879 115.359272 113.2222222
01-May-95 114.9038462 130.4168776 115.2584159 111.5555556
02-May-95 114.4230769 130.4928492 115.3928908 113
03-May-95 114.4230769 129.7116519 116.6524721 117.6666667
04-May-95 115.3846154 129.9349172 116.6659196 117.6666667
05-May-95 114.4230769 129.9750072 116.5717872 115.6666667
08-May-95 114.4230769 131.1398225 117.4324264 118.8888889
09-May-95 114.4230769 130.6042577 117.3427765 119.6666667
10-May-95 114.9038462 130.9971837 117.5220763 119.5555556
11-May-95 114.4230769 131.0731553 117.5243175 118.8888889
12-May-95 115.8653846 130.8233164 117.7887848 119.1111111
15-May-95 115.8653846 130.4261873 118.2796181 121.1111111
16-May-95 115.3846154 130.4574176 118.3804742 120.8888889
17-May-95 115.8653846 130.7384887 118.1294545 119.1111111
18-May-95 113.4615385 128.6941303 116.4507598 117.7777778
19-May-95 113.9423077 126.9266418 116.3633511 116.1111111
22-May-95 113.4615385 126.5560864 117.3629477 118.2222222
23-May-95 113.4615385 127.4799206 118.4701242 118.6666667
24-May-95 114.4230769 126.306251 118.4746067 120.3333333
25-May-95 116.3461538 126.2573032 118.4701242 118.2222222
26-May-95 115.3846154 126.440482 117.3629477 117.7777778
29-May-95 115.3846154 126.440482 117.3629477 117.7777778
30-May-95 112.9807692 125.1460959 117.347259 118.2222222
31-May-95 111.5384615 125.4360195 119.5481644 120.3333333
01-Jun-95 110.5769231 126.3022854 119.5683356 120
02-Jun-95 110.5769231 127.1811392 119.3486934 120.1111111
05-Jun-95 110.5769231 126.9713884 120.041239 121.1111111
06-Jun-95 110.5769231 128.6498462 120.0300327 122.3333333
07-Jun-95 110.5769231 129.6137633 119.4876507 119.8888889
08-Jun-95 111.0576923 128.6987905 119.3128334 119.2222222
09-Jun-95 111.0576923 126.792868 118.324443 116.5555556
12-Jun-95 111.0576923 127.5740688 118.9833699 117.8888889
13-Jun-95 110.5769231 127.0385039 120.1420951 118.7777778
14-Jun-95 110.5769231 128.114285 120.2362275 118.6666667
15-Jun-95 111.5384615 128.5561553 120.3819086 117.7777778
16-Jun-95 112.0192308 128.038308 120.9892868 117.1111111
19-Jun-95 112.0192308 128.9621369 122.1973195 119.1111111
</TABLE>
<PAGE> 38
28
<TABLE>
<S> <C> <C> <C> <C>
20-Jun-95 112.5 129.3368918 122.1435295 119.8888889
21-Jun-95 112.9807692 129.6091014 121.9194047 120.2222222
22-Jun-95 110.5769231 129.8235088 123.5084495 121.5555556
23-Jun-95 111.5384615 128.4755181 123.2036398 121.1111111
26-Jun-95 110.5769231 127.3107064 121.9530234 120.5555556
27-Jun-95 111.5384615 127.5293133 121.5720113 120.4444444
28-Jun-95 112.0192308 127.3330771 122.0874983 120.4444444
29-Jun-95 110.5769231 127.4043956 121.894751 118.8888889
30-Jun-95 110.0961538 128.0247881 122.0919808 119
03-Jul-95 110.0961538 128.5025472 122.6164328 119
04-Jul-95 110.0961538 128.5025472 122.6164328 119
05-Jul-95 109.6153846 127.9758438 122.654534 118.8888889
06-Jul-95 109.6153846 128.3864874 124.1628939 118.5555556
07-Jul-95 108.6538462 129.6449883 124.6963109 118.4444444
10-Jul-95 108.6538462 130.4839877 124.8800932 119.1111111
11-Jul-95 108.1730769 130.1670368 124.3399525 119.1111111
12-Jul-95 108.6538462 130.0999196 125.709355 119.5555556
13-Jul-95 108.1730769 131.318334 125.7340087 120
14-Jul-95 108.6538462 130.4611634 125.4852302 120.4444444
17-Jul-95 108.6538462 130.3096739 126.1195033 118.8888889
18-Jul-95 108.6538462 130.9706047 125.1647317 117.6666667
19-Jul-95 108.6538462 131.7294313 123.4882783 116.2222222
20-Jul-95 108.1730769 131.6175763 124.0620377 115.4444444
21-Jul-95 108.6538462 131.4479155 124.0799677 115.5555556
24-Jul-95 108.6538462 132.0011961 124.7545834 115.4444444
25-Jul-95 108.1730769 133.9383508 125.7564212 118.5555556
26-Jul-95 107.6923077 136.8575973 125.8707248 117.3333333
27-Jul-95 107.6923077 140.2140503 126.6798153 118.2222222
28-Jul-95 107.6923077 139.6920018 126.1665695 118.7777778
31-Jul-95 108.1730769 140.4508284 125.971581 117.8888889
01-Aug-95 108.1730769 140.4596863 125.429199 117.3333333
02-Aug-95 108.6538462 140.0401848 125.2409342 118.2222222
03-Aug-95 108.6538462 139.0226632 125.2297279 117.8888889
04-Aug-95 108.6538462 139.5941114 125.2723116 117.3333333
07-Aug-95 108.6538462 140.0359854 125.5166076 116.4444444
08-Aug-95 109.1346154 142.3036036 125.5972926 118.5555556
09-Aug-95 109.1346154 142.7454776 125.4448877 119
10-Aug-95 108.6538462 141.8440157 124.9383657 119.4444444
11-Aug-95 109.1346154 142.7366179 124.4139137 121.1111111
14-Aug-95 109.6153846 143.4152681 125.4516115 122.8888889
15-Aug-95 111.0576923 144.0179484 125.1893854 126.1111111
16-Aug-95 112.9807692 143.3751834 125.5031602 126.7777778
17-Aug-95 114.4230769 142.8531367 125.2947241 126.6666667
18-Aug-95 113.9423077 142.1120241 125.3328253 126.8888889
21-Aug-95 114.4230769 142.9915707 125.086288 127.4444444
22-Aug-95 114.9038462 142.2774872 125.402304 127.7777778
23-Aug-95 114.4230769 141.402599 124.868887 127.2222222
24-Aug-95 114.4230769 141.2730229 124.9406069 127.1111111
25-Aug-95 114.4230769 141.9782485 125.5322964 131
28-Aug-95 114.9038462 141.8799027 125.2969654 131.1111111
</TABLE>
<PAGE> 39
29
<TABLE>
<S> <C> <C> <C> <C>
29-Aug-95 114.1846154 142.5851301 125.5098839 133
30-Aug-95 113.4615385 142.0271911 125.7160787 134.1111111
31-Aug-95 113.4615385 143.5047578 125.9312385 132.1111111
01-Sep-95 113.9423077 143.7545967 126.3705231 131.5555556
04-Sep-95 113.9423077 143.7545967 126.3705231 131.5555556
05-Sep-95 112.9807692 144.0356624 127.5651083 130.6666667
06-Sep-95 114.4230769 144.0445185 127.789233 129.3333333
07-Sep-95 115.3846154 143.0983136 127.816128 129.7777778
08-Sep-95 115.3846154 143.075943 128.3517863 129.2222222
11-Sep-95 114.9038462 142.9062804 128.6274598 131.1111111
12-Sep-95 114.9038462 144.6826304 129.2101842 133.8888889
13-Sep-95 114.9038462 146.4459266 129.7167063 133.5555556
14-Sep-95 114.9038462 147.6512891 130.8014703 134.2222222
15-Sep-95 114.4230769 147.9234969 130.7431978 135.2222222
18-Sep-95 114.9038462 147.5217112 130.6132054 135.1111111
19-Sep-95 114.4230769 148.4278279 130.9337039 135
20-Sep-95 113.9423077 148.9946195 131.5097046 135.1111111
21-Sep-95 113.9423077 147.9731394 130.6647541 132.8888889
22-Sep-95 112.5 147.2679138 130.3801156 132.2222222
25-Sep-95 114.4230769 147.01342 130.3980456 133.3333333
26-Sep-95 114.9038462 147.2094205 130.3083957 132.2222222
27-Sep-95 114.4230769 147.1292495 130.2254695 131.1111111
28-Sep-95 113.9423077 146.4953406 131.3079923 131.4444444
29-Sep-95 114.4230769 146.6202618 130.9807701 134.2222222
02-Oct-95 113.4615385 144.5358189 130.3778744 131.7777778
03-Oct-95 113.4615385 142.2015369 130.5168318 133.7777778
04-Oct-95 112.9807692 138.4656617 130.3218432 134
05-Oct-95 113.4615385 138.2246842 130.581828 132.6666667
06-Oct-95 113.4615385 137.7469251 130.5504505 132.3333333
09-Oct-95 112.9807692 137.6933259 129.6270563 133.2222222
10-Oct-95 112.0192308 137.4299742 129.4365503 131.5555556
11-Oct-95 113.4615385 140.1884143 129.8713524 131
12-Oct-95 113.4615385 139.9875178 130.6871666 131.1111111
13-Oct-95 112.5 140.2555226 131.0009413 130.8888889
16-Oct-95 112.9807692 144.6117869 130.6714779 132.2222222
17-Oct-95 112.5 145.5761595 131.5119459 133.4444444
18-Oct-95 112.9807692 146.2412969 131.6598682 133.3333333
19-Oct-95 112.9807692 145.8530257 132.3793088 133.8888889
20-Oct-95 112.9807692 144.862076 131.6643507 133.4444444
23-Oct-95 112.0192308 144.862076 131.1264512 131.4444444
24-Oct-95 111.5384615 145.0718285 131.4581559 129.4444444
25-Oct-95 111.0576923 142.116695 130.545968 127.8888889
26-Oct-95 111.0576923 141.7685102 129.2572504 127
27-Oct-95 111.0576923 142.0318637 129.9251423 129
30-Oct-95 110.5769231 142.63874 130.7207853 130.3333333
31-Oct-95 110.5769231 142.3129312 130.3285669 128.7777778
01-Nov-95 110.0961538 143.5224842 130.9381864 130.1111111
02-Nov-95 108.6538462 144.0491876 132.1708727 135
03-Nov-95 109.6153846 146.4417254 132.3613788 135.1111111
06-Nov-95 109.6153846 146.4151535 131.8884755 134.2222222
</TABLE>
<PAGE> 40
30
<TABLE>
<S> <C> <C> <C> <C>
07-Nov-95 109.1346154 146.7498202 131.4088484 134.2222222
08-Nov-95 109.6153846 148.7629482 132.6168811 134.4444444
09-Nov-95 111.0576923 149.0668435 132.9642745 133.1111111
10-Nov-95 111.0576923 147.8484291 132.8432471 131.8888889
13-Nov-95 111.5384615 147.4200715 132.7491147 130.3333333
14-Nov-95 111.5384615 145.911278 132.0744991 129.2222222
15-Nov-95 111.0576923 144.415999 133.1211619 129
16-Nov-95 110.0961538 145.9872567 133.8787037 128.7777778
17-Nov-95 110.5769231 145.5453881 134.4905643 128.8888889
20-Nov-95 110.0961538 142.7021186 133.7688825 128.8888889
21-Nov-95 110.0961538 142.8941553 134.5286656 130.4444444
22-Nov-95 110.0961538 141.5415063 134.1162759 130.7777778
23-Nov-95 110.0961538 141.5415063 134.1162759 130.7777778
24-Nov-95 110.0961538 140.7290752 134.4681519 131.5555556
27-Nov-95 110.5769231 140.7603055 134.7707203 133.2222222
28-Nov-95 110.5769231 139.4253758 135.9204805 134
29-Nov-95 111.0576923 140.2601793 136.187189 133.4444444
30-Nov-95 112.5 141.3718437 135.6784257 133
01-Dec-95 113.4615385 141.6174815 136.0392667 134.3333333
04-Dec-95 112.0192308 142.8852974 137.5409028 139.4444444
05-Dec-95 113.4615385 141.2026331 138.4374019 138.8888889
06-Dec-95 112.9807692 141.2338616 138.9977139 140.3333333
07-Dec-95 112.5 141.7959965 138.0989735 140
08-Dec-95 112.5 143.501487 138.392577 138.6666667
11-Dec-95 110.5769231 144.9385119 138.8497916 138.1111111
12-Dec-95 110.5769231 145.2377506 138.6839392 135.8888889
13-Dec-95 110.5769231 143.8205398 139.3361424 137.3333333
14-Dec-95 112.5 145.0600422 138.2670671 136
15-Dec-95 114.4230769 142.1957026 138.1370747 137.7777778
18-Dec-95 113.4615385 141.0742421 136.0011654 137.3333333
19-Dec-95 113.4615385 142.2191267 137.1486844 137.7777778
20-Dec-95 113.4615385 142.2292626 135.8061769 138
21-Dec-95 113.9423077 144.8885128 136.8259447 137.4444444
22-Dec-95 115.3846154 146.1466601 137.1554081 137
25-Dec-95 115.3846154 146.1466601 137.1554081 137
26-Dec-95 114.9038462 143.956554 137.6798601 137.7777778
27-Dec-95 117.3076923 144.9843262 137.7314088 136.4444444
28-Dec-95 115.8653846 148.8661704 137.6395177 136.5555556
29-Dec-95 116.8269231 150.004413 138.0451836 137.7777778
01-Jan-96 116.8269231 150.004413 138.0451836 137.7777778
02-Jan-96 116.3461538 148.6387249 139.1209826 138.6666667
03-Jan-96 116.3461538 148.2940313 139.2532162 137.5555556
04-Jan-96 116.3461538 149.6831408 138.4418844 137.8888889
05-Jan-96 116.3461538 150.1585738 138.2200009 137.4444444
08-Jan-96 115.8653846 147.5994245 138.6122193 137.3333333
09-Jan-96 116.3461538 151.722705 136.5928549 135.8888889
10-Jan-96 115.8653846 151.1336575 134.1342059 133.4444444
11-Jan-96 114.9038462 145.3843481 135.0777713 134.2222222
12-Jan-96 114.9038462 145.6042676 134.8805415 133.7777778
15-Jan-96 114.9038462 144.9478305 134.4345331 132.8888889
</TABLE>
<PAGE> 41
31
<TABLE>
<S> <C> <C> <C> <C>
16-Jan-96 114.4230769 144.6144357 136.3664889 134.8888889
17-Jan-96 113.9423077 145.1854615 135.9025505 136.3333333
18-Jan-96 112.9807692 144.9255693 136.3216639 134.6666667
19-Jan-96 113.9423077 144.4811373 137.1262719 134.3333333
22-Jan-96 115.3846154 143.2849866 137.4781478 133
23-Jan-96 117.3076923 140.9918566 137.3414317 130.5555556
24-Jan-96 115.8653846 140.3318408 138.9484065 130.3333333
25-Jan-96 115.3846154 140.7278019 138.2917208 129.2222222
26-Jan-96 114.9038462 141.1304036 139.3204536 129.3333333
29-Jan-96 115.8653846 141.9805884 139.9031781 130
30-Jan-96 116.3461538 142.5364188 141.2322381 131.5555556
31-Jan-96 115.8653846 143.5306311 142.5478506 136
01-Feb-96 116.3461538 143.7713688 143.0947151 133.7777778
02-Feb-96 116.3461538 145.6586352 142.5075082 133.3333333
05-Feb-96 116.8269231 143.3721486 143.7603658 131.8888889
06-Feb-96 117.7884615 143.0239639 144.8585773 134.7777778
07-Feb-96 116.8269231 141.060246 145.6654265 130.1111111
08-Feb-96 117.3076923 141.8549525 147.0415527 131.7777778
09-Feb-96 117.3076923 142.1047949 147.1087902 131.7777778
12-Feb-96 117.3076923 142.3970778 148.2473441 133.7777778
13-Feb-96 119.7115385 142.844855 148.0366668 132.8888889
14-Feb-96 121.6346154 142.7390816 146.9317316 132.1111111
15-Feb-96 121.6346154 143.5380696 145.97696 133.3333333
16-Feb-96 124.5192308 145.6336831 145.2283832 133.4444444
19-Feb-96 124.5192308 145.6336831 145.2283832 133.4444444
20-Feb-96 124.0384615 143.8697031 143.5855484 131
21-Feb-96 124.0384615 142.9964514 145.2552781 129.5555556
22-Feb-96 124.5192308 142.8859852 147.6668609 129.7777778
23-Feb-96 124.5192308 142.5881357 147.7161684 129.6666667
26-Feb-96 124.5192308 143.0233666 145.7842126 128.5555556
27-Feb-96 124.0384615 142.4441095 145.0625308 128.5555556
28-Feb-96 122.1153846 144.8644863 144.5044601 128.8888889
29-Feb-96 122.1153846 143.3559336 143.536241 127.8888889
01-Mar-96 122.1153846 143.6806943 144.4192927 130.8888889
04-Mar-96 123.5576923 146.0868509 145.8626563 134.2222222
05-Mar-96 123.5576923 146.0513029 146.9787978 134.1111111
06-Mar-96 123.0769231 146.8581373 146.1293648 136.4444444
07-Mar-96 122.5961538 145.9380442 146.4991707 136
08-Mar-96 119.2307692 143.1169298 141.9830562 132
11-Mar-96 119.2307692 141.836524 143.4443498 130
12-Mar-96 120.1923077 141.5307628 142.7876642 127.8888889
13-Mar-96 120.1923077 142.0690638 143.1148864 128.1111111
14-Mar-96 117.7884615 141.4038743 143.6348559 129.3333333
15-Mar-96 117.7884615 142.0272309 143.7603658 126.5555556
18-Mar-96 120.1923077 143.0760237 146.2750459 128.4444444
19-Mar-96 119.2307692 142.2299193 146.0598861 130.1111111
20-Mar-96 119.7115385 142.0331512 145.6766327 130.2222222
21-Mar-96 119.7115385 141.9565565 145.4995742 130.4444444
22-Mar-96 120.1923077 142.5424558 145.8200726 130.7777778
25-Mar-96 120.1923077 142.7099061 145.6900802 131.4444444
</TABLE>
<PAGE> 42
32
<TABLE>
<S> <C> <C> <C> <C>
26-Mar-96 119.7115385 142.3936504 146.3467659 131
27-Mar-96 120.6730769 141.9464246 145.4368192 129.8888889
28-Mar-96 120.1923077 140.5217618 145.443543 131
29-Mar-96 125.4807692 141.3155402 144.6725537 129.5555556
01-Apr-96 124.0384615 141.2039164 146.5171007 130.6666667
02-Apr-96 124.0384615 141.7888862 146.8600117 131
03-Apr-96 123.5576923 142.2493988 146.998969 130.5555556
04-Apr-96 123.5576923 142.1695683 146.9944865 130.6666667
05-Apr-96 123.5576923 142.1695683 146.9944865 130.6666667
08-Apr-96 122.1153846 138.9047167 144.3901564 128.6666667
09-Apr-96 122.5961538 137.4781949 143.9307006 128.4444444
10-Apr-96 119.2307692 136.0690275 141.9830562 126
11-Apr-96 121.1538462 132.3875332 141.4630866 125.3333333
12-Apr-96 121.6346154 132.9288597 142.7024968 127.2222222
15-Apr-96 122.1153846 134.9318435 143.9979381 129.1111111
16-Apr-96 121.3961538 133.9525476 144.5604913 127.6666667
17-Apr-96 120.6730769 133.3906863 143.8007082 127.6666667
18-Apr-96 120.6730769 133.3767856 144.2489578 127.3333333
19-Apr-96 119.7115385 134.3317695 144.57618 128.2222222
22-Apr-96 120.1923077 133.8835687 145.2082119 128.3333333
23-Apr-96 119.2307692 136.5256967 146.0352324 128.1111111
24-Apr-96 118.2692308 136.3586089 145.7192165 128
25-Apr-96 116.8269231 137.7894418 146.3243534 127.1111111
26-Apr-96 116.3461538 137.7830251 146.456587 126.8888889
29-Apr-96 115.3846154 136.8424254 146.6134744 127.2222222
30-Apr-96 115.8653846 136.6471577 146.6157156 127
01-May-96 115.3846154 137.0142977 146.7076068 126.8888889
02-May-96 114.9038462 134.8530714 144.1974091 125.2222222
03-May-96 115.1461538 134.8080875 143.8051907 125.5555556
06-May-96 114.9038462 133.2843823 143.6214084 124.4444444
07-May-96 114.9038462 133.3507455 143.0498902 123.6666667
08-May-96 115.8653846 133.376213 144.5089426 126
09-May-96 117.3076923 132.4411982 144.6591062 126.3333333
10-May-96 117.7884615 133.3442839 146.1495361 126.1111111
13-May-96 118.75 133.5500706 148.2607916 126.3333333
14-May-96 120.1923077 134.6603367 149.177462 126.2222222
15-May-96 120.1923077 133.9469598 149.1371195 125.7777778
16-May-96 121.1538462 132.8162915 149.0093684 124.4444444
17-May-96 122.1153846 132.6561873 149.9193151 124.4444444
20-May-96 122.5961538 134.4261094 150.8696042 125
21-May-96 121.6346154 134.0645878 150.7821955 126
22-May-96 121.1538462 133.7529345 152.0507419 126.5555556
23-May-96 121.1538462 135.7666435 151.5083599 125.6666667
24-May-96 123.0769231 136.3560366 152.0709131 126.5555556
27-May-96 123.0769231 136.3560366 152.0709131 126.5555556
28-May-96 122.1153846 137.5487978 150.6634094 126
29-May-96 123.5576923 135.4240489 149.6996728 126.2222222
30-May-96 123.5576923 135.2331759 150.5446232 127.5555556
31-May-96 122.5961538 135.6047847 149.9663813 129.7777778
03-Jun-96 123.0769231 135.9865241 149.6436416 131.3333333
</TABLE>
<PAGE> 43
33
<TABLE>
<S> <C> <C> <C> <C>
04-Jun-96 123.0769231 136.6218305 150.7373706 133.3333333
05-Jun-96 123.5576923 135.9562299 152.0552243 136
06-Jun-96 122.5961538 136.4231578 150.8427092 135.3333333
07-Jun-96 122.1153846 133.71437 150.9054642 134.6666667
10-Jun-96 122.1153846 133.3547614 150.6477207 135
11-Jun-96 120.1923077 135.1318556 150.3810121 133
12-Jun-96 119.7115385 135.9593871 149.9484513 132.3333333
13-Jun-96 120.1923077 135.7074599 149.6974315 132.4444444
14-Jun-96 120.6730769 136.332483 149.2334932 131.3333333
17-Jun-96 121.1538462 137.4130253 149.0788471 133.1111111
18-Jun-96 121.6346154 137.550181 148.3840602 133
19-Jun-96 121.6346154 137.395476 148.3616478 133.4444444
20-Jun-96 122.1153846 137.2760944 148.3930252 134.5555556
21-Jun-96 121.6346154 138.9619877 149.4553768 135.5555556
24-Jun-96 120.6730769 138.6199707 149.9058676 135.5555556
25-Jun-96 118.75 139.9417711 149.8229414 136.2222222
26-Jun-96 119.7115385 139.9637377 148.906271 135.7777778
27-Jun-96 120.1923077 140.1572545 149.8386301 135.2222222
28-Jun-96 121.1538462 141.3317181 150.3048097 135.3333333
01-Jul-96 120.1923077 142.4659105 151.4814649 137.3333333
02-Jul-96 120.1923077 142.6992101 150.9727016 136.6666667
03-Jul-96 120.6730769 141.6978996 150.7015106 135
04-Jul-96 120.6730769 141.6978996 150.7015106 135
05-Jul-96 120.1923077 140.2914494 147.3486037 133.1111111
08-Jul-96 120.6730769 138.2159846 146.2503922 130.8888889
09-Jul-96 120.1923077 138.380169 146.745708 132.1111111
10-Jul-96 120.1923077 138.4117057 147.0393115 133.3333333
11-Jul-96 120.1923077 137.5067644 144.7106549 132.2222222
12-Jul-96 119.7115385 136.9254355 144.8271998 133.7777778
15-Jul-96 120.1923077 134.4012931 141.1537944 131.4444444
16-Jul-96 117.7884615 133.401692 140.833296 133
17-Jul-96 117.3076923 137.2286609 142.1108073 133.2222222
18-Jul-96 116.8269231 138.2643627 144.2377516 134.6666667
19-Jul-96 116.3461538 137.9514225 143.1552288 132.8888889
22-Jul-96 115.8653846 137.7938202 142.0435699 131.4444444
23-Jul-96 115.8653846 135.4613419 140.4971088 131
24-Jul-96 111.5384615 135.0267793 140.4478013 131.8888889
25-Jul-96 111.0576923 136.7939397 141.4608454 131.2222222
26-Jul-96 111.5384615 137.9466375 142.5209557 132.3333333
29-Jul-96 112.0192308 138.2764991 141.402573 130.7777778
30-Jul-96 111.5384615 136.6927741 142.3775158 130.3333333
31-Jul-96 115.3846154 137.0628424 143.4286611 130.4444444
01-Aug-96 113.4615385 139.3629817 145.6855977 133.7777778
02-Aug-96 114.4230769 139.7156187 148.4804339 135.4444444
05-Aug-96 112.5 139.9116046 147.9739119 134.1111111
06-Aug-96 111.5384615 140.4084276 148.4557802 135.1111111
07-Aug-96 111.0576923 140.9655232 148.8547223 135.3333333
08-Aug-96 111.0576923 141.7538033 148.5028464 133.6666667
09-Aug-96 110.0961538 140.8216104 148.3930252 132.8888889
12-Aug-96 110.0961538 140.8778261 149.2155632 134.6666667
</TABLE>
<PAGE> 44
34
<TABLE>
<S> <C> <C> <C> <C>
13-Aug-96 110.5769231 141.8721124 147.9671881 133.1111111
14-Aug-96 110.5769231 143.8819368 148.381819 132.5555556
15-Aug-96 110.5769231 148.6431134 148.4333677 132.5555556
16-Aug-96 113.4615385 148.3573528 149.0900533 134.5555556
19-Aug-96 112.7423077 147.9209097 149.3971043 135.4444444
20-Aug-96 111.5384615 146.207804 149.1976332 135.8888889
21-Aug-96 111.0576923 145.8652709 149.0586759 135
22-Aug-96 111.0576923 146.6789426 150.316016 134.1111111
23-Aug-96 110.5769231 147.4171649 149.4979605 132.6666667
26-Aug-96 110.0961538 147.6501276 148.7919674 132.5555556
27-Aug-96 116.3461538 147.7378248 149.3567618 131.4444444
28-Aug-96 114.9038462 149.2657389 149.0004034 131
29-Aug-96 114.4230769 149.515425 147.3396387 129.8888889
30-Aug-96 114.9038462 148.8655781 146.1271236 128.7777778
02-Sep-96 114.9038462 148.8655781 146.1271236 128.7777778
03-Sep-96 112.5 148.7453771 146.7389843 128.1111111
04-Sep-96 112.5 148.8960669 146.9384553 127.1111111
05-Sep-96 112.0192308 149.2292283 145.5556054 126.6666667
06-Sep-96 111.5384615 149.5468419 146.9541441 128.3333333
09-Sep-96 111.0576923 149.900966 148.7650724 130.6666667
10-Sep-96 112.0192308 149.6568138 148.7762786 128.7777778
11-Sep-96 114.4230769 149.2869227 149.5539917 127.6666667
12-Sep-96 116.3461538 148.4428449 150.4213546 127.5555556
13-Sep-96 118.2692308 150.2139448 152.5258864 128.6666667
16-Sep-96 117.7884615 149.9558508 153.2968757 129.6666667
17-Sep-96 119.4730769 149.0690188 153.0637859 128.6666667
18-Sep-96 117.7884615 146.6923811 152.7343225 128
19-Sep-96 118.2692308 147.1110642 153.0772334 127.4444444
20-Sep-96 118.2692308 146.1494546 153.9804563 126.4444444
23-Sep-96 117.7884615 146.7599687 153.8571877 125.5555556
24-Sep-96 116.3461538 146.7121559 153.6621991 125.3333333
25-Sep-96 116.3461538 145.8354339 153.7115066 125.2222222
26-Sep-96 117.3076923 145.566479 153.7182303 126.8888889
27-Sep-96 118.2692308 147.0018994 153.7921915 126.7777778
30-Sep-96 120.6730769 146.5374612 154.0476938 126
01-Oct-96 120.1923077 146.5141456 154.4399121 126.6666667
02-Oct-96 119.7115385 147.4596921 155.5448474 129.7777778
03-Oct-96 118.75 146.9180714 155.2691739 129.5555556
04-Oct-96 119.7115385 149.4838117 157.2145771 131.3333333
07-Oct-96 119.4730769 150.6822187 157.6359317 131.1111111
08-Oct-96 120.1923077 152.0115605 157.0307947 131
09-Oct-96 116.8269231 149.6245759 156.1567081 130.7777778
10-Oct-96 116.8269231 147.9144331 155.6793222 129.6666667
11-Oct-96 117.3076923 149.252329 157.0352772 129
14-Oct-96 116.8269231 149.3923413 157.6807566 128
15-Oct-96 117.3076923 150.2022891 157.4633556 127.8888889
16-Oct-96 115.8653846 151.1607719 157.8757452 128.3333333
17-Oct-96 117.7884615 149.959549 158.4539872 129.2222222
18-Oct-96 117.3076923 150.3512308 159.3123851 130.7777778
21-Oct-96 116.3461538 149.7083346 159.0949841 131.1111111
</TABLE>
<PAGE> 45
35
<TABLE>
<S> <C> <C> <C> <C>
22-Oct-96 114.4230769 149.5036272 158.3598548 128.5555556
23-Oct-96 113.4615385 147.8279393 158.5167421 130.2222222
24-Oct-96 114.9038462 146.8402776 157.4006007 128.2222222
25-Oct-96 113.9423077 145.9636662 157.0935497 128.5555556
28-Oct-96 112.0192308 144.4803715 156.2732529 126.8888889
29-Oct-96 115.3846154 145.7025988 157.2235421 128
30-Oct-96 115.8653846 145.9652629 157.0890672 130.3333333
31-Oct-96 115.3846154 146.7705176 158.0684925 130.8888889
01-Nov-96 114.9038462 145.1995882 157.7323053 130.8888889
04-Nov-96 115.3846154 145.8711163 158.3957147 132.2222222
05-Nov-96 115.1461538 146.902501 160.0564794 132
06-Nov-96 117.3076923 147.4797473 162.3985835 133.3333333
07-Nov-96 118.2692308 148.9059447 163.0844054 137.2222222
08-Nov-96 121.1538462 148.3084395 163.794881 137.7777778
11-Nov-96 121.6346154 148.6498932 164.030212 138
12-Nov-96 121.1538462 149.2556661 163.5124838 139.8888889
13-Nov-96 119.7115385 150.1844402 163.8643597 141.3333333
14-Nov-96 119.7115385 150.9225651 164.9289524 140.2222222
15-Nov-96 119.2307692 151.1119921 165.3189296 139.2222222
18-Nov-96 118.75 150.0817604 165.1844547 141.7777778
19-Nov-96 118.75 149.7977143 166.3364561 142.3333333
20-Nov-96 114.9038462 152.227297 166.7376395 144.1111111
21-Nov-96 114.4230769 152.2921855 166.4686898 143.7777778
22-Nov-96 114.4230769 154.433297 167.808956 146.1111111
25-Nov-96 116.3461538 157.0231258 169.6691918 148.5555556
26-Nov-96 118.2692308 156.5822576 169.4293783 150.5555556
27-Nov-96 118.2692308 156.8208761 169.2142185 150.2222222
28-Nov-96 118.2692308 156.8208761 169.2142185 150.2222222
29-Nov-96 117.7884615 156.4011145 169.6669506 150
02-Dec-96 121.1538462 155.7615218 169.5638532 147.6666667
03-Dec-96 124.5192308 155.2456634 167.7080999 147
04-Dec-96 125.4807692 152.5199346 166.995383 144.8888889
05-Dec-96 125.9615385 153.0938338 166.8340132 144.6666667
06-Dec-96 124.0384615 150.5532988 165.7626967 144.3333333
09-Dec-96 123.5576923 150.9553566 168.0510108 144.6666667
10-Dec-96 124.0384615 149.8253329 167.5422475 145.4444444
11-Dec-96 123.5576923 149.8341382 166.0159577 143
12-Dec-96 123.0769231 150.4810951 163.460935 141.6666667
13-Dec-96 123.5576923 148.8635022 163.3062889 141.4444444
16-Dec-96 124.0384615 147.5088039 161.589493 139.3333333
17-Dec-96 123.0769231 146.080297 162.7235645 138.3333333
18-Dec-96 123.0769231 146.5442211 163.9562508 138.1111111
19-Dec-96 123.5576923 147.2733142 167.1433054 139.7777778
20-Dec-96 123.5576923 149.2814929 167.8403335 138.2222222
23-Dec-96 123.0769231 149.4183138 167.4032902 139.2222222
24-Dec-96 124.5192308 149.3713489 168.324443 139.8888889
25-Dec-96 124.5192308 149.3713489 168.324443 139.8888889
26-Dec-96 124.0384615 149.686448 169.3980008 140.8888889
27-Dec-96 124.0384615 151.6538295 169.6154019 142
30-Dec-96 123.0769231 150.7964726 168.956475 141.7777778
</TABLE>
<PAGE> 46
36
<TABLE>
<S> <C> <C> <C> <C>
31-Dec-96 120.1923077 152.8431569 166.0181989 140.2222222
01-Jan-97 120.1923077 152.8431569 166.0181989 140.2222222
02-Jan-97 120.1923077 149.4910305 165.1822135 137.4444444
03-Jan-97 118.2692308 150.9799851 167.6520687 137.2222222
06-Jan-97 116.8269231 149.7236563 167.5669013 136.7777778
07-Jan-97 116.8269231 149.0255003 168.8175176 136.4444444
08-Jan-97 116.8269231 147.927121 167.7372361 135.8888889
09-Jan-97 119.2307692 149.1164024 169.1805998 139.1111111
10-Jan-97 118.2692308 149.8956112 170.22278 138.2222222
13-Jan-97 145.6730769 148.7668484 170.2250213 137.3333333
14-Jan-97 145.6730769 151.0005015 172.3205881 139
15-Jan-97 145.6730769 150.1967226 171.9485409 138.4444444
16-Jan-97 145.6730769 149.6295619 172.5200592 136.1111111
17-Jan-97 145.1923077 150.3196028 173.9589403 138
20-Jan-97 145.6730769 151.1113725 174.0777265 138.1111111
21-Jan-97 145.1923077 151.7101766 175.4269577 137.3333333
22-Jan-97 145.6730769 152.5420591 176.2136358 136.1111111
23-Jan-97 145.6730769 153.420723 174.2704738 136.1111111
24-Jan-97 145.6730769 153.4691647 172.6926353 134.6666667
27-Jan-97 145.6730769 152.3705539 171.4599489 134.7777778
28-Jan-97 146.1538462 152.3479851 171.4599489 134.4444444
29-Jan-97 145.6730769 151.39545 173.1364023 136.8888889
30-Jan-97 145.6730769 153.7391877 175.7519387 139.2222222
31-Jan-97 145.6730769 155.2115641 176.197947 143.5555556
03-Feb-97 146.1538462 155.1919728 176.3256981 146.5555556
04-Feb-97 146.1538462 156.4795538 176.8927339 146.6666667
05-Feb-97 146.1538462 155.95484 174.4318437 144.7777778
06-Feb-97 146.1538462 157.2784081 174.850957 145.3333333
07-Feb-97 146.6346154 157.0764588 176.9599713 146.1111111
10-Feb-97 146.6346154 156.4860543 176.0343359 145.1111111
11-Feb-97 146.6346154 156.5461434 176.9666951 147.8888889
12-Feb-97 147.1153846 158.8681695 179.9206598 149.8888889
13-Feb-97 147.1153846 159.3102672 181.9489892 153.7777778
14-Feb-97 146.6346154 160.8686753 181.2004124 155.2222222
17-Feb-97 146.6346154 160.8686753 181.2004124 155.2222222
18-Feb-97 147.1153846 161.7941851 182.950827 156
19-Feb-97 146.6346154 162.6862344 182.0991528 156.7777778
20-Feb-97 146.6346154 163.4109249 179.9273836 152.7777778
21-Feb-97 147.1153846 163.0606241 179.696535 152.8888889
24-Feb-97 147.1153846 162.8819841 181.603837 155
25-Feb-97 147.1153846 163.9760154 182.0117441 153.7777778
26-Feb-97 147.5961538 166.5531716 180.572863 154
27-Feb-97 147.1153846 165.1884257 178.1948989 153.3333333
28-Feb-97 147.5961538 162.5020996 177.2423686 150.7777778
03-Mar-97 147.5961538 163.5277191 178.2486889 151.3333333
04-Mar-97 148.0769231 163.4554826 177.2715048 152.1111111
05-Mar-97 148.0769231 164.2394784 179.7458425 152.8888889
06-Mar-97 147.5961538 164.3027128 178.9770944 152.5555556
07-Mar-97 148.0769231 166.2005617 180.4137344 153.3333333
10-Mar-97 148.5576923 167.3736518 182.3591376 154.4444444
</TABLE>
<PAGE> 47
37
<TABLE>
<S> <C> <C> <C> <C>
11-Mar-97 147.5961538 167.1919905 181.8414093 154.8888889
12-Mar-97 147.1153846 167.7761154 180.2546058 155
13-Mar-97 146.1538462 166.2996873 176.9599713 150.6666667
14-Mar-97 146.6346154 166.0494716 177.7690618 150.6666667
17-Mar-97 147.1153846 163.6263904 178.3383388 151.6666667
18-Mar-97 145.6730769 164.2504437 176.9823838 151.1111111
19-Mar-97 145.1923077 164.9397848 176.1105383 149.7777778
20-Mar-97 146.1538462 163.9957621 175.411269 148.2222222
21-Mar-97 146.1538462 163.0539743 175.7362499 149
24-Mar-97 146.1538462 162.0935642 177.2580573 148.3333333
25-Mar-97 146.6346154 162.0617384 176.8501502 148.4444444
26-Mar-97 146.6346154 161.7791399 177.1706486 146.7777778
27-Mar-97 147.1153846 161.0116495 173.4456946 143.1111111
28-Mar-97 147.1153846 161.0116495 173.4456946 143.1111111
31-Mar-97 147.5961538 159.0526144 169.689363 140.4444444
01-Apr-97 147.5961538 158.7508637 170.2541575 139
02-Apr-97 148.0769231 158.1002598 168.1182482 139.1111111
14-Apr-97 148.0769231 155.9305868 168.1653144 138.6666667
04-Apr-97 147.5961538 154.027371 169.8641804 136.8888889
07-Apr-97 148.0769231 155.1270998 170.8122282 139.1111111
08-Apr-97 148.5576923 154.7929685 171.7064862 142.1111111
09-Apr-97 148.5576923 154.3214551 170.4693173 141
10-Apr-97 148.5576923 154.3959948 169.9627953 140
11-Apr-97 147.5961538 152.1414457 165.3256533 138.4444444
14-Apr-97 147.5961538 152.2258786 166.6883321 139.6666667
</TABLE>
Note: (1) The Broker-Reinsurer Composite consists of the following companies:
NAC Re, Everest Re (Prudential Re), Transatlantic Holdings, Chartwell
Re and Trenwick Group.
<TABLE>
<CAPTION>
Last Twelve Months
JUICE BROKER-REINSURER COMPOSITE(1) S&P 500 GENERAL RE
<S> <C> <C> <C> <C>
15-Apr-96 100 100 100 100
16-Apr-96 99.41102362 99.27422919 100.3906676 98.88123924
17-Apr-96 98.81889764 98.85782539 99.86303289 98.88123924
18-Apr-96 98.81889764 98.84752339 100.1743218 98.62306368
19-Apr-96 98.03149606 99.55527621 100.4015627 99.31153184
22-Apr-96 98.42519685 99.2231079 100.84048 99.39759036
23-Apr-96 97.63779528 101.1812283 101.414808 99.22547332
24-Apr-96 96.8503937 101.0573971 101.1953493 99.1394148
25-Apr-96 95.66929134 102.1178086 101.6155893 98.45094664
26-Apr-96 95.27559055 102.1130531 101.7074196 98.2788296
29-Apr-96 94.48818898 101.4159607 101.8163707 98.53700516
30-Apr-96 94.88188976 101.2712449 101.8179271 98.36488812
01-May-96 94.48818898 101.5433378 101.8817414 98.2788296
02-May-96 94.09448819 99.94162076 100.1385236 96.98795181
03-May-96 94.29291339 99.90828256 99.86614578 97.24612737
06-May-96 94.09448819 98.77904196 99.73851733 96.38554217
07-May-96 94.09448819 98.82822472 99.34162399 95.78313253
08-May-96 94.88188976 98.84709902 100.3548693 97.59036145
09-May-96 96.06299213 98.15414561 100.4591511 97.84853701
10-May-96 96.45669291 98.82343589 101.4941867 97.67641997
13-May-96 97.24409449 98.97594751 102.9603574 97.84853701
14-May-96 98.42519685 99.79878224 103.5969431 97.76247849
15-May-96 98.42519685 99.27008799 103.5689271 97.41824441
16-May-96 99.21259843 98.43213285 103.4802098 96.38554217
</TABLE>
<PAGE> 48
38
<TABLE>
<S> <C> <C> <C> <C>
17-May-96 100 98.31347729 104.1121263 96.38554217
20-May-96 100.3937008 99.62519287 104.7720587 96.81583477
21-May-96 99.60629921 99.35726383 104.7113574 97.59036145
22-May-96 99.21259843 99.12629296 105.5923049 98.02065404
23-May-96 99.21259843 100.6186827 105.2156454 97.33218589
24-May-96 100.7874016 101.0554907 105.6063129 98.02065404
27-May-96 100.7874016 101.0554907 105.6063129 98.02065404
28-May-96 100 101.9394638 104.6288658 97.59036145
29-May-96 101.1811024 100.3647807 103.9595947 97.76247849
30-May-96 101.1811024 100.2233219 104.5463743 98.79518072
31-May-96 100.3937008 100.4987267 104.1448116 100.5163511
03-Jun-96 100.7874016 100.7816395 103.9206836 101.7211704
04-Jun-96 100.7874016 101.2524745 104.6802285 103.2702238
05-Jun-96 101.1811024 100.759188 105.5954178 105.3356282
06-Jun-96 100.3937008 101.1052353 104.7533814 104.8192771
07-Jun-96 100 99.09771223 104.7969618 104.302926
10-Jun-96 100 98.83120092 104.6179707 104.5611015
11-Jun-96 98.42519685 100.1482319 104.4327538 103.0120482
12-Jun-96 98.03149606 100.7615278 104.13236 102.4956971
13-Jun-96 98.42519685 100.5748208 103.9580383 102.5817556
14-Jun-96 98.81889764 101.0380348 103.6358543 101.7211704
17-Jun-96 99.21259843 101.8388408 103.5284596 103.0981067
18-Jun-96 99.60629921 101.9404889 103.0459618 103.0120482
19-Jun-96 99.60629921 101.8258348 103.0303974 103.3562823
20-Jun-96 100 101.7373593 103.0521876 104.2168675
21-Jun-96 99.60629921 102.9867999 103.7899423 104.9913941
24-Jun-96 98.81889764 102.733326 104.1027876 104.9913941
25-Jun-96 97.24409449 103.712932 104.0451991 105.5077453
26-Jun-96 98.03149606 103.7292118 103.4086134 105.1635112
27-Jun-96 98.42519685 103.8726299 104.0560943 104.7332186
28-Jun-96 99.21259843 104.7430424 104.3798347 104.8192771
01-Jul-96 98.42519685 105.5836093 105.196968 106.3683305
02-Jul-96 98.42519685 105.7565111 104.8436552 105.8519793
03-Jul-96 98.81889764 105.014425 104.6553254 104.5611015
04-Jul-96 98.81889764 105.014425 104.6553254 104.5611015
05-Jul-96 98.42519685 103.9720838 102.3268845 103.0981067
08-Jul-96 98.81889764 102.4339259 101.5642267 101.3769363
09-Jul-96 98.42519685 102.5556054 101.9082009 102.32358
10-Jul-96 98.42519685 102.5789777 102.1120951 103.2702238
11-Jul-96 98.42519685 101.9083122 100.4949493 102.4096386
12-Jul-96 98.03149606 101.4774807 100.5758844 103.6144578
15-Jul-96 98.42519685 99.60680119 98.02487198 101.8072289
16-Jul-96 96.45669291 98.86598192 97.80230042 103.0120482
17-Jul-96 96.06299213 101.7022056 98.68947377 103.1841652
18-Jul-96 95.66929134 102.4697796 100.1665396 104.302926
19-Jul-96 95.27559055 102.237855 99.41477688 102.9259897
22-Jul-96 94.88188976 102.1210536 98.64278043 101.8072289
23-Jul-96 94.88188976 100.3924192 97.56883376 101.4629948
24-Jul-96 91.33858268 100.0703583 97.53459198 102.151463
25-Jul-96 90.94488189 101.3800272 98.23810487 101.6351119
</TABLE>
<PAGE> 49
39
<TABLE>
<S> <C> <C> <C> <C>
26-Jul-96 91.33858268 102.2343087 98.9743031 102.4956971
29-Jul-96 91.73228346 102.478774 98.19763732 101.2908778
30-Jul-96 91.33858268 101.3050518 98.87469066 100.9466437
31-Jul-96 94.48818898 101.579315 99.60466311 101.0327022
01-Aug-96 92.91338583 103.2839825 101.1720027 103.6144578
02-Aug-96 93.7007874 103.545327 103.1128889 104.9053356
05-Aug-96 92.12598425 103.6905751 102.7611325 103.8726334
06-Aug-96 91.33858268 104.0587781 103.095768 104.6471601
07-Aug-96 90.94488189 104.4716499 103.3728151 104.8192771
08-Aug-96 90.94488189 105.0558561 103.1284534 103.5283993
09-Aug-96 90.15748031 104.364994 103.0521876 102.9259897
12-Aug-96 90.15748031 104.4066563 103.6234027 104.302926
13-Aug-96 90.5511811 105.1435367 102.7564631 103.0981067
14-Aug-96 90.5511811 106.6330475 103.0444054 102.6678141
15-Aug-96 90.5511811 110.1616264 103.0802036 102.6678141
16-Aug-96 92.91338583 109.949845 103.5362418 104.2168675
19-Aug-96 92.32440945 109.6263905 103.7494747 104.9053356
20-Aug-96 91.33858268 108.3567823 103.6109511 105.2495697
21-Aug-96 90.94488189 108.102926 103.5144516 104.5611015
22-Aug-96 90.94488189 108.7059502 104.3876169 103.8726334
23-Aug-96 90.5511811 109.2530577 103.8195147 102.7538726
26-Aug-96 90.15748031 109.4257099 103.3292347 102.6678141
27-Aug-96 95.27559055 109.4907036 103.7214587 101.8072289
28-Aug-96 94.09448819 110.6230635 103.473984 101.4629948
29-Aug-96 93.7007874 110.8081095 102.3206587 100.6024096
30-Aug-96 94.09448819 110.3264983 101.4786222 99.74182444
02-Sep-96 94.09448819 110.3264983 101.4786222 99.74182444
03-Sep-96 92.12598425 110.2374156 101.9035316 99.22547332
04-Sep-96 92.12598425 110.349094 102.0420551 98.45094664
05-Sep-96 91.73228346 110.5960049 101.0817289 98.10671256
06-Sep-96 91.33858268 110.8313931 102.0529502 99.39759036
09-Sep-96 90.94488189 111.0938397 103.3105574 101.2048193
10-Sep-96 91.73228346 110.9128949 103.3183396 99.74182444
11-Sep-96 93.7007874 110.6387631 103.8584258 98.88123924
12-Sep-96 95.27559055 110.0132044 104.4607698 98.79518072
13-Sep-96 96.8503937 111.325793 105.9222712 99.65576592
16-Sep-96 96.45669291 111.1345157 106.4576881 100.4302926
17-Sep-96 97.83622047 110.4772713 106.2958178 99.65576592
18-Sep-96 96.45669291 108.7159096 106.0670205 99.1394148
19-Sep-96 96.8503937 109.026202 106.3051565 98.7091222
20-Sep-96 96.8503937 108.3135387 106.9324036 97.93459552
23-Sep-96 96.45669291 108.7659998 106.8467992 97.24612737
24-Sep-96 95.27559055 108.730565 106.7113885 97.07401033
25-Sep-96 95.27559055 108.0808133 106.7456303 96.98795181
26-Sep-96 96.06299213 107.8814868 106.7502996 98.2788296
27-Sep-96 96.8503937 108.9452983 106.8016623 98.19277108
30-Sep-96 98.81889764 108.6010962 106.979097 97.59036145
01-Oct-96 98.42519685 108.5838167 107.2514747 98.10671256
02-Oct-96 98.03149606 109.2845752 108.0188018 100.5163511
03-Oct-96 97.24409449 108.8831721 107.8273592 100.3442341
</TABLE>
<PAGE> 50
40
<TABLE>
<S> <C> <C> <C> <C>
04-Oct-96 98.03149606 110.7846804 109.178353 101.7211704
07-Oct-96 97.83622047 111.6728378 109.4709645 101.5490534
08-Oct-96 98.42519685 112.6580328 109.0507245 101.4629948
09-Oct-96 95.66929134 110.8890029 108.4437112 101.2908778
10-Oct-96 95.66929134 109.6215906 108.1121885 100.4302926
11-Oct-96 96.06299213 110.6131252 109.0538374 99.91394148
14-Oct-96 95.66929134 110.7168904 109.5020934 99.1394148
15-Oct-96 96.06299213 111.3171548 109.3511183 99.05335628
16-Oct-96 94.88188976 112.0275007 109.6375041 99.39759036
17-Oct-96 96.45669291 111.1372564 110.0390668 100.0860585
18-Oct-96 96.06299213 111.4275377 110.635185 101.2908778
21-Oct-96 95.27559055 110.9510777 110.4842099 101.5490534
22-Oct-96 93.7007874 110.799366 109.9736961 99.5697074
23-Oct-96 92.91338583 109.5574888 110.0826472 100.8605852
24-Oct-96 94.09448819 108.8255179 109.3075379 99.31153184
25-Oct-96 93.30708661 108.1758482 109.094305 99.5697074
28-Oct-96 91.73228346 107.0765563 108.5246463 98.2788296
29-Oct-96 94.48818898 107.9823673 109.1845787 99.1394148
30-Oct-96 94.88188976 108.1770315 109.0911921 100.9466437
31-Oct-96 94.48818898 108.7738177 109.7713583 101.3769363
01-Nov-96 94.09448819 107.6095786 109.5378916 101.3769363
04-Nov-96 94.48818898 108.107258 109.9985992 102.4096386
05-Nov-96 94.29291339 108.8716326 111.1519245 102.2375215
06-Nov-96 96.06299213 109.2994384 112.778409 103.2702238
07-Nov-96 96.8503937 110.3564146 113.254681 106.2822719
08-Nov-96 99.21259843 109.9135946 113.7480739 106.7125645
11-Nov-96 99.60629921 110.166651 113.9115006 106.8846816
12-Nov-96 99.21259843 110.6155984 113.5519619 108.3476764
13-Nov-96 98.03149606 111.3039267 113.7963237 109.4664372
14-Nov-96 98.03149606 111.8509621 114.5356348 108.605852
15-Nov-96 97.63779528 111.9913492 114.8064561 107.8313253
18-Nov-96 97.24409449 111.2278291 114.7130695 109.8106713
19-Nov-96 97.24409449 111.0173184 115.5130819 110.2409639
20-Nov-96 94.09448819 112.8179183 115.7916855 111.6179002
21-Nov-96 93.7007874 112.8660082 115.6049121 111.3597246
22-Nov-96 93.7007874 114.4528178 116.5356659 113.1669535
25-Nov-96 95.27559055 116.3721785 117.8275148 115.060241
26-Nov-96 96.8503937 116.0454445 117.6609753 116.6092943
27-Nov-96 96.8503937 116.2222882 117.5115566 116.3511188
28-Nov-96 96.8503937 116.2222882 117.5115566 116.3511188
29-Nov-96 96.45669291 115.9111967 117.8259584 116.1790017
02-Dec-96 99.21259843 115.437185 117.7543619 114.3717728
03-Dec-96 101.9685039 115.0548746 116.4656259 113.8554217
04-Dec-96 102.7559055 113.0347964 115.9706766 112.2203098
05-Dec-96 103.1496063 113.4601216 115.8586126 112.0481928
06-Dec-96 101.5748031 111.5772933 115.1146321 111.7900172
09-Dec-96 101.1811024 111.8752643 116.7037619 112.0481928
10-Dec-96 101.5748031 111.0377869 116.350449 112.6506024
11-Dec-96 101.1811024 111.0443127 115.2905104 110.757315
12-Dec-96 100.7874016 111.523782 113.5161637 109.7246127
</TABLE>
<PAGE> 51
41
<TABLE>
<S> <C> <C> <C> <C>
13-Dec-96 101.1811024 110.3249599 113.408769 109.5524957
16-Dec-96 101.5748031 109.3209728 112.2165326 107.9173838
17-Dec-96 100.7874016 108.262285 113.0040934 107.1428571
18-Dec-96 100.7874016 108.606106 113.8601379 106.9707401
19-Dec-96 101.1811024 109.1464479 116.0734019 108.2616179
20-Dec-96 101.1811024 110.634739 116.5574561 107.0567986
23-Dec-96 100.7874016 110.736139 116.2539495 107.8313253
24-Dec-96 101.9685039 110.7013326 116.8936482 108.3476764
25-Dec-96 101.9685039 110.7013326 116.8936482 108.3476764
26-Dec-96 101.5748031 110.9348572 117.639185 109.1222031
27-Dec-96 101.5748031 112.392913 117.7901602 109.9827883
30-Dec-96 100.7874016 111.757513 117.3325655 109.8106713
31-Dec-96 98.42519685 113.2743412 115.2920668 108.605852
01-Jan-97 98.42519685 113.2743412 115.2920668 108.605852
02-Jan-97 98.42519685 110.7900304 114.711513 106.454389
03-Jan-97 96.8503937 111.8935169 116.4267148 106.2822719
06-Jan-97 95.66929134 110.9624328 116.3675699 105.9380379
07-Jan-97 95.66929134 110.4450191 117.2360659 105.6798623
08-Jan-97 95.66929134 109.6309938 116.4858597 105.2495697
09-Jan-97 97.63779528 110.512388 117.4882099 107.7452668
10-Jan-97 96.8503937 111.0898712 118.2119566 107.0567986
13-Jan-97 119.2913386 110.2533283 118.2135131 106.3683305
14-Jan-97 119.2913386 111.9087219 119.6687886 107.6592083
15-Jan-97 119.2913386 111.3130294 119.4104188 107.2289157
16-Jan-97 119.2913386 110.8926981 119.8073122 105.4216867
17-Jan-97 118.8976378 111.4040977 120.8065495 106.8846816
20-Jan-97 119.2913386 111.99089 120.8890411 106.9707401
21-Jan-97 118.8976378 112.4346727 121.8260206 106.3683305
22-Jan-97 119.2913386 113.0511932 122.3723326 105.4216867
23-Jan-97 119.2913386 113.7023841 121.0228953 105.4216867
24-Jan-97 119.2913386 113.738285 119.9271584 104.302926
27-Jan-97 119.2913386 112.9240881 119.0711139 104.3889845
28-Jan-97 119.6850394 112.907362 119.0711139 104.130809
29-Jan-97 119.2913386 112.2014241 120.2353344 106.0240964
30-Jan-97 119.2913386 113.938403 122.0517051 107.8313253
31-Jan-97 119.2913386 115.0296031 122.3614375 111.1876076
03-Feb-97 119.6850394 115.0150837 122.4501549 113.5111876
04-Feb-97 119.6850394 115.9693292 122.8439353 113.5972461
05-Feb-97 119.6850394 115.5804559 121.1349593 112.1342513
06-Feb-97 119.6850394 116.561372 121.4260144 112.5645439
07-Feb-97 120.0787402 116.4117043 122.8906286 113.1669535
10-Feb-97 120.0787402 115.9741468 122.2478171 112.3924269
11-Feb-97 120.0787402 116.0186797 122.895298 114.5438898
12-Feb-97 120.4724409 117.7395679 124.9466918 116.0929432
13-Feb-97 120.4724409 118.0672131 126.355274 119.1049914
14-Feb-97 120.0787402 119.2221725 125.8354216 120.2237522
17-Feb-97 120.0787402 119.2221725 125.8354216 120.2237522
18-Feb-97 120.4724409 119.9080817 127.0510047 120.8261618
19-Feb-97 120.0787402 120.5691927 126.4595558 121.4285714
20-Feb-97 120.0787402 121.1062716 124.9513611 118.3304647
</TABLE>
<PAGE> 52
42
<TABLE>
<S> <C> <C> <C> <C>
21-Feb-97 120.4724409 120.8466584 124.7910473 118.4165232
24-Feb-97 120.4724409 120.7142657 126.1155816 120.0516351
25-Feb-97 120.4724409 121.5250686 126.3988545 119.1049914
26-Feb-97 120.8661417 123.4350374 125.3996171 119.2771084
27-Feb-97 120.4724409 122.423604 123.7482295 118.7607573
28-Feb-97 120.8661417 120.4327277 123.0867406 116.7814114
03-Mar-97 120.8661417 121.1928295 123.7855842 117.211704
04-Mar-97 121.2598425 121.139294 123.1069744 117.8141136
05-Mar-97 121.2598425 121.7203249 124.8252891 118.4165232
06-Mar-97 120.8661417 121.7671889 124.2914287 118.1583477
07-Mar-97 121.2598425 123.173713 125.2891096 118.7607573
10-Mar-97 121.6535433 124.0431076 126.6401033 119.6213425
11-Mar-97 120.8661417 123.9084756 126.2805647 119.9655766
12-Mar-97 120.4724409 124.3413793 125.178602 120.0516351
13-Mar-97 119.6850394 123.2471764 122.8906286 116.6953528
14-Mar-97 120.0787402 123.0617379 123.4525051 116.6953528
17-Mar-97 120.4724409 121.2659563 123.847842 117.4698795
18-Mar-97 119.2913386 121.7284515 122.9061931 117.0395869
19-Mar-97 118.8976378 122.2393325 122.3007362 116.0068847
20-Mar-97 119.6850394 121.5397031 121.8151255 114.8020654
21-Mar-97 119.6850394 120.8417302 122.04081 115.404475
24-Mar-97 119.6850394 120.1299559 123.0976358 114.8881239
25-Mar-97 120.0787402 120.1063694 122.8143629 114.9741824
26-Mar-97 120.0787402 119.8969314 123.0369344 113.6833046
27-Mar-97 120.4724409 119.3281328 120.4501237 110.8433735
28-Mar-97 120.4724409 119.3281328 120.4501237 110.8433735
31-Mar-97 120.8661417 117.8762627 117.8415228 108.777969
01-Apr-97 120.8661417 117.6526308 118.2337468 107.6592083
02-Apr-97 121.2598425 117.1704585 116.7504553 107.7452668
03-Apr-97 121.2598425 115.5624816 116.7831406 107.4010327
04-Apr-97 120.8661417 114.15198 117.9629255 106.0240964
07-Apr-97 121.2598425 114.9670054 118.6213015 107.7452668
08-Apr-97 121.6535433 114.7193757 119.2423228 110.0688468
09-Apr-97 121.6535433 114.3699301 118.3831655 109.2082616
10-Apr-97 121.6535433 114.4251726 118.031409 108.4337349
14-Apr-97 120.8661417 112.7542926 114.8111255 107.2289157
14-Apr-97 120.8661417 112.8168671 115.7574437 108.1755594
</TABLE>
Note: (1) The Broker-Reinsurer Composite consists of the following companies:
NAC Re, Everest Re (Prudential Re), Transatlantic Holdings, Chartwell
Re and Trenwick Group.
-11-
MORGAN STANLEY
<PAGE> 53
PROJECT JUICE
================================================================================
Juice Historical Price/Volume Analysis
<TABLE>
<CAPTION>
Blue Equals 100% of Total Shares Traded
Red Equals 75% of Total Shares Traded
Yellow Equals 50% of Total Shares Traded
1993 1994 1995 1996 1993-1997YTD
---- ---- ---- ---- ------------
<S> <C> <C> <C> <C> <C>
Blue $ 35.20 $ 28.90 $ 30.80 $ 35.80 $ 38.38
$ 26.00 $ 24.30 $ 27.00 $ 28.50 $ 24.30
Red $ 34.75 $ 27.35 $ 29.95 $ 31.70 $ 34.90
$ 30.25 $ 25.70 $ 28.60 $ 29.80 $ 27.40
Yellow $ 34.50 $ 27.20 $ 29.70 $ 31.30 $ 34.30
$ 31.40 $ 26.40 $ 28.70 $ 30.20 $ 29.30
Median $ 32.80 $ 26.80 $ 29.20 $ 30.80 $ 31.30
</TABLE>
<TABLE>
<CAPTION>
1993-1997
1993 1994 1995 1996 YTD (1)
<S> <C> <C> <C> <C> <C>
Total Shares Traded (000) 17,973 4,417 3,588 5,097 32,951
Average Daily Traded $(000) 3,628 468 417 618 1,121
% of Total Shares (2) 68.7% 16.9% 13.7% 19.5% 125.9%
% of Public Float (3) 200% 49.3% 40.0% 56.9% 367.8%
</TABLE>
Notes: (1) Through 4/14/97.
(2) Total shares outstanding of 26,176,000 as of 12/31/96.
(3) Total shares not owned by Zurich Insurance Group at 4/14/97:
8,958,300.
-12-
MORGAN STANLEY
<PAGE> 54
PROJECT JUICE
================================================================================
Summary of Analyst Estimates
Stock 1996E 1997E
Date Price(1) Firm EPS EPS Recommendation
---- ----- ---- --- --- --------------
3/20/97 $38.000 Oppenheimer $1.24 $1.70 Outperform
- --------------------------------------------------------------------------------
1/13/97 37.875 Morgan Stanley 1.19 1.60 Neutral
- --------------------------------------------------------------------------------
1/13/97 37.875 J.P. Morgan 1.17 1.50 Market Performer
- --------------------------------------------------------------------------------
1/13/97 37.875 CS First Boston 1.17 1.70 Hold
- --------------------------------------------------------------------------------
11/22/96 29.750 Morgan Stanley 1.19 1.64 Neutral
- --------------------------------------------------------------------------------
11/14/96 31.125 Oppenheimer 1.15 1.70 Outperform
- --------------------------------------------------------------------------------
11/8/96 31.500 J.P. Morgan 1.17 1.50 Market Performer
- --------------------------------------------------------------------------------
11/7/96 30.750 Oppenheimer 1.15 1.70 Outperform
- --------------------------------------------------------------------------------
10/9/96 30.375 Morgan Stanley N/A N/A Neutral
- --------------------------------------------------------------------------------
8/23/96 28.750 CS First Boston 1.10 1.70 Buy
- --------------------------------------------------------------------------------
8/19/96 29.313 Morgan Stanley 1.16 1.64 Outperform
- --------------------------------------------------------------------------------
8/2/96 29.750 Oppenheimer 1.15 1.70 Outperform
- --------------------------------------------------------------------------------
Mean: 1.17 1.64
Median: 1.17 1.70
- --------------------------------------------------------------------------------
Current (4/15/97) Mean: 1.60
First Call Median: 1.60
- --------------------------------------------------------------------------------
Note: (1) Represents the closing stock price at the indicated date.
-13-
MORGAN STANLEY
<PAGE> 55
PROJECT JUICE
================================================================================
Summary of Juice Analyst Commentary
Post-Bid Announcement
<TABLE>
<CAPTION>
Current Price/
Date Company Recommendation 1997E P/E Price Target Comments
---- ------- -------------- --------- ------------ --------
<S> <C> <C> <C> <C> <C>
3/20/97 Oppenheimer & Co., Outperform 22.4x $38.00/N.A. The analysts felt that the
Inc. timing was likely be
delayed, but that the price
would ultimately be raised
to above $40.00. They did
not expect the offer to be
withdrawn due to lack of
agreement over price.
1/13/97 Morgan Stanley & Neutral 23.9x $37.875/N.A. At $30.00 the analyst felt
Co., Incorporated the stock was fairly valued.
However, the analyst
predicts an increase in the
offer price to $40.00 per
share due to the substantial
premium levels seen in the
summer for other reinsurers.
It is interesting to note
that these levels, in the
analyst's opinion, are not a
good comparison to the
premium that should be paid
for Juice due to the
substantive differences both
in the performance and
strategic focus of these
reinsurers with respect to
Juice.
1/13/97 J.P. Morgan Market Performer 20.5x $37.875/N.A. This analyst expects a
Securities, Inc. transaction to be completed
in 2Q96 at about an 18%
premium to January l0th's
closing price of $30.75.
This analyst perceives the
outstanding bid to be fair
and doesn't predict a
substantial increases in the
existing offer price.
</TABLE>
-14-
MORGAN STANLEY
<PAGE> 56
PROJECT JUICE
================================================================================
Summary of Juice Analyst Commentary
Post-Bid Announcement
(continued)
<TABLE>
<CAPTION>
Current Price/
Date Company Recommendation 1997E P/E Price Target Comments
---- ------- -------------- --------- ------------ --------
<S> <C> <C> <C> <C> <C>
1/13/97 CS First Boston Hold 22.5x $37.875/N.A. As a result of the recent
stock price appreciation due
to Zurich's announcement to
buy the remaining shares of
Juice, this analyst has
reduced Juice's rating from
Buy to Hold.
</TABLE>
-15-
MORGAN STANLEY
<PAGE> 57
PROJECT JUICE
================================================================================
Summary Valuation
($ in Millions)
I. Public Market Trading Valuation
----------------------------------------------------------------------------
Analysis of Selected Publicly-Traded Property & Casualty Reinsurance
Companies
Market/Company Public
Data Market Multiple Range
---- ---------------------
1997E I/B/E/S Net Income(2) $ 40.6 9.1 - 13.3
1998E I/B/E/S Net Income(2) 47.4 8.4 - 11.9
12/31/96 Book Value 711.9 1.08 - 1.96
MS Research Econ. Book Value(4) 835.1 0.89 - 1.48
<TABLE>
<CAPTION>
Relevant Multiple Range Implied Value Range Implied Share Value(1)
----------------------- ------------------- ----------------------
<S> <C> <C> <C> <C> <C> <C>
1997E I/B/E/S Net Income(2) 10.5 - 11.5 426 - 467 15.97 - 17.49
1998E I/B/E/S Net Income(2) 9.5 - 10.5 450 - 497 16.87 - 18.65
12/31/96 Book Value 1.15 - 1.35 819 - 961 30.69 - 36.02
MS Research Econ. Book Value(4) 0.90 - 1.00 752 - 835 28.17 - 31.30
----------------------------------------------------- ------------------
Public Market Value Reference Range $747 - $827 $28.00 - $31.00
===================================================== ==================
</TABLE>
II. Merger & Acquisition Market Valuation
---------------------------------------------------------------------------
Premiums over Publicly-Traded Companies
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C> <C>
Assumed Public Market Range: $ 747 - $ 827 Implied Share Value(1)
------ ------ ----------------------
20% $ 896 - $ 992 $34.24 - $37.91
25% 934 - 1,034 35.67 - 39.49
30% 971 - 1,075 37.10 - 41.07
35% 1,008 - 1,116 38.52 - 42.65
------------------------------------------- --------------------
M&A Market Reference Range $916 - $1,047 $35.00 - $40.00
=========================================== ====================
------------------------------------------- --------------------
Adj. M&A Market Reference
Range(3) $951 - $1,082 $35.67 - $40.57
=========================================== ====================
</TABLE>
III. Precedent M&A Transaction Valuation
--------------------------------------------------------------------------
Analysis of Selected M&A Transactions in the Reinsurance Industry
Market/Company
Data Acquisition Multiple Range
---- --------------------------
1996A Net Income $ 32.6 6.4 x - 22.2
1997E JUICE Net Income 44.4 12.4 x - 16.4
1997 JUICE Economic Net Income(3) 62.7 12.4 x - 16.4
1998 JUICE Economic Net Income(3) 76.8 12.4 x - 16.4
6/30/97E Book Value 712.0 1.62 x - 3.89
6/30/97E JUICE Economic Book Value 953.3 0.52 x - 2.60
<TABLE>
<CAPTION>
Relevant Multiple Range Implied Value Range Per Share(1)
----------------------- ------------------- ------------------
<S> <C> <C> <C> <C> <C> <C>
1996A Net Income 14.0 x - 16.0 $ 456 - $ 521 $17.41 - $19.90
1997E JUICE Net Income 13.0 x - 15.0 577 - 666 22.05 - 25.44
1997 JUICE Economic Net Income(3) 13.0 x - 15.0 815 - 941 31.14 - 35.93
1998 JUICE Economic Net Income(3) 12.0 x - 13.0 922 - 998 35.21 - 38.14
6/30/97E Book Value 1.30 x - 1.60 926 - 1,139 35.36 - 43.52
6/30/97E JUICE Economic Book Value 1.05 x - 1.15 1,001 - 1,096 38.24 - 41.88
-------------------------------------------------------- ------------------
Acquisition Reference Range $969 - $1,073 $37.00 - $41.00
======================================================== ==================
-------------------------------------------------------- ------------------
Adj. Acquisition Reference Range(5) $1,004 - $1,109 $37.63 - $41.55
======================================================== ==================
</TABLE>
-16- MORGAN STANLEY
<PAGE> 58
PROJECT JUICE
================================================================================
Summary Valuation
($ in Millions)
IV. Discounted Cash Flow Valuation (DCF) - Base Case Using Juice Assumptions
---------------------------------------------------------------------------
(Includes Option Proceeds)
Per Share
------------------------
Discount Rate
------------------------
10.0% 11.0% 12.0%
----- ----- -----
Terminal P/E 10.0 $34.67 $31.80 $29.18
------------------------
Multiple in 11.0 $37.64 $34.52 $31.68
------------------------
Year 10 (x) 12.0 $40.61 $37.25 $34.18
------------------------
$33.00 - $37.00
========================
V. Liquidation or Runoff Valuation
-------------------------------
(Includes Option Proceeds)
Per Share
------------------------
Discount Rate
------------------------
6.0% 8.0% 10.0%
---- ---- -----
------------------------
$30.74 $28.80 $27.09
------------------------
VI. Summary Reference Range
----------------------- ----------------------- ------------------------
Summary Reference Range $35.00 - $40.00
======================= ========================
Notes:
- ------
(1) Assumes Primary Shares outstanding of 26.2MM.
(2) Excludes realized gains/(losses).
(3) Earnings adjusted to reflect optimized investment portfolio as estimated by
Morgan Stanley, earnings depression associated with exceptional Juice
premium growth, and "immature" reserves to surplus ratio.
(4) Based on midpoint of Morgan Stanley research economic book value range at
12/31/96.
(5) Net adjustment includes net effect of 0.4358 options exercisable at $29.88
and 0.065 options exercisable at $30.36 and addition to value of first two
quarters of 1997 I/B/E/S projected retained earnings.
-17- MORGAN STANLEY
<PAGE> 59
PROJECT JUICE
- --------------------------------------------------------------------------------
Multiple Matrix
(U.S. $ in Millions, except per share data)
<TABLE>
<CAPTION>
Equity Value as a Multiple of GAAP
----------------------------------------------------
Net Operating Earnings
% Premium to ----------------------------------------------------
Unaffected Fully Adjusted I/B/E/S JUICE Economic(5)
Market Share Market Diluted Option Equity ------------------- ----------------------------
Price Price(1) Shares(MM)(2) Proceeds(3) Value(4) 1996A 1997E 1998E 1996E 1997E 1998E
----- -------- ------------ ----------- -------- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
----------------------------------------------------------------
$32.6 $41.4 $48.3 $53.6 $62.7 $76.8
----------------------------------------------------------------
$30.00 -2.4% 26.69 ($15.0) $785.8 24.1 x 19.0 x 16.3 x 14.7 x 12.5 x 10.2 x
$31.00 0.8% 26.69 (15.0) 812.5 24.9 19.6 16.8 15.2 13.0 10.6
$32.00 4.1% 26.69 (15.0) 839.2 25.7 20.3 17.4 15.7 13.4 10.9
$33.00 7.3% 26.69 (15.0) 865.9 26.6 20.9 17.9 16.2 13.8 11.3
$34.00 10.6% 26.69 (15.0) 892.5 27.4 21.6 18.5 16.6 14.2 11.6
$35.00 13.8% 26.69 (15.0) 919.2 28.2 22.2 19.0 17.1 14.7 12.0
- ------------------------------------------------------------------------------------------------------------------------------------
$36.00 17.1% 26.69 (15.0) 945.9 29.0 22.9 19.6 17.6 15.1 12.3
- ------------------------------------------------------------------------------------------------------------------------------------
$37.00 20.3% 26.69 (15.0) 972.6 29.8 23.5 20.1 18.1 15.5 12.7
$38.00 23.6% 26.69 (15.0) 999.3 30.7 24.2 20.7 18.6 15.9 13.0
$39.00 26.8% 26.69 (15.0) 1,026.0 31.5 24.8 21.2 19.1 16.4 13.4
- ------------------------------------------------------------------------------------------------------------------------------------
$39.50 28.5% 26.69 (15.0) 1,039.4 31.9 25.1 21.5 19.4 16.6 13.5
- ------------------------------------------------------------------------------------------------------------------------------------
$40.00 30.1% 26.69 (15.0) 1,052.7 32.3 25.4 21.8 19.6 16.8 13.7
$41.00 33.3% 26.69 (15.0) 1,079.4 33.1 26.1 22.3 20.1 17.2 14.1
$42.00 36.6% 26.69 (15.0) 1,106.1 33.9 26.7 22.9 20.6 17.6 14.4
$43.00 39.8% 26.69 (15.0) 1,132.8 34.7 27.4 23.4 21.1 18.1 14.7
$44.00 43.1% 26.69 (15.0) 1,159.5 35.6 28.0 24.0 21.6 18.5 15.1
Equity Value as a Multiple of GAAP
--------------------------------------------------
Est. 6/30/97E
Adj. Econ. Bk. Value(8)
12/31/96 12/31/96 ------------------------
Market Share Book Book MS
Price Value(8) Value(6) Research(7) JUICE
----- -------- -------- ----------- -----
<S> <C> <C> <C> <C>
--------------------------------------------------
$726.9 $694.3 $869.5 $953.3
--------------------------------------------------
$30.00 1.08 x 1.13 x 0.90 x 0.82 x
$31.00 1.12 1.17 0.93 0.85
$32.00 1.15 1.21 0.97 0.88
$33.00 1.19 1.25 1.00 0.91
$34.00 1.23 1.29 1.03 0.94
$35.00 1.26 1.32 1.06 0.96
- ----------------------------------------------------------------
$36.00 1.30 1.36 1.09 0.99
- ----------------------------------------------------------------
$37.00 1.34 1.40 1.12 1.02
$38.00 1.37 1.44 1.15 1.05
$39.00 1.41 1.48 1.18 1.08
- ----------------------------------------------------------------
$39.50 1.43 1.50 1.20 1.09
- ----------------------------------------------------------------
$40.00 1.45 1.52 1.21 1.10
$41.00 1.48 1.55 1.24 1.13
$42.00 1.52 1.59 1.27 1.16
$43.00 1.56 1.63 1.30 1.19
$44.00 1.60 1.67 1.33 1.22
</TABLE>
- ----------
Notes:
(1) Based on the market closing price of $30.75 as of January 10, 1997 (day
prior to announcement).
(2) Based on total shares outstanding of 26.2MM and .5MM shares of options.
(3) Based on 0.4358MM options outstanding at an exercise price of $29.88 and
0.065MM options at an exercise price of $30.356.
(4) Equity value after the deduction of option proceeds.
(5) Earnings adjusted to reflect optimized investment portfolio and earnings
depression associated with Juice premium growth in excess of industry
growth rate.
(6) Excludes unrealized gains/(losses).
(7) Based on midpoint of Morgan Stanley range of estimate of Juice economic
book value.
(8) Includes incremental value from projected 1997 I/B/E/S earnings less common
dividends for the first half of 1997. Pro forma for $15.0MM of option
proceeds.
-18-
MORGAN STANLEY
<PAGE> 60
PROJECT JUICE
================================================================================
Trading Comparison of Selected Reinsurance Companies (1)
$MM, except per share data
<TABLE>
<CAPTION>
Current Price
as % of 52-Week
MS Market Current --------------- Div.
Recommendation(2) Value Price High Low Yield
----------------- ----- ----- ---- --- -----
<S> <C> <C> <C> <C> <C> <C>
Broker Reinsurers:
- ---------------------------------------------------------------------------------------------------
JUICE Neutral $1,004.5 $38.38 99.0% 135.2% 0.3%
JUICE@1/10/97 Neutral $804.9 $30.75 79.4 108.4 0.3
- ---------------------------------------------------------------------------------------------------
Chartwell Re Not Rated $243.5 $25.38 89.0% 127.7% 0.6%
NAC Re Neutral 673.9 36.50 89.8 128.1 0.7
Everest Re (Prudential Re) Strong Buy 1,363.2 27.00 82.4 120.0 0.6
Transatlantic Holdings Outperform 1,850.5 80.38 91.1 128.9 0.7
Trenwick Group Neutral 379.8 47.75 88.0 103.8 3.0
-------------------------------------
Mean 88.1% 121.7% 1.1%
Median 89.0% 127.7% 0.7%
-------------------------------------
Direct Reinsurers:
General Re Neutral $12,722.7 $157.13 88.4% 113.2% 1.4%
Price as a Multiple of (3)
---------------------------------------------------
@ 12/31/96 11/20/96
I/B/E/S Estimates ---------------- ----------- 5-Year
MS ------------------ Adjusted Econ. 1997E Debt/ Proj.
Recommendation(2) 1997E 1998E Book Book(4) Bk. Value(5) ROAE(6) Bk. Cap.(7) Growth(3)
----------------- ----- ----- ---- ------- ----------- ------- ---------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Broker Reinsurers:
- ------------------------------------------------------------------------------------------------------------------------------------
JUICE Neutral 24.8 x 21.2 1.41 x 1.48 x 1.18 x 5.9% 22.6% 25.0%
JUICE@1/10/97 Neutral 19.8 17.0 1.13 1.18 0.94 5.9 22.6 25.0
- ------------------------------------------------------------------------------------------------------------------------------------
Chartwell Re Not Rated 9.1 x 8.4 x 1.08 x 1.07 x 0.89 x 10.8% 32.0% 13.5%
NAC Re Neutral 10.8 9.6 1.22 1.29 0.87 11.4 36.5 12.0
Everest Re (Prudential Re) Strong Buy 10.4 9.2 1.26 1.35 0.89 12.0 0.0 15.0
Transatlantic Holdings Outperform 11.6 10.4 1.63 1.78 1.13 14.8 0.0 13.0
Trenwick Group Neutral 10.2 9.3 1.43 1.50 0.98 13.3 29.0 11.0
- ------------------------------------------------------------------------------------------------------------------------------------
10.4 x 9.4 x 1.32 x 1.40 x 0.95 x 12.4% 19.5% 12.9%
10.4 x 9.3 x 1.26 x 1.35 x 0.89 12.0 29.0% 13.0%
- ------------------------------------------------------------------------------------------------------------------------------------
Direct Reinsurers:
General Re Neutral 13.3 x 11.9 x 1.96 x 2.53 x 1.34 x 13.0% 7.9% 12.0%
</TABLE>
Notes:
(1) Financial data as of 12/31/96. Company figures adjusted to exclude realized
gains, restructuring charges, and other extraordinary or unusual items.
Based on closing share prices as of 4/14/97.
(2) MS Recommendations as of 1/23/96.
(3) Earnings calculated using fully diluted shares. Based on IBES estimates as
of 4/12/97.
(4) Adjusted to exclude unrealized investment gains.
(5) Refer to Morgan Stanley analyst Ken Posner's research for a full
explanation of economic book value multiples. Economic book value estimates
from 11/20/96 Posner research.
(6) Average of analyst estimates.
(7) The sum of short-term debt and long-term debt divided by the sum of short-
term and long-term debt, non-convertible preferred stock and common equity
excluding unrealized investment gains/losses.
-19-
MORGAN STANLEY
<PAGE> 61
PROJECT JUICE
================================================================================
Economic Book Value Methodology
Juice MS Research
----- -----------
o Start with tangible book value o Start with tangible book value
(excluding goodwill asset) (excluding goodwill asset)
o Mark investments and borrowings o Mark investments and borrowings
to market to market
o Discount reserves to present o Discount reserves to present
value dollars value dollars
o Estimate "equity" in unearned premium o Estimate "equity" in unearned
reserve premium reserve
o Value of tax assets and liabilities
o Inforce bound but not written premiums
o Premiums receivable
o Bound but not inforce premiums
-20-
MORGAN STANLEY
<PAGE> 62
PROJECT JUICE
================================================================================
Economic Book Value Components
<TABLE>
<CAPTION>
Per Share Value (1)
---------------------------
Morgan Stanley
Major Components Juice Research Assumptions/Comments
---------------- ----- -------- --------------------
<S> <C> <C> <C>
I. Tangible Book Value $25.78 $25.78 o Excludes goodwill asset
II. Investments Marked-to-Market $0.63 $0.63 o Juice company estimate of
market value of certain
investments held at cost
III. Debt at Market Value $0.22 $0.22 o Same assumption
IV. Discounting of Net Reserves $5.10 $3.66 - $4.21 o MS Research case assumes
aggregate reserves are
discounted at 7-Year
Government Yield (+ or -
50 bp); 80.7% - 83.2%
discount factor
o Juice discounts reserves
by line of business,
applying appropriate spot
rates along Treasury
Yield Curve + 50 bp;
77.6% discount factor
V. Equity in UPR $1.24 $0.67 - $0.77 o MS case assumes discount
factor of 80.7% - 83.2%
o Juice assumes discount
factor of 77.6%
VI. Other $2.02 --
- ----------------------------------------------------------------------
Economic Book Value @ 1/1/97 $32.97 $30.96 - $31.61
- ----------------------------------------------------------------------
Economic Book Value @ 6/30/97(2) $35.71 $31.69 - $32.34
- ----------------------------------------------------------------------
</TABLE>
Notes:
(1) Based on fully diluted shares of approximately 26.7MM (including 0.5MM of
exercisable options).
(2) Includes incremental value of 1997 I/B/E/S projected earnings less common
dividends for the first two quarters.
-21-
MORGAN STANLEY
<PAGE> 63
PROJECT JUICE
================================================================================
Economic Earnings Analysis
($MM, except per share data)
<TABLE>
<CAPTION>
1996 1997 1998
----------------------- ----------------------- -----------------------
Amount Per Share(1) Amount Per Share(1) Amount Per Share(1)
------ ------------ ------ ------------ ------ ------------
<S> <C> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------------------------
I/B/E/S Projected Earnings $ 32.6 $ 1.22 $ 41.4 $ 1.55 NA NA
- -------------------------------------------------------------------------------------------------------------------------------
Adjustments:
- -------------------------------------------------------------------------------------------------------------------------------
Optimal Investment Portfolio (+67 bp) (2) $ 6.2 $ 0.23 $ 7.9 $ 0.30 $ 8.6 $ 0.32
- -------------------------------------------------------------------------------------------------------------------------------
Growth Adjustments:
NPE Juice Growth Rate In Excess
of Industry Growth Rate (3) 34.0% 4.0% 6.8%
Juice Combined Ratio 105.0% 105.0% 105.0%
Net Premiums Earned $ 692.3 $ 754.5 $ 843.8
- -------------------------------------------------------------------------------------------------------------------------------
A/T Add back from "Extraordinary Growth" $ 7.7 $ 0.29 $ 1.0 $ 0.04 $ 1.9 $ 0.07
- -------------------------------------------------------------------------------------------------------------------------------
Loss Reserves and UPR Deficiency
Relative to Industry Average (4) $ 186.1 $ 186.1 $ 186.1
- -------------------------------------------------------------------------------------------------------------------------------
A/T Incremental Investment Income on
"Deficient" Reserves (4) $ 8.2 $ 0.31 $ 8.5 $ 0.32 $ 8.9 $ 0.33
- -------------------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------------------
Imputed Earnings on $15.0MM of Option
Proceeds (1) $ 0.9 $ 0.03 $ 0.9 $ 0.03 $ 0.9 $ 0.03
- -------------------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------------------
Total Economic Earnings $ 55.5 $ 2.08 $ 59.7 $ 2.24 NA NA
- -------------------------------------------------------------------------------------------------------------------------------
</TABLE>
Notes:
(1) Based on fully-diluted shares outstanding of 26.692MM (includes 0.4358MM
options exercisable at $29.875 and 0.065MM options exercisable at $30.356.
Earnings on option proceeds based on average of analyst estimates of 1997E
Juice ROAE.
(2) As estimated by Morgan Stanley.
(3) Industry growth rate estimate of 5%.
(4) Based on additional investment income on incremental reserves of $186.1MM
assuming ZRCH operates at the industry Losses & LAE + UPR/Surplus ratio of
2.10x. Applies optimized pre-tax investment yield of 6.76%.
-22-
MORGAN STANLEY
<PAGE> 64
PROJECT JUICE
================================================================================
Discounted Cash Flow Valuation Summary (1)
($MM)
<TABLE>
<CAPTION>
VALUATION MATRIX NPW/SURPLUS 1.50x
====================================================================================================================================
<S> <C> <C> <C> <C> <C> <C>
Terminal Forward GAAP P/E Multiple: 10.0 x 11.0 x
------------------------------------- -------------------------------------
Discount Rate: 10.0% 11.0% 12.0% 10.0% 11.0% 12.0%
---- ---- ---- ---- ---- ----
Value of Extraordinary Dividend (2) $ 0.0 $ 0.0 $ 0.0 $ 0.0 $ 0.0 $ 0.0
Present Value of Year 1 Dividend Paid 32.9 32.8 32.8 32.9 32.8 32.8
Present Value of Year 2-10 Dividends 232.8 221.5 211.0 232.8 221.5 211.0
Paid ----- ----- ----- ----- ----- -----
Present Value Dividends Paid 265.7 254.4 243.8 265.7 254.4 243.8
PV of Terminal Value in Year 10 792.4 727.2 667.8 871.7 799.9 734.5
----- ----- ----- ----- ----- -----
Total Aggregate Value $1,058.2 $ 981.5 $ 911.6 $1,137.4 $1,054.2 $ 978.3
Less: Long Term Debt and Preferred Equity (198.4) (198.4) (198.4) (198.4) (198.4) (198.4)
Plus: Excess Cash 94.6 94.6 94.6 94.6 94.6 94.6
Plus/(Less): Other Holding Company Items (3) (43.9) (43.9) (43.9) (43.9) (43.9) (43.9)
----- ----- ----- ----- ----- -----
Total Equity Value (incl. extraord. dividend) $ 910.5 $ 833.8 $ 763.9 $ 989.7 $ 906.5 $ 830.6
Total Equity Value (excl. extraord. dividend) 910.5 833.8 763.9 989.7 906.5 830.6
Plus: Options Proceeds 15.0 15.0 15.0 15.0 15.0 15.0
- ------------------------------------------------------------------------------------------------------------------------------------
FD Value Per Share (in MM): 26.692) $ 34.67 $ 31.80 $ 29.18 $ 37.64 $ 34.52 $ 31.68
- ------------------------------------------------------------------------------------------------------------------------------------
Total Equity Value as a Multiple of
Est. 6/30/97 Juice Econ. Book Value $ 953.3 0.97 0.89 0.82 1.05 0.97 0.89
12/31/96 GAAP Book Value $ 726.9 1.27 1.17 1.07 1.38 1.27 1.16
1996A GAAP Net Operating Income $ 32.6 28.4 26.1 23.9 30.9 28.3 26.0
1997E I/B/E/S GAAP Net Operating
Income $ 41.4 22.4 20.5 18.8 24.3 22.3 20.4
Terminal Value in Year 10 $1,959.7 $1,959.7 $1,959.7 $2,155.7 $2,155.7 $2,155.7
Implied Perpetual Growth Rate 4.7% 5.6% 6.5% 5.1% 6.1% 7.0%
Percent of Value from Extraordinary
Dividend 0.0% 0.0% 0.0% 0.0% 0.0% 0.0%
Percent of Value from Dividends 25.1% 25.9% 26.7% 23.4% 24.1% 24.9%
Percent of Value from Terminal Value 74.9% 74.1% 73.3% 76.6% 75.9% 75.1%
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
===========================================================================================
Terminal Forward GAAP P/E Multiple: 12.0 x
-------------------------------------
<S> <C> <C> <C>
Discount Rate: 10.0% 11.0% 12.0%
---- ---- ----
Value of Extraordinary Dividend (2) $ 0.0 $ 0.0 $ 0.0
Present Value of Year 1 Dividend Paid 32.9 32.8 32.8
Present Value of Year 2-10 Dividends Paid 232.8 221.5 211.0
----- ----- -----
Present Value Dividends Paid 265.7 254.4 243.8
PV of Terminal Value in Year 10 950.9 872.6 801.3
----- ----- -----
Total Aggregate Value $1,216.7 $1,127.0 $1,045.1
Less: Long Term Debt and Preferred Equity (198.4) (198.4) (198.4)
Plus: Excess Cash 94.6 94.6 94.6
Plus/(Less): Other Holding Company Items (3) (43.9) (43.9) (43.9)
----- ----- -----
Total Equity Value (incl. extraord. dividend) $1,069.0 $ 979.3 $ 897.4
Total Equity Value (excl. extraord. dividend) 1,069.0 979.3 897.4
Plus: Options Proceeds 15.0 15.0 15.0
- -------------------------------------------------------------------------------------------
FD Value Per Share (in MM): 26.692) $ 40.61 $ 37.25 $ 34.18
- -------------------------------------------------------------------------------------------
Total Equity Value as a Multiple of
Est. 6/30/97 Juice Econ. Book Value 1.14 1.04 0.96
12/31/96 GAAP Book Value 1.49 1.37 1.26
1996A GAAP Net Operating Income 33.3 30.5 28.0
1997E I/B/E/S GAAP Net Operating
Income 26.2 24.0 22.1
Terminal Value in Year 10 $2,351.7 $2,351.7 $2,351.7
Implied Perpetual Growth Rate 5.5% 6.5% 7.4%
Percent of Value from Extraordinary
Dividend 0.0% 0.0% 0.0%
Percent of Value from Dividends 21.8% 22.6% 23.3%
Percent of Value from Terminal Value 78.2% 77.4% 76.7%
- -------------------------------------------------------------------------------------------
</TABLE>
NOTES:
(1) Valuation as of 6/97.
(2) Assumes $0.0 MM of reserve redundancies are removed before closing.
(3) Includes cost of recurring unallocated corporate overhead capitalized at
10x multiple and mark up to market value of certain investments held at
cost.
-23-
MORGAN STANLEY
<PAGE> 65
PROJECT JUICE
================================================================================
Premiums Paid in Precedent Minority Squeeze-Out Transactions for all
Industries(1)
Year vs. Premium*
1987 to Present
<TABLE>
<CAPTION>
PREMIUMS PAID OVER
-----------------------------------------------------
UNAFFECTED SHARE PRICE
SHARE PRICE DAY BEFORE
-----------------------------------------------------
YEAR HIGH LOW HIGH LOW
---- ----- ---- ---- -----
<S> <C> <C> <C> <C>
1987 138.6 (12.0) 125.0 13.3
1988 87.2 3.3 77.8 3.3
1989 217.2 (66.6) 227.2 (67.0)
1990 85.4 (44.1) 47.8 (35.4)
1991 212.4 (8.0) 212.4 (0.3)
1992 143.1 (17.4) 192.6 (19.4)
1993 37.3 (60.4) 53.8 (60.4)
1994 387.2 (5.7) 411.8 (7.4)
1995 303.1 (0.6) 334.6 (6.1)
1996 104.2 (9.8) 82.8 (99.0)
MEAN - PREMIUM OVER UNAFFECTED SHARE PRICE: 30.6%
MEDIAN - PREMIUM OVER SHARE PRICE DAY BEFORE: 25.9%
</TABLE>
Notes:
(1) Based on 255 completed transactions.
(2) Premium paid over unaffected market price (4 weeks prior to announcement).
(3) Premium paid over market price day prior to announcement.
-24-
MORGAN STANLEY
<PAGE> 66
PROJECT JUICE
================================================================================
Premiums Paid in Selected U.S. Reinsurance Transactions (1)
Price to Earnings(x)
<TABLE>
<CAPTION>
<S> <C>
Re Capital Re Corp./ZRCH 22.2x
Discover Re/USF&G Corp. 21.1
National Re/General Re 19.3
American Re/Munich Re 18.6
Belvedere Corp./Christina General Insurance 18.1
Prudential Re/"Public Market" 13.6
Constitution Re/Exor America Inc. 10.5
National Reinsurance Corp./Robert M. Bass & Acadia 10.4
American Re-Insurance Corp./American Re Corp. (KKR) 9.6
Chartwell Re Corp./Wand Partners/Michigan Mutual 8.9
Underwriters Reinsurance Co./Alleghany Corp. 6.4
Kemper Re/Lumbermens Mutual N.A
Mean: 14.4
Median: 12.1
</TABLE>
Price to Book Value(x)
<TABLE>
<CAPTION>
<S> <C>
American Re/Munich Re 3.89x
National Re/General Re 2.52
Kemper Re/Lumbermens Mutual 1.8
Discover Re/USF&G Corp. 1.69
Re Capital Re Corp./ZRCH 1.63
Underwriters Reinsurance Co./Alleghany Corp. 1.48
National Reinsurance Corp./Robert M. Bass & Acadia 1.41
American Re-Insurance Corp./American Re Corp. (KKR) 1.2
Chartwell Re Corp./Wand Partners/Michigan Mutual 1.08
Constitution Re/Exor America Inc. 1.02
Prudential Re/"Public Market" 0.95
Belvedere Corp./Christina General Insurance 0.79
Mean: 1.62
Median: 1.45
</TABLE>
Note: (1) Based on GAAP financial data.
-25-
MORGAN STANLEY
<PAGE> 67
PROJECT JUICE
================================================================================
Multiples Paid of Economic Book Value
<TABLE>
<CAPTION>
--------------------------------------------------------------
Company Economic Book Values Prior To Acquisition
--------------------------------------------------------------
Re Capital
American Re National Re Prudential Re Corp (1)
---------- ---------- ---------- ----------
06/30/96 06/30/96 12/31/95 04/01/95
---------- ---------- ---------- ----------
<S> <C> <C> <C> <C>
GAAP Book Value $ 855.9 $ 374.8 $ 983.6 $ 182.9
Less Goodwill 86.9 35.7 0.0 0.0
---- ---- --- ---
- -----------------------------------------------------------------------------------------------------------
Tangible Book Value 769.0 339.2 983.6 182.9
- -----------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------
Investments Marked to Market (0.2) 0.0 12.1 0.0
- -----------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------
Mark Borrowings to Market 0.0 0.0 0.0 0.0
- -----------------------------------------------------------------------------------------------------------
Discount Reserves:
Gross Reserves 4,884.7 1,042.5 2,969.3 210.4
Less Reinsurance Recoverables 2,075.5 83.9 712.0 14.8
Plus Existing Discounted Reserves
(i.e. workers comp) 508.8 0 0 0
------- ------- ------- ------
Net Reserves 3,318.0 958.6 2,257.3 195.6
Yield on 7 - Year Bond 6.592% 6.592% 5.504% 7.038%
Assumed Duration of Liabilities 4.7 4.7 5.0 2.3
Discount Factor 25.9% 25.9% 23.5% 14.5%
Assumed Tax Rate 35.0% 35.0% 35.0% 35.0%
- -----------------------------------------------------------------------------------------------------------
A/T Reserve Discount 559.0 161.5 344.8 18.4
- -----------------------------------------------------------------------------------------------------------
Estimate "Equity" in UPR:
UPR 989.2 108.6 294.3 52.2
DAC 268.3 31.9 80.0 13.4
Assumed Loss Ratio (Historical Average) 104.1% 67.9% 90.0% 70.0%
Discount Factor 25.9% 25.9% 23.5% 14.5%
Tax Rate 35.0% 35.0% 35.0% 35.0%
- -----------------------------------------------------------------------------------------------------------
A/T "Equity" in UPR 224.9 41.2 82.6 18.5
- -----------------------------------------------------------------------------------------------------------
<CAPTION>
--------------------------------------------------------------
Company Economic Book Values Prior To Acquisition
--------------------------------------------------------------
Re Capital
American Re National Re Prudential Re Corp
---------- ---------- ---------- ----------
<S> <C> <C> <C> <C>
Economic Book Value $ 1,552.7 $ 541.8 $ 1,423.2 $ 219.8
Aggregate Value of Transaction $ 4,040.8 $ 1,150.5 $ 737.0 $ 205.7
-----------------------------------------------------------------------------------------------------
Aggregate Value/Econ. Book Value 2.60 x 2.12 x 0.52 x 0.94 x
-----------------------------------------------------------------------------------------------------
</TABLE>
Note:
(1) Book value information from ZRCH 1995 10-K filing.
-26-
MORGAN STANLEY
<PAGE> 68
PROJECT JUICE
================================================================================
Juice Reserve Run-off Valuation
- --------------------------------------------------------------------------------
Discount Rate
----------------------------
6.0% 8.0% 10.0%
------ ------ ------
NPV of Net After Tax Cashflow (1) $764.6 $722.9 $685.5
After-tax Released Gain/(Loss) on
Investment Portfolio 17.5 17.5 17.5
Initial Surplus Release 68.2 68.2 68.2
Retained Earnings to 12/31/96 0.0 0.0 0.0
NPV Released Surplus in 2006 51.3 42.6 35.5
NPV Cost of Commutation in 2006 (2) 7.8 6.4 5.4
------ ------ ------
Total Reserve Run-off Value $909.3 $857.5 $811.9
====== ====== ======
Less Debt 198.4 198.4 198.4
Plus Holding Company Cash and Invested Assets 94.6 94.6 94.6
Plus Option Proceeds (3) 15.0 15.0 15.0
Per Share Value (26.7 MM Fully Diluted shares) $30.74 sh $28.80 sh $27.09 sh
- --------------------------------------------------------------------------------
Notes:
(1) Assumes cashflows received midyear.
(2) Assumes value in reserves in 2005 of $14MM.
(3) Assumes .4358MM options with a strike price of $29.88 and .065MM at $30.356
MORGAN STANLEY
<PAGE> 69
PROJECT JUICE
================================================================================
Juice Assumptions
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------
1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 Remaining
---- ---- ---- ---- ---- ---- ---- ---- ---- ---- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Loss & LAE Reserve Runoff Patterns:
- -----------------------------------
Old
24.7% 15.7% 12.6% 9.2% 7.1% 5.5% 4.4% 3.0% 2.4% 3.4% 12.0%
New
15.6% 22.5% 13.1% 11.1% 7.6% 6.0% 4.6% 3.9% 2.3% 1.9% 11.5%
Administrative/Operating Expenses:
- ----------------------------------
$7.8 $3.9 $1.6 $0.5 $0.1 0.01 $0.001 $0.001 $0.001 $0.001 $0.001
Assumed A1 Financial Company Yield Curve (1/23/97):
- --------------------------------------------------
6.21% 6.53% 6.60% 6.66% 6.81% 6.92% 7.03% 7.14% 7.15% 7.16% 7.35%
Yield on Investment Income of Policyholder's Surplus
(5 Year Treasury) 6.36%
- ---------------------------------------------------------------------------------------------------------------
</TABLE>
- ---------------------------------------------
1996
----
Policyholder's Surplus $674.2
Net Reserves $915.1
- ---------------------------------------------
- ---------------------------------------------
Reserves to Surplus Ratio 1.5 x
- ---------------------------------------------
- ----------------------------------------------------------------------
1996E Life (yrs)
----- ----------
UPR 316.5 2
(Assumed Loss Ratio) 71.7%
After-tax Unrealized Gain/(Loss) 17.5
Deferred Taxes (As of 12/31/95)
UPR 18.6
Reserves 43.8
DPAC 25.4
Other (99.2)
-----
Total (11.4)
- ----------------------------------------------------------------------
MORGAN STANLEY
<PAGE> 70
PROJECT JUICE
================================================================================
Juice Balance Sheet
<TABLE>
<CAPTION>
01/01/97 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006
-------- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Net Reserves
Existing: --------
Reserve Balance $915.1 $689.6 $546.1 $431.0 $346.5 $281.1 $231.0 $191.2 $163.5 $141.8 $110.2
--------
Annual Reserve Runoff 225.6 143.5 115.0 84.6 65.3 50.1 39.8 27.6 21.8 31.6
Runoff Rate 24.7% 15.7% 12.6% 9.2% 7.1% 5.5% 4.4% 3.0% 2.4% 3.4%
New Business:
Incremental Reserves
from UPR $113.5 $113.5 $0.0 $0.0 $0.0 $0.0 $0.0 $0.0 $0.0 $0.0
Runoff Triangle 17.7 25.5 14.9 12.6 8.6 6.8 5.2 4.5 2.6 2.1
----
17.7 25.5 14.9 12.6 8.6 6.8 5.2 4.5 2.1
----
0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
---
0.0 0.0 0.0 0.0 0.0 0.0 0.0
--- --- --- --- --- --- ---
Annual Reserve Runoff 17.7 43.2 40.4 27.5 21.2 15.4 12.0 9.7 7.0 4.2
==== ==== ==== ==== ==== ==== ==== === === ===
Incremental Reserves Balances 95.7 166.0 125.5 98.0 76.8 61.5 49.5 39.9 32.8 28.6
Total Reserve Balance $785.3 $712.0 $556.6 $444.5 $358.0 $292.5 $240.7 $203.4 $174.6 $138.8
Policyholders' Surplus
--------
Initial Surplus $674.2
--------
After Initial Release 606.1
Year End Surplus $520.1 $471.5 $368.6 $294.4 $237.1 $193.7 $159.4 $134.7 $115.6 $91.9
</TABLE>
MORGAN STANLEY
<PAGE> 71
PROJECT JUICE
================================================================================
Juice Statutory Income Statement
<TABLE>
<CAPTION>
01/01/97 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006
-------- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Income Statement
Earned Premiums $158.2 $158.2 $0.0 $0.0 $0.0 $0.0 $0.0 $0.0 $0.0 $0.0
Incurred Losses & LAE 113.5 113.5 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Net Investment Income
On Existing Reserves $54.2 $42.5 $34.0 $27.4 $22.4 $18.4 $15.3 $12.9 $11.1 $9.2
On Incremental Reserves from UPR 17.5 22.2 8.1 5.9 4.3 3.0 2.1 1.3 0.7 0.3
On Policyholders' Surplus 35.8 31.5 26.7 21.1 16.9 13.7 11.2 9.4 8.0 6.6
-------------------------------------------------------------------------------------
Total 107.5 96.3 68.9 54.4 43.5 35.1 28.6 23.6 19.8 16.1
Operating Expenses $7.8 $3.9 $1.6 $0.5 $0.1 $0.0 $0.0 $0.0 $0.0 $0.0
Total Expenses 7.8 3.9 1.6 0.5 0.1 0.0 0.0 0.0 0.0 0.0
Pre-tax Income $144.5 $137.2 $67.3 $53.9 $43.5 $35.1 $28.6 $23.6 $19.8 $16.1
- -------------------------------------------------------------------------------------------------------------------------
Tax Discount on Reserves $125.2 (30.9) (19.6) (15.7) (11.6) (8.9) (6.9) (5.4) (3.8) (3.0) (4.3)
Tax Discount on UPR 53.2 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
------ --- --- --- --- --- --- --- --- --- ---
Total Taxable Income (current taxes) 113.7 117.5 51.6 42.4 34.5 28.3 23.2 19.8 16.8 11.8
------
Total Current Tax Expense 35.0% (39.8) (41.1) (18.1) (14.8) (12.1) (9.9) (8.1) (6.9) (5.9) (4.1)
- -------------------------------------------------------------------------------------------------------------------------
Net Gain $104.7 $96.0 $49.3 $39.1 $31.4 $25.2 $20.5 $16.6 $13.9 $12.0
====== ===== ===== ===== ===== ===== ===== ===== ===== =====
Surplus Release from Original Surplus 86.0 48.5 103.0 74.2 57.3 43.4 34.3 24.7 19.1 23.7
- -------------------------------------------------------------------------------------------------------------------------
After-Tax Total Surplus Release $190.7 $144.6 $152.2 $113.3 $88.7 $68.6 $54.8 $41.3 $33.0 $35.7
- -------------------------------------------------------------------------------------------------------------------------
</TABLE>
MORGAN STANLEY
<PAGE> 72
PROJECT JUICE
================================================================================
Juice -- Investment Income on Reserves
<TABLE>
<CAPTION>
Existing Reserves: 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006
--------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Adj. Rate(1)
------ -------
1 Year Bonds: 0.00% 6.21% $7.0
2 Year Bonds: 0.00% 6.53% 9.4 $4.7
3 Year Bonds: 0.00% 6.60% 7.6 7.6 $3.8
4 Year Bonds: 0.00% 6.66% 5.6 5.6 5.6 $2.8
5 Year Bonds: 0.00% 6.81% 4.4 4.4 4.4 4.4 $2.2
6 Year Bonds: 0.00% 6.92% 3.5 3.5 3.5 3.5 3.5 $1.7
7 Year Bonds: 0.00% 7.03% 2.8 2.8 2.8 2.8 2.8 2.8 $1.4
8 Year Bonds: 0.00% 7.14% 2.0 2.0 2.0 2.0 2.0 2.0 2.0 $1.0
9 Year Bonds: 0.00% 7.15% 1.6 1.6 1.6 1.6 1.6 1.6 1.6 1.6 $0.8
10 Year Bonds: 0.00% 7.16% 2.3 2.3 2.3 2.3 2.3 2.3 2.3 2.3 2.3 $1.1
15 Year Bonds: 0.00% 7.35% 8.1 8.1 8.1 8.1 8.1 8.1 8.1 8.1 8.1 8.1
--- --- --- --- --- --- --- --- --- ---
Net Investment Income on Reserves $54.2 $42.5 $34.0 $27.4 $22.4 $18.4 $15.3 $12.9 $11.1 $9.2
===== ===== ===== ===== ===== ===== ===== ===== ===== ====
New Reserves
1 Year Bonds: 0.00% 6.21% $0.5
2 Year Bonds: 0.00% 6.53% 1.7 $0.8
3 Year Bonds: 0.00% 6.60% 1.0 1.0 $0.5
4 Year Bonds: 0.00% 6.66% 0.8 0.8 0.8 $0.4
5 Year Bonds: 0.00% 6.81% 0.6 0.6 0.6 0.6 $0.3
6 Year Bonds: 0.00% 6.92% 0.5 0.5 0.5 0.5 0.5 $0.2
7 Year Bonds: 0.00% 7.03% 0.4 0.4 0.4 0.4 0.4 0.4 $0.2
8 Year Bonds: 0.00% 7.14% 0.3 0.3 0.3 0.3 0.3 0.3 0.3 $0.2
9 Year Bonds: 0.00% 7.15% 0.2 0.2 0.2 0.2 0.2 0.2 0.2 0.2 $0.1
10 Year Bonds: 0.00% 7.16% 0.2 0.2 0.2 0.2 0.2 0.2 0.2 0.2 0.2 $0.1
11 Year Bonds: 0.00% 7.20% 11.4 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Net Investment Income on Reserves $17.5 $4.7 $3.4 $2.5 $1.8 $1.3 $0.8 $0.5 $0.2 $0.1
----- ---- ---- ---- ---- ---- ---- ---- ---- ----
17.5 4.7 3.4 2.5 1.8 1.3 0.8 0.5 0.2
---- --- --- --- --- --- --- --- ---
Total Incremental Net Investment Income $17.5 $22.2 $8.1 $5.9 $4.3 $3.0 $2.1 $1.3 $0.7 $0.3
===== ===== ==== ==== ==== ==== ==== ==== ==== ====
</TABLE>
MORGAN STANLEY
<PAGE> 73
PROJECT JUICE
================================================================================
Weighted Average Cost of Capital
<TABLE>
<CAPTION>
Predicted Unlevered
Equity Debt/ Debt/ Pfd/ (Asset)
Company Name Beta(1) Market Equity Market Cap Market Equity Beta
- --------------------------------------------- --------- ------------- ---------- ------------- ---------
<S> <C> <C> <C> <C> <C>
NAC Re 0.85 47.0% 32.0% 0.0% 0.65
Transatlantic Holdings 0.79 0.0% 0.0% 0.0% 0.79
Trenwick Group 0.60 32.3% 24.4% 0.0% 0.50
--------- ------------- ---------- ------------- ---------
----------------------------------------------------------------------------------------
MEAN 0.75 26.5% 18.8% 0.0% 0.65
MEDIAN 0.79 32.3% 24.4% 0.0% 0.65
----------------------------------------------------------------------------------------
</TABLE>
Relevering of Mean Asset Beta. (Mean/Median)
<TABLE>
<CAPTION>
Debt/ Debt/ Pfd/ Relevered Cost of Cost of Cost of Cost of Cost of
Mkt Equity (Debt+Mkt.Eq.) Mkt Equity Beta Debt(P/T) Debt(A/T) Preferred Equity Capital(2)
---------- -------------- ---------- --------- --------- --------- --------- ------ ----------
<C> <C> <C> <C> <C> <C> <C> <C> <C>
0.0% N.M. 0.0% 0.65 6.9% 4.5% 0.0% 11.6% 11.6%
10.0% 9.1% 0.0% 0.69 7.2% 4.7% 0.0% 11.9% 11.3%
20.0% 16.7% 0.0% 0.73 7.4% 4.8% 0.0% 12.3% 11.0%
30.0% 23.1% 0.0% 0.77 7.7% 5.0% 0.0% 12.6% 10.8%
40.0% 28.6% 0.0% 0.81 7.9% 5.2% 0.0% 12.9% 10.7%
50.0% 33.3% 0.0% 0.86 8.2% 5.3% 0.0% 13.2% 10.6%
60.0% 37.5% 0.0% 0.90 8.4% 5.5% 0.0% 13.5% 10.5%
70.0% 41.2% 0.0% 0.94 8.7% 5.6% 0.0% 13.8% 10.4%
80.0% 44.4% 0.0% 0.98 8.9% 5.8% 0.0% 14.1% 10.4%
90.0% 47.4% 0.0% 1.02 9.2% 6.0% 0.0% 14.4% 10.4%
100.0% 50.0% 0.0% 1.07 9.4% 6.1% 0.0% 14.7% 10.4%
Formulas Assumptions
- -------- -----------
Levered Beta D = Debt
Unlevered Beta = ---------------------------------- E = Equity Risk Free Rate 6.93%(3)
1 + (D/E)(1-t)+(Pfd/E) t = Marginal Tax Rate Market Risk Premium 7.30%
Pfd = Preferred Marginal Tax Rate(t) 35.00%
Cost of Equity = Risk Free Rate + Levered Beta*(Market Risk Premium)
</TABLE>
- ----------
NOTES: (1) Source: Barra, U.S. Equity Beta Book as of October, 1996.
(2) Based on after-tax cost of debt.
(3) Current yield on a 10 year government bond as of April 16, 1997.
MORGAN STANLEY
<PAGE> 74
PROJECT JUICE
================================================================================
Excess Capital Analysis
($MM)
<TABLE>
<CAPTION>
Statutory Data
-----------------------------
1995 Implied
1996E Industry Excess/(Deficient)
Juice(1) Average(2) Capital Per Share
-------- ---------- ------------------ ---------
<S> <C> <C> <C> <C>
I. Operating Leverage:
------
Juice Surplus @ 12/31/96 $674.2
------
NPW/Surplus 1.10 x 0.85 x ($199.9) ($7.49)
Losses & LAE/Surplus 1.36 1.83 $174.2 $6.53
Losses & LAE + UPR/Surplus 1.82 2.10 $88.7 $3.32
RBC As % of Company Action Level
--------------------------------
II. Risk-Based Capital Levels:
1995
------ 1996E Industry
Juice Adjusted Capital $689.8 Juice Average
------ ----------- ----------
178.7% 197.6% ($72.8) ($2.73)
III. Juice Company Estimate: $100.0 $3.75
</TABLE>
Notes:
- ------
(1) Juice Company estimates (ZRC only).
(2) Industry average includes Chartwell Re, NAC Re, Everest Re, Transatlantic
Holdings, Trenwick Group and General Re.
MORGAN STANLEY
<PAGE> 75
PROJECT JUICE
================================================================================
Statutory Operating Comparison of Selected
Property & Casualty Insurance Companies
(U.S. $ in Thousands)
<TABLE>
<CAPTION>
========
Chartwell Everest
Reinsurance Reinsurance Transatlantic
Juice Company Company NAC Re Holdings Trenwick Re General Re
-------- ----------- ----------- -------- ------------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
Net Premiums Written
1991 $44,183 $30,260 $692,582 $233,044 $483,859 $84,575 $2,122,317
1992 56,350 27,545 704,207 268,023 N.A. 81,883 2,176,759
1993 98,873 65,274 760,526 336,941 N.A. 101,393 N.A.
1994 302,188 113,886 733,383 412,412 868,370 139,635 2,581,029
1995 602,269 122,981 667,697 476,048 1,008,781 197,162 2,918,150
- --------------------------------------------------------------------------------------------------------------------
5-YEAR CAGR 99.5% 52.6% -0.3% 20.4% N.M. 24.9% 11.1%
- --------------------------------------------------------------------------------------------------------------------
Premiums Earned
1991 $43,750 $27,505 $684,905 $229,358 $497,421 $87,189 $2,118,883
1992 48,968 26,026 695,451 250,532 N.A. 81,831 2,166,389
1993 83,544 63,729 756,581 306,379 N.A. 93,180 N.A.
1994 221,814 101,632 722,454 375,870 851,183 132,683 2,417,071
1995 497,934 120,137 632,104 452,994 981,177 177,394 2,855,605
- --------------------------------------------------------------------------------------------------------------------
5-YEAR CAGR 89.2% 53.9% -1.2% 19.3% N.M. 21.0% 10.5%
- --------------------------------------------------------------------------------------------------------------------
Net Investment Income
1991 $11,214 $11,879 $158,738 $58,054 $119,168 $30,202 $672,254
1992 10,223 11,151 150,473 64,375 N.A. 30,775 676,135
1993 24,022 10,740 134,360 73,804 N.A. 33,690 N.A.
1994 42,029 13,889 134,749 73,336 153,442 32,842 620,525
1995 70,082 18,267 153,441 78,352 172,202 35,770 679,137
- --------------------------------------------------------------------------------------------------------------------
5-YEAR CAGR 66.2% 11.4% -1.8% 7.6% N.M. 4.1% 0.3%
- --------------------------------------------------------------------------------------------------------------------
Average Investment Yield(1)
1991 7.2% 7.3% 6.9% 6.6% 5.9% 7.4% 6.9%
1992 5.8 5.6 6.5 5.4 N.A. 6.4 6.6
1993 3.3 5.1 5.4 5.8 N.A. 6.8 N.A.
1994 4.8 5.1 5.1 5.3 6.1 6.0 5.5
1995 5.0 5.0 5.0 4.5 5.9 5.9 5.3
- --------------------------------------------------------------------------------------------------------------------
AVERAGE 5.2% 5.6% 5.8% 5.5% 6.0% 6.5% 6.1%
- --------------------------------------------------------------------------------------------------------------------
Loss Ratio(2)
1991 76.7% 81.0% 78.1% 71.8% 81.4% 74.9% 72.5%
1992 94.1 67.9 112.7 86.7 N.A. 79.9 78.8
1993 84.0 76.7 81.0 69.9 N.A. 68.6 N.A.
1994 82.4 75.4 85.8 66.6 80.1 70.0 70.7
1995 75.6 72.4 92.2 65.1 76.1 63.7 67.2
- --------------------------------------------------------------------------------------------------------------------
AVERAGE 84.0% 73.1 92.9 72.1% 79.2% 71.4% 72.3%
- --------------------------------------------------------------------------------------------------------------------
========
</TABLE>
MORGAN STANLEY
<PAGE> 76
PROJECT JUICE
================================================================================
Statutory Operating Comparison of Selected
Property & Casualty Insurance Companies
(U.S. $ in Thousands)
<TABLE>
<CAPTION>
========
Chartwell Everest
Reinsurance Reinsurance Transatlantic
Juice Company Company NAC Re Holdings Trenwick Re General Re
-------- ----------- ----------- -------- ------------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
Expense Ratio(3)
1991 33.1% 35.3% 33.8% 36.5% 26.0% 34.0% 29.7%
1992 34.2 52.3 33.0 40.1 N.A. 34.1 29.6
1993 42.2 37.2 29.1 41.0 N.A. 33.6 N.A.
1994 32.2 30.3 32.6 39.1 25.5 33.2 30.6
1995 30.9 32.5 38.8 38.0 26.0 31.8 32.3
- --------------------------------------------------------------------------------------------------------------------
AVERAGE 34.5% 37.5 33.4 38.9% 25.9% 33.3% 30.6%
- --------------------------------------------------------------------------------------------------------------------
Combined Ratio
1991 109.8% 116.3% 111.9% 108.3% 107.4% 108.9% 102.2%
1992 128.2 120.2 145.7 126.9 N.A. 114.0 108.4
1993 126.1 113.9 110.1 110.9 N.A. 102.3 N.A.
1994 114.6 105.7 118.4 105.7 105.7 103.1 101.2
1995 106.2 104.8 131.1 103.1 102.2 95.6 99.5
- --------------------------------------------------------------------------------------------------------------------
AVERAGE 117.1% 112.2 123.4 111.0% 105.1% 104.8% 102.8%
- --------------------------------------------------------------------------------------------------------------------
Policyholders' Surplus
1991 $105,323 $51,410 $590,284 $230,040 $414,969 $139,496 $3,363,071
1992 104,059 75,470 519,028 384,031 N.A. 212,398 3,452,099
1993 614,650 81,102 607,688 406,163 N.A. 224,902 N.A.
1994 607,470 111,845 600,679 407,024 590,930 236,056 3,770,077
1995 657,197 188,037 686,857 615,433 787,403 257,590 4,606,677
- --------------------------------------------------------------------------------------------------------------------
5-YEAR CAGR 72.1% 34.8% 4.6% 22.5% N.M. 14.3% 11.1%
- --------------------------------------------------------------------------------------------------------------------
Net Operating Income(4)
1991 $4,643 $3,751 $39,057 $28,720 $62,368 $17,035 $531,663
1992 (4,676) 2,603 (111,976) (6,804) N.A. 14,627 414,542
1993 (3,968) 1,686 55,040 17,873 N.A. 22,357 N.A.
1994 (26,094) 3,182 2,650 24,487 76,644 20,152 486,593
1995 (14,394) 7,270 (20,514) 42,110 124,961 27,822 585,850
- --------------------------------------------------------------------------------------------------------------------
5-YEAR CAGR N.M. 16.5% N.M. N.M. N.M. 13.9% 3.3%
- --------------------------------------------------------------------------------------------------------------------
Return on Average
Policyholders' Surplus(5)
1992 N.M.% 4.1% N.M.% N.M.% 0.0% 8.3% 12.2%
1993 N.M. 2.2 9.8 4.5 N.M. 10.2 0.0
1994 N.M. 3.3 0.4 6.0 25.9 8.7 25.8
1995 N.M. 4.8 N.M. 8.2 18.1 11.3 14.0
- --------------------------------------------------------------------------------------------------------------------
AVERAGE N.M.% 3.6% 5.1% 6.3% 22.0% 9.6% 17.3%
- --------------------------------------------------------------------------------------------------------------------
========
</TABLE>
MORGAN STANLEY
<PAGE> 77
PROJECT JUICE
================================================================================
Statutory Operating Comparison of Selected
Property & Casualty Insurance Companies
(U.S. $ in Thousands)
<TABLE>
<CAPTION>
Chartwell Everest
========= Reinsurance Reinsurance Transatlantic
Juice Company Company NAC Re Holdings Trenwick Re General Re
-------- ----------- ----------- -------- ------------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
NPW/Surplus
1991 0.42 x 0.59 x 1.17 x 1.01 x 1.17 x 0.61 x 0.63 x
1992 0.54 0.36 1.36 0.70 N.A. 0.39 0.36
1993 0.16 0.80 1.25 0.83 N.A. 0.45 N.A.
1994 0.50 1.02 1.22 1.01 1.47 0.59 0.68
1995 0.92 0.65 0.97 0.77 1.28 0.77 0.63
- --------------------------------------------------------------------------------------------------------------------
AVERAGE 0.51 x 0.69 x 1.19 x 0.87 x 1.31 x 0.56 x 0.64 x
- --------------------------------------------------------------------------------------------------------------------
Losses+LAE/Surplus
1991 0.67 x 2.46 x 2.78 x 2.31 x 2.99 x 1.85 x 1.86 x
1992 0.80 1.67 3.34 1.64 N.A. 1.26 1.92
1993 0.18 1.80 2.96 1.72 N.A. 1.19 N.A.
1994 0.41 1.60 3.22 1.95 2.92 1.25 1.73
1995 1.02 1.12 3.08 1.49 2.52 1.27 1.51
- --------------------------------------------------------------------------------------------------------------------
AVERAGE 0.62 x 1.73 x 3.08 x 1.82 x 2.81 x 1.36 x 1.76 x
- --------------------------------------------------------------------------------------------------------------------
Losses+LAE+UPR/Surplus
1991 0.77 x 2.57 x 3.13 x 2.66 x 3.36 x 2.00 x 2.08 x
1992 0.98 1.78 3.76 1.90 N.A. 1.35 2.14
1993 0.23 1.93 3.32 2.04 N.A. 1.32 N.A.
1994 0.60 1.81 3.60 2.37 3.30 1.40 1.97
1995 1.42 1.27 3.47 1.79 2.84 1.49 1.73
- --------------------------------------------------------------------------------------------------------------------
AVERAGE 0.80 x 1.87 x 3.46 x 2.15 x 3.17 x 1.51 x 1.98 x
- --------------------------------------------------------------------------------------------------------------------
Losses+LAE+NPW/Surplus
1991 1.09 x 3.05 x 3.96 x 3.32 x 4.16 x 2.46 x 2.49 x
1992 1.34 2.03 4.70 2.33 NM 1.64 2.55
1993 0.34 2.60 4.21 2.55 NM 1.64 NM
1994 0.91 2.62 4.44 2.97 4.39 1.84 2.41
1995 1.93 1.77 4.06 2.26 3.80 2.03 2.14
- --------------------------------------------------------------------------------------------------------------------
AVERAGE 1.12 x 2.41 x 4.27 x 2.69 x 4.12 x 1.92 x 2.40 x
- --------------------------------------------------------------------------------------------------------------------
========
</TABLE>
Notes: (1) Average Investment Yield is calculated as follows: Nt. Investment
Income/Invested Assets.
(2) Loss ratios are calculated as follows: Losses+LAE/NPE.
(3) Expense ratios are calculated as follows: Expenses (including
commissions)/NPW
(4) Net operating income excludes realized gains on investments at an
assumed 35% tax rate.
(4) Return on policyholders' surplus is calculated as follows: net
operating income/average policyholders' surplus
MORGAN STANLEY
<PAGE> 78
PROJECT JUICE
================================================================================
P&C Company Projections
($MM)
SUMMARY OF ASSUMPTIONS
================================================================================
<TABLE>
<CAPTION>
PROJECTED
------------------------------------------------------------------------------------- 1997-2006
Premium Growth 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 CAGR/AVG
------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Gross Premiums Growth 65.4% -0.1% 7.2% 5.7% 5.3% 5.3% 5.3% 5.3% 5.3% 5.3% 5.3% 11.0%
Net Written Premiums Growth 10.1% 10.0% 10.0% 10.0% 10.0% 10.0% 5.3% 5.3% 5.3% 5.3% 5.3% 8.2%
Net Earned Premiums Growth 9.1% 11.8% 10.0% 9.7% 9.8% 10.1% 8.4% 5.3% 5.3% 5.3% 5.3% 8.5%
Statutory Ratios
Losses & LAE 71.3% 71.6% 71.7% 71.7% 71.7% 71.7% 71.7% 71.7% 71.7% 71.7% 71.7% 71.7%
Net Commission and Brokerage 25.8% 25.6% 25.6% 25.6% 25.5% 25.5% 26.3% 26.3% 26.3% 26.3% 26.3% 25.9%
Other Underwriting Expenses 5.5% 5.3% 5.1% 4.9% 4.7% 4.5% 4.5% 4.5% 4.5% 4.5% 4.5% 4.8%
------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------
Total Expenses 31.3% 30.9% 30.6% 30.4% 30.2% 30.0% 30.8% 30.8% 30.8% 30.8% 30.8% 30.6%
Dividends to Policyholders 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0%
Combined Ratio 102.6% 102.5% 102.3% 102.1% 101.9% 101.7% 102.5% 102.5% 102.5% 102.5% 102.5% 102.3%
====== ====== ====== ====== ====== ====== ====== ====== ====== ====== ====== ======
GAAP Ratios
Losses & LAE 71.3% 71.6% 71.7% 71.7% 71.7% 71.7% 71.7% 71.7% 71.7% 71.7% 71.7% 71.7%
Net Commission and Brokerage 26.0% 25.6% 25.6% 25.5% 25.5% 25.5% 25.7% 25.8% 25.8% 25.9% 26.0% 25.7%
Other Underwriting Expenses 6.0% 5.6% 5.4% 5.2% 5.0% 4.8% 4.6% 4.6% 4.6% 4.6% 4.6% 5.0%
------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------
Total Expenses 31.9% 31.2% 30.9% 30.7% 30.5% 30.3% 30.3% 30.4% 30.5% 30.5% 30.6% 30.7%
Dividends to Policyholders 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0%
Combined Ratio 103.2% 102.9% 102.6% 102.4% 102.2% 102.0% 102.0% 102.1% 102.2% 102.2% 102.3% 102.4%
====== ====== ====== ====== ====== ====== ====== ====== ====== ====== ====== ======
Yields
Wtd. Avg. Yield on Taxables 6.38% 6.18% 6.44% 6.49% 6.92% 6.58% 7.16% 7.26% 7.12% 7.41% 7.23% 6.79%
Wtd. Avg. Yld. On Non-Taxables 4.81% 4.75% 4.68% 4.70% 5.08% 4.82% 4.99% 4.95% 4.95% 5.05% 5.13% 4.88%
Wtd. Avg. Pretax Yld. on Bonds 6.07% 6.15% 6.09% 6.16% 6.17% 6.18% 6.21% 6.30% 6.36% 6.40% 6.43% 6.21%
</TABLE>
MORGAN STANLEY
<PAGE> 79
PROJECT JUICE
================================================================================
P&C Company Projections
($MM)
SUMMARY OF ASSUMPTIONS
================================================================================
<TABLE>
<CAPTION>
PROJECTED
------------------------------------------------------------------------------------- 1997-2006
Other Statutory Assumptions: 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 CAGR/AVG
------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Income Statement
Premiums Ceded/Gross Premiums 35.1% 28.6% 26.8% 23.8% 20.4% 16.9% 16.9% 16.9% 16.9% 16.9% 16.9% 21.9%
Unearned Premiums/Change in NPW 80.6% 64.6% 64.8% 67.2% 69.3% 68.4% 68.4% 68.4% 68.4% 68.4% 68.4% 68.9%
Growth in Other lncome 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0%
Marginal Tax Rate 35.1% 35.1% 35.1% 35.1% 35.1% 35.1% 35.1% 35.1% 35.1% 35.1% 35.1% 35.1%
AMT Tax Rate 20.0% 20.0% 20.0% 20.0% 20.0% 20.0% 20.0% 20.0% 20.0% 20.0% 20.0% 20.0%
Tax Discount for Change in Reserves 17.6% 17.6% 17.6% 17.6% 17.6% 17.6% 17.6% 17.6% 17.6% 17.6% 17.6% 17.6%
Tax Dis for Change in Unearn. Prem. 20.0% 20.0% 20.0% 20.0% 20.0% 20.0% 20.0% 20.0% 20.0% 20.0% 20.0% 20.0%
Balance Sheet
Agents' Balances/NPW 31.5% 31.0% 30.5% 30.0% 30.0% 30.0% 30.0% 30.0% 30.0% 30.0% 30.0% 30.3%
Reins. Recov./Loss & LAE Reserves 1.8% 1.7% 1.6% 1.5% 1.5% 1.5% 1.5% 1.5% 1.5% 1.5% 1.5% 1.6%
Other Assets/Loss & LAE Reserves 11.0% 8.9% 7.4% 6.6% 6.0% 5.5% 4.9% 4.9% 4.9% 4.9% 4.9% 6.5%
Other Liabilities/(Loss Res. + UPR) 1.1% 0.7% 0.6% 0.6% 0.6% 0.6% 0.6% 0.6% 0.6% 0.6% 0.6% 0.7%
GAAP Balance Sheet Assumptions:
Change in DPAC / Change in UPR 23.4% 25.5% 25.6% 25.6% 25.6% 25.6% 25.6% 25.6% 25.6% 25.6% 25.6% 25.4%
Operating Leverage Constraints:
Max. Net Premiums/Surplus(x) 1.50 1.50 1.50 1.50 1.50 1.50 1.50 1.50 1.50 1.50 1.50 150.0%
Max. NPW + Reserves/Surplus(x) 4.00 4.00 4.00 4.00 4.00 4.00 4.00 4.00 4.00 4.00 4.00 400.0%
RBC Ratio 250% 250% 250% 250% 250% 250% 250% 250% 250% 250% 250% 250.0%
Loss Reserve Runoff Assumptions:
Existing Loss Reserve Runoff 24.7% 15.7% 12.6% 9.2% 7.1% 5.5% 4.4% 3.0% 2.4% 1.9% 1.6% 8.6%
New Business Loss Reserve Runoff 15.6% 22.5% 13.1% 11.1% 7.6% 6.0% 4.6% 3.9% 2.3% 1.9% 1.9% 8.8%
</TABLE>
MORGAN STANLEY
<PAGE> 80
PROJECT JUICE
================================================================================
P&C Company Projections
($MM)
KEY OPERATING STATISTICS
================================================================================
<TABLE>
<CAPTION>
PROJECTED
---------------------------------------------------------------------------------------------
STATUTORY SUMMARY 1997 1998 1999 2000 2001 2002 2003 2004
--------- --------- --------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Gross Premiums Written $ 1,256.7 $ 1,255.9 $ 1,346.6 $ 1,424.0 $ 1,499.7 $ 1,579.8 $ 1,664.3 $ 1,753.2
% Growth 65.4% -0.1% 7.2% 5.7% 5.3% 5.3% 5.3% 5.3%
Net Premiums Written $ 815.0 $ 896.5 $ 986.2 $ 1,084.8 $ 1,193.2 $ 1,312.6 $ 1,382.7 $ 1,456.6
% Growth 10.1% 10.0% 10.0% 10.0% 10.0% 10.0% 5.3% 5.3%
Net Premiums Earned 754.5 843.8 928.0 1,018.5 1,118.1 1,231.0 1,334.7 1,406.1
% Growth 9.1% 11.8% 10.0% 9.7% 9.8% 10.1% 8.4% 5.3%
Net Underwriting Income (38.4) (37.5) (39.2) (41.6) (44.0) (45.5) (47.6) (50.1)
% Growth -3.5% -2.3% 4.5% 6.1% 5.7% 3.5% 4.5% 5.3%
Net Investment Income 100.7 113.6 129.3 150.6 172.0 194.7 217.4 240.4
% Growth 21.8% 12.8% 13.9% 16.5% 14.2% 13.2% 11.6% 10.6%
Net Gain 32.8 42.0 52.3 65.2 78.0 92.0 108.5 123.5
% Growth 194.8% 28.1% 24.6% 24.7% 19.5% 18.0% 17.9% 13.9%
Total Assets $ 2,174.3 $ 2,445.4 $ 2,784.9 $ 3,161.3 $ 3,562.2 $ 3,991.7 $ 4,359.7 $ 4,720.4
Statutory Capital & Surplus 639.6 617.6 657.4 723.2 795.5 875.0 921.8 971.1
ROAS 5.0% 6.7% 8.2% 9.5% 10.3% 11.0% 12.1% 13.1%
Oper. Margin 4.3% 5.0% 5.6% 6.4% 7.0% 7.5% 8.1% 8.8%
Effective Tax Rate 55.9% 52.7% 49.6% 47.4% 45.9% 44.8% 42.1% 40.5%
Net Premiums Written/Surplus (x) 1.27 1.45 1.50 1.50 1.50 1.50 1.50 1.50
NPW + Reserves/Surplus 3.06 3.70 3.98 4.09 4.17 4.23 4.39 4.51
Ratios:
Losses & LAE 71.3% 71.6% 71.7% 71.7% 71.7% 71.7% 71.7% 71.7%
Net Commission and Brokerage 25.8% 25.6% 25.6% 25.6% 25.5% 25.5% 26.3% 26.3%
Other Underwriting Expenses 5.5% 5.3% 5.1% 4.9% 4.7% 4.5% 4.5% 4.5%
--------- --------- --------- --------- --------- --------- --------- ---------
Total Expenses 31.3% 30.9% 30.6% 30.4% 30.2% 30.0% 30.8% 30.8%
Dividends to Policyholders 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0%
--------- --------- --------- --------- --------- --------- --------- ---------
Combined Ratio 102.6% 102.5% 102.3% 102.1% 101.9% 101.7% 102.5% 102.5%
========= ========= ========= ========= ========= ========= ========= =========
</TABLE>
PROJECTED
---------------------------------
1997-2006
STATUTORY SUMMARY 2005 2006 2007 CAGR/AVG
--------- --------- --------- ---------
Gross Premiums Written $ 1,846.9 $ 1,945.6 $ 2,049.6 5.3%
% Growth 5.3% 5.3% 5.3% 11.0%
Net Premiums Written $ 1,534.5 $ 1,616.5 $ 1,702.9 8.0%
% Growth 5.3% 5.3% 5.3% 8.2%
Net Premiums Earned 1,481.2 1,560.4 1,643.8 8.5%
% Growth 5.3% 5.3% 5.3% 8.5%
Net Underwriting Income (52.8) (55.6) (58.6) NM
% Growth 5.3% 5.3% 5.3% 3.5%
Net Investment Income 262.4 284.2 306.3 12.6%
% Growth 9.1% 8.3% 7.8% 13.2%
Net Gain 137.1 150.0 162.8 18.5%
% Growth 11.0% 9.4% 8.5% 36.2%
Total Assets $ 5,080.7 $ 5,444.5 $ 5,813.0 10.9%
Statutory Capital & Surplus 1,023.0 1,077.7 1,135.3 6.9%
ROAS 13.7% 14.3% 14.7% 10.4%
Oper. Margin 9.3% 9.6% 9.9% 7.2%
Effective Tax Rate 39.6% 39.0% 38.6% 45.7%
Net Premiums Written/Surplus (x) 1.50 1.50 1.50 1.47
NPW + Reserves/Surplus 4.60 4.68 4.74 4.14
Ratios:
Losses & LAE 71.7% 71.7% 71.7% 71.7%
Net Commission and Brokerage 26.3% 26.3% 26.3% 25.9%
Other Underwriting Expenses 4.5% 4.5% 4.5% 4.8%
--------- --------- --------- ---------
Total Expenses 30.8% 30.8% 30.8% 30.6%
Dividends to Policyholders 0.0% 0.0% 0.0% 0.0%
--------- --------- --------- ---------
Combined Ratio 102.5% 102.5% 102.5% 102.3%
========= ========= ========= =========
MORGAN STANLEY
<PAGE> 81
PROJECT JUICE
================================================================================
P&C Company Projections
INVESTMENT YIELD ASSUMPTIONS
================================================================================
<TABLE>
<CAPTION>
PROJECTED
--------------------------------------------------------------------------------------------- 1997-2006
1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 AVG
------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Wtd. Avg. Mat. of Bond
Portfolio:
Taxable Bonds 4.1 4.3 3.6 5.5 4.6 4.5 4.0 6.4 8.2 8.7 9.7 9.8 5.9
Municipal Bonds 5.0 5.6 4.7 5.3 4.6 6.5 6.2 7.1 7.5 7.6 8.0 8.1 6.3
Amortization Schedules of
Initial Existing Bond Porfolio:
Taxable Bonds 12.2% 12.2% 12.2% 12.2% 12.2% 12.2% 12.2% 12.2% 12.2% 12.2% 12.2% 12.2%
Municipal Bonds 10.0% 10.0% 10.0% 10.0% 10.0% 10.0% 10.0% 10.0% 10.0% 10.0% 10.0% 10.0%
Asset Allocation of
Investment Portfolio
Short-Term Bonds 5.7% 5.2% 4.6% 4.0% 3.4% 3.0% 2.7% 2.5% 2.3% 2.1% 2.0% 1.8% 3.2%
Taxable Bonds 76.0% 76.1% 76.6% 77.3% 77.6% 77.6% 77.8% 76.8% 76.0% 76.3% 76.3% 76.9% 76.8%
Municipal Bonds 9.2% 9.4% 9.6% 9.8% 10.0% 10.1% 10.3% 11.0% 11.6% 11.4% 11.3% 10.8% 10.5%
------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------
Total Bonds 85.1% 85.5% 86.2% 87.1% 87.7% 87.6% 88.1% 87.8% 87.6% 87.7% 87.6% 87.7% 87.3%
Preferred Stocks 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0%
Common Stocks 9.2% 9.3% 8.2% 7.9% 7.8% 7.8% 8.3% 8.4% 9.0% 9.4% 9.5% 9.7% 8.6%
Real Estate 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0%
Mortgage Loans 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0%
Other Invested Assets 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0%
Total Allocated Assets 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%
====== ====== ====== ====== ====== ====== ====== ====== ====== ====== ====== ====== ======
</TABLE>
MORGAN STANLEY
<PAGE> 82
PROJECT JUICE
================================================================================
P&C Company Projections
($MM)
CALCULATION OF DIVIDENDS TO HOLDING COMPANY
================================================================================
<TABLE>
<CAPTION>
I. Operating Leverage Constraints: 1997 1998 1999 2000 2001 2002
------ ------- -------- ------- ------ ------
<S> <C> <C> <C> <C> <C> <C>
A. Maximum NPW/Surplus Ratio (x) 1.50 1.50 1.50 1.50 1.50 1.50
Required Surplus under Constraint Enabled? $543.3 $ 597.7 $ 657.4 $723.2 $795.5 $875.0
Surplus Before Dividends No=0, Yes=1 707.0 681.6 670.0 722.7 801.1 887.5
------ ------- -------- ------- ------ ------
-----------------------------------------------------------------------------------------------------------
Maximum Dividend Allowed 1 163.7 83.9 12.5 (0.5) 5.6 12.5
===========================================================================================================
B. Maximum NPW + Reserves/Surplus Ratio (x) 4.00 4.00 4.00 4.00 4.00 4.00
Required Surplus under Constraint Enabled? $489.6 $ 571.4 $ 653.8 $739.1 $829.2 $925.7
Surplus Before Dividends No=0, Yes=1 707.0 681.6 670.0 722.7 801.1 887.5
------ ------- -------- ------- ------ ------
-----------------------------------------------------------------------------------------------------------
Maximum Dividend Allowed 0 217.4 110.2 16.2 (16.5) (28.0) (38.2)
===========================================================================================================
C. Risk Based Capital Ratio 250% 250% 250% 250% 250% 250%
Required Surplus under Constraint Enabled? $732.8 $ 975.6 $ 833.2 $644.2 $728.8 $817.8
Surplus Before Dividends No=0, Yes=1 707.0 681.6 670.0 722.7 801.1 887.5
------ ------- -------- ------- ------ ------
-----------------------------------------------------------------------------------------------------------
Maximum Dividend Allowed 0 (25.8) (294.0) (163.2) 78.5 72.4 69.7
===========================================================================================================
II. Regulatory Constraints:
A. State Regulation: DE
Greater of: Prior Year Net Gain Enabled? $ 11.1 $ 32.8 $ 42.0 $ 52.3 $ 65.2 $ 78.0
10% of Prior Yr Surplus No=0, Yes=1 67.4 64.0 61.8 65.7 72.3 79.5
------ ------- -------- ------- ------ ------
-----------------------------------------------------------------------------------------------------------
Maximum Dividend Allowed 1 67.4 64.0 61.8 65.7 72.3 79.5
===========================================================================================================
CALCULATED DIVIDEND
- --------------------------------------------------------------------------------------------------------------
Max. Div. NPW/Surplus Constraint (P) $163.7 $ 83.9 $ 12.5 ($ 0.5) $ 5.6 $ 12.5
Max. Div. NPW + Reserves/Surplus (R) NA NA NA NA NA NA
Max. Div. Risk Based Capital Constraint (C) NA NA NA NA NA NA
Max. Div. State Regulation Constraint (S) 67.4 64.0 61.8 65.7 72.3 79.5
-------------------------------------------------------
Dividend Payable to Holding Company $ 67.4 $ 64.0 $ 12.5 ($ 0.5) $ 5.6 $ 12.5
Extraordinary Dividend (E) 0.0 0.0 0.0 0.0 0.0 0.0
-------------------------------------------------------
Dividend Paid to Holding Company $ 67.4 $ 64.0 $ 12.5 ($ 0.5) $ 5.6 $ 12.5
====== ======= ======== ======= ====== ======
Binding Dividend Constraint S S P P P P
==============================================================================================================
<CAPTION>
I. Operating Leverage Constraints: 2003 2004 2005 2006 2007
-------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
A. Maximum NPW/Surplus Ratio (x) 1.50 1.50 1.50 1.50 1.50
Required Surplus under Constraint Enabled? $ 921.8 $ 971.1 $1,023.0 $1,077.7 $1,135.3
Surplus Before Dividends No=0, Yes=1 983.5 1,045.3 1,108.2 1,173.0 1,240.5
-------- -------- -------- -------- --------
----------------------------------------------------------------------------------------------------------
Maximum Dividend Allowed 1 61.7 74.3 85.2 95.3 105.2
==========================================================================================================
B. Maximum NPW + Reserves/Surplus Ratio (x) 4.00 4.00 4.00 4.00 4.00
Required Surplus under Constraint Enabled? $1,011.2 $1,094.4 $1,177.2 $1,260.5 $1,344.6
Surplus Before Dividends No=0, Yes=1 983.5 1,045.3 1,108.2 1,173.0 1,240.5
-------- -------- -------- -------- --------
----------------------------------------------------------------------------------------------------------
Maximum Dividend Allowed 0 (27.7) (49.1) (69.0) (87.5) (104.1)
==========================================================================================================
C. Risk Based Capital Ratio 250% 250% 250% 250% 250%
Required Surplus under Constraint Enabled? $ 906.8 $ 992.9 $1,076.6 $1,160.6 $1,243.8
Surplus Before Dividends No=0, Yes=1 983.5 1,045.3 1,108.2 1,173.0 1,240.5
-------- -------- -------- -------- --------
----------------------------------------------------------------------------------------------------------
Maximum Dividend Allowed 0 76.7 52.5 31.6 12.4 (3.3)
==========================================================================================================
II. Regulatory Constraints:
A. State Regulation: DE
Greater of: Prior Year Net Gain Enabled? $ 92.0 $ 108.5 $ 123.5 $ 137.1 $ 150.0
10% of Prior Yr Surplus No=0, Yes=1 87.5 92.2 97.1 102.3 107.8
-------- -------- -------- -------- --------
----------------------------------------------------------------------------------------------------------
Maximum Dividend Allowed 1 92.0 108.5 123.5 137.1 150.0
==========================================================================================================
CALCULATED DIVIDEND
- -------------------------------------------------------------------------------------------------------------
Max. Div. NPW/Surplus Constraint (P) $ 61.7 $ 74.3 $ 85.2 $ 95.3 $ 105.2
Max. Div. NPW + Reserves/Surplus (R) NA NA NA NA NA
Max. Div. Risk Based Capital Constraint (C) NA NA NA NA NA
Max. Div. State Regulation Constraint (S) 92.0 108.5 123.5 137.1 150.0
----------------------------------------------------
Dividend Payable to Holding Company $ 61.7 $ 74.3 $ 85.2 $ 95.3 $ 105.2
Extraordinary Dividend (E) 0.0 0.0 0.0 0.0 0.0
----------------------------------------------------
Dividend Paid to Holding Company $ 61.7 $ 74.3 $ 85.2 $ 95.3 $ 105.2
======== ======== ======== ======== ========
Binding Dividend Constraint P P P P P
=============================================================================================================
</TABLE>
MORGAN STANLEY
<PAGE> 83
PROJECT JUICE
================================================================================
P&C Company Projections
($MM)
COMBINED OPERATING STATUTORY INCOME STATEMENT
================================================================================
<TABLE>
<CAPTION>
PROJECTED
-------------------------------------------------------------------------------------
1996 1997 1998 1999 2000 2001 2002 2003
-------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Gross Premiums Written $ 760.0 $1,256.7 $1,255.9 $1,346.6 $1,424.0 $1,499.7 $1,579.8 $1,664.3
Premiums Ceded 20.0 441.7 359.4 360.4 339.2 306.4 267.3 281.6
-------- -------- -------- -------- -------- -------- -------- --------
Net Premiums Written 740.0 815.0 896.5 986.2 1,084.8 1,193.2 1,312.6 1,382.7
Total Net Unearned Premiums 48.7 60.5 52.7 58.1 66.3 75.2 81.6 48.0
-------- -------- -------- -------- -------- -------- -------- --------
Net Premiums Earned 691.3 754.5 843.8 928.0 1,018.5 1,118.1 1,231.0 1,334.7
Losses & LAE 489.2 537.7 604.6 665.4 730.3 801.7 882.7 957.1
Net Commission and Brokerage 204.3 210.2 229.5 252.0 277.2 304.9 335.3 363.6
Other Underwriting Expenses 37.6 45.0 47.3 49.9 52.6 55.5 58.5 61.6
-------- -------- -------- -------- -------- -------- -------- --------
Total Expenses 241.8 255.2 276.8 301.9 329.8 360.4 393.8 425.2
Dividends to Policyholders 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
-------- -------- -------- -------- -------- -------- -------- --------
Net Underwriting Income (39.7) (38.4) (37.5) (39.2) (41.6) (44.0) (45.5) (47.6)
Net Investment Income 84.0 100.7 113.6 129.3 150.6 172.0 194.7 217.4
Realized Gains (Losses) (11.2) 12.0 12.7 13.8 14.9 16.2 17.5 17.5
Total Other Income (0.2) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
-------- -------- -------- -------- -------- -------- -------- --------
Pre-Tax Income 32.9 74.3 88.7 103.9 124.0 144.1 166.6 187.2
Federal and Foreign Income Taxes 21.8 41.5 46.7 51.6 58.7 66.2 74.6 78.8
-------- -------- -------- -------- -------- -------- -------- --------
Net Gain $ 11.1 $ 32.8 $ 42.0 $ 52.3 $ 65.2 $ 78.0 $ 92.0 $ 108.5
======== ======== ======== ======== ======== ======== ======== ========
</TABLE>
PROJECTED
-----------------------------------------
2004 2005 2006 2007
-------- -------- -------- --------
Gross Premiums Written $1,753.2 $1,846.9 $1,945.6 $2,049.6
Premiums Ceded 296.6 312.5 329.2 346.8
-------- -------- -------- --------
Net Premiums Written 1,456.6 1,534.5 1,616.5 1,702.9
Total Net Unearned Premiums 50.5 53.2 56.1 59.1
-------- -------- -------- --------
Net Premiums Earned 1,406.1 1,481.2 1,560.4 1,643.8
Losses & LAE 1,008.2 1,062.1 1,118.9 1,178.7
Net Commission and Brokerage 383.0 403.5 425.1 447.8
Other Underwriting Expenses 64.9 68.4 72.1 75.9
-------- -------- -------- --------
Total Expenses 448.0 471.9 497.1 523.7
Dividends to Policyholders 0.0 0.0 0.0 0.0
-------- -------- -------- --------
Net Underwriting Income (50.1) (52.8) (55.6) (58.6)
Net Investment Income 240.4 262.4 284.2 306.3
Realized Gains (Losses) 17.5 17.5 17.5 17.5
Total Other Income 0.0 0.0 0.0 0.0
-------- -------- -------- --------
Pre-Tax Income 207.7 227.0 246.0 265.1
Federal and Foreign Income Taxes 84.2 89.9 96.0 102.3
-------- -------- -------- --------
Net Gain $ 123.5 $ 137.1 $ 150.0 $ 162.8
======== ======== ======== ========
MORGAN STANLEY
<PAGE> 84
PROJECT JUICE
================================================================================
P&C Company Projections
($MM)
STATUTORY INCOME STATEMENT DETAILS
================================================================================
<TABLE>
<CAPTION>
PROJECTED
----------------------------------------------------------------------------------------------------
1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007
------ ------ ------ ------ ------ ------ ------- ------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Investment Income:
Short-Term Investments 0.0 4.9 4.9 4.9 4.9 4.9 4.9 4.9 4.9 4.9 4.9 4.9
Taxable Bonds 69.2 82.0 90.8 106.0 125.1 144.0 163.9 183.4 202.6 221.8 241.6 262.1
Non-taxable Bonds 5.7 7.5 8.6 9.9 11.6 13.7 15.9 18.5 21.5 23.8 25.3 26.4
Preferred Stocks 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Common Stocks 3.0 3.2 3.7 4.2 4.9 5.8 6.8 7.8 9.1 10.1 11.1 12.1
Real Estate 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Mortgage Loans 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Other Investments 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
------ ------ ------ ------ ------ ------ ------- ------- ------- ------- ------- -------
Total Investment Income 77.9 97.7 108.0 125.0 146.5 168.4 191.4 214.6 238.2 260.6 282.9 305.5
Investment Income from Mid-Year 6.8 5.5 8.4 7.6 7.9 7.8 8.2 8.2 8.2 8.2 8.2 8.2
Investment Expense 2.0 2.6 2.8 3.3 3.8 4.3 4.9 5.4 5.9 6.4 6.9 7.4
------ ------ ------ ------ ------ ------ ------- ------- ------- ------- ------- -------
Net Investment Income 84.0 100.7 113.6 129.3 150.6 172.0 194.7 217.4 240.4 262.4 284.2 306.3
Reconciliation of Statutory to
GAAP Income:
Net Gain $ 32.8 $ 42.0 $ 52.3 $ 65.2 $ 78.0 $ 92.0 $ 108.5 $ 123.5 $ 137.1 $ 150.0 $ 162.8
DAC Amortization 14.1 13.4 14.9 17.0 19.2 20.9 20.9 20.9 20.9 20.9 20.9
Deferred Taxes 13.4 14.2 13.7 13.7 14.1 14.9 12.8 12.2 12.1 12.1 12.3
------ ------ ------ ------ ------ ------- ------- ------- ------- ------- -------
Net Income $ 60.3 $ 69.6 $ 80.9 $ 95.9 $111.3 $ 127.8 $ 142.2 $ 156.6 $ 170.0 $ 183.0 $ 196.0
</TABLE>
MORGAN STANLEY
<PAGE> 85
PROJECT JUICE
================================================================================
P&C Company Projections
($MM)
COMBINED STATUTORY BALANCE SHEET
================================================================================
<TABLE>
<CAPTION>
PROJECTED
------------------------------------------------------------------------------------
ASSETS 1997 1998 1999 2000 2001 2002 2003 2004
-------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Cash $ 0.0 $ 0.0 $ 0.0 $ 0.0 $ 0.0 $ 0.0 $ 0.0 $ 0.0
Short-Term Investments 92.6 92.6 92.6 92.6 92.6 92.6 92.6 92.6
Taxable Bonds 1,347.0 1,547.6 1,806.5 2,084.0 2,362.1 2,668.6 2,900.4 3,112.5
Municipal Bonds 166.2 194.0 228.9 269.2 306.4 353.4 414.2 476.4
-------- -------- -------- -------- -------- -------- -------- --------
Total Bonds: 1,513.2 1,741.6 2,035.4 2,353.3 2,668.5 3,022.0 3,314.6 3,588.9
Preferred Stocks 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Common Stocks (incl. affiliates) 165.1 185.8 210.0 238.4 284.5 316.1 367.1 416.1
Real Estate 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Mortgage Loans on Real Estate 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Other Invested Assets 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
-------- -------- -------- -------- -------- -------- -------- --------
Total Invested Assets (Ex. Cash) 1,770.9 2,020.0 2,338.1 2,684.2 3,045.6 3,430.7 3,774.2 4,097.7
Agent's Balances 256.7 277.9 300.8 325.4 358.0 393.8 414.8 437.0
Reinsurance Recoverables 21.1 23.3 25.9 28.7 31.8 35.4 39.4 43.2
Other Admitted Assets 125.6 124.1 120.1 123.0 126.8 132.0 131.3 142.6
Total Assets $2,174.3 $2,445.4 $2,784.9 $3,161.3 $3,562.2 $3,991.7 $4,359.7 $4,720.4
======== ======== ======== ======== ======== ======== ======== ========
LIABILITIES & SURPLUS
Loss and LAE Reserve $1,143.3 $1,389.1 $1,628.9 $1,871.8 $2,123.5 $2,390.1 $2,661.9 $2,921.0
Unearned Premium Reserve 374.2 426.9 485.0 551.3 626.4 708.0 756.0 806.5
Other Liabilities 17.2 11.8 13.6 15.1 16.8 18.6 20.0 21.8
Policyholders' Surplus 639.6 617.6 657.4 723.2 795.5 875.0 921.8 971.1
-------- -------- -------- -------- -------- -------- -------- --------
Total Liabilities & Surplus $2,174.3 $2,445.4 $2,784.9 $3,161.3 $3,562.2 $3,991.7 $4,359.7 $4,720.4
======== ======== ======== ======== ======== ======== ======== ========
Policyholders' Surplus Account:
BOY Balance (Including Goodwill Account) $ 674.2 $ 639.6 $ 617.6 $ 657.4 $ 723.2 $ 795.5 $ 875.0 $ 921.8
Statutory Net Gain 32.8 42.0 52.3 65.2 78.0 92.0 108.5 123.5
Dividends Paid to Holding Company (67.4) (64.0) (12.5) 0.5 (5.6) (12.5) (61.7) (74.3)
-------- -------- -------- -------- -------- -------- -------- --------
EOY Balance (Including Goodwill Account) $ 639.6 $ 617.6 $ 657.4 $ 723.2 $ 795.5 $ 875.0 $ 921.8 $ 971.1
======== ======== ======== ======== ======== ======== ======== ========
</TABLE>
PROJECTED
------------------------------
ASSETS 2005 2006 2007
-------- -------- --------
Cash $ 0.0 $ 0.0 $ 0.0
Short-Term Investments 92.6 92.6 92.6
Taxable Bonds 3,371.7 3,617.0 3,900.0
Municipal Bonds 505.1 538.0 547.5
-------- -------- --------
Total Bonds: 3,876.9 4,155.0 4,447.4
Preferred Stocks 0.0 0.0 0.0
Common Stocks (incl. affiliates) 449.0 494.1 528.3
Real Estate 0.0 0.0 0.0
Mortgage Loans on Real Estate 0.0 0.0 0.0
Other Invested Assets 0.0 0.0 0.0
-------- -------- --------
Total Invested Assets (Ex. Cash) 4,418.5 4,741.7 5,068.3
Agent's Balances 460.3 484.9 510.9
Reinsurance Recoverables 47.0 50.7 54.4
Other Admitted Assets 154.9 167.2 179.4
Total Assets $5,080.7 $5,444.5 $5,813.0
======== ======== ========
LIABILITIES & SURPLUS
Loss and LAE Reserve $3,174.3 $3,425.6 $3,675.6
Unearned Premium Reserve 859.8 915.8 974.9
Other Liabilities 23.6 25.4 27.2
Policyholders' Surplus 1,023.0 1,077.7 1,135.3
-------- -------- --------
Total Liabilities & Surplus $5,080.7 $5,444.5 $5,813.0
======== ======== ========
Policyholders' Surplus Account:
BOY Balance (Including Goodwill Account) $ 971.1 $1,023.0 $1,077.7
Statutory Net Gain 137.1 150.0 162.8
Dividends Paid to Holding Company (85.2) (95.3) (105.2)
-------- -------- --------
EOY Balance (Including Goodwill Account) $1,023.0 $1,077.7 $1,135.3
======== ======== ========
MORGAN STANLEY
<PAGE> 86
PROJECT JUICE
================================================================================
P&C Company Projections
($MM)
TOTAL PROJECTED LOSS & LAE RESERVE RUNOFF
================================================================================
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C> <C> <C>
------------------------------------------------------------------------------------------------------------
Existing Reserve Runoff 24.7% 15.7% 12.6% 9.2% 7.1% 5.5% 4.4% 3.0%
------------------------------------------------------------------------------------------------------------
Yr. 1 Yr. 2 Yr. 3 Yr. 4 Yr.5 Yr.6 Yr.7 Yr.8
-----------------------------------------------------------------------------
New Business Reserve Runoff 15.6% 22.5% 13.1% 11.1% 7.6% 6.0% 4.6% 3.9%
Incur. Losses
Business & LAE PROJECTED
Written Reserved for -----------------------------------------------------------------------------
in Year Acc. Year 1997 1998 1999 2000 2001 2002 2003 2004
- ------- --------- ------- -------- -------- -------- -------- -------- -------- --------
Pre-1997 $ 915.2 $ 225.6 $ 143.5 $ 115.0 $ 84.6 $ 65.3 $ 50.2 $ 39.8 $ 27.6
1997 537.7 83.9 121.0 70.6 59.7 40.7 32.1 24.6 21.1
1998 604.6 94.4 136.0 79.4 67.2 45.8 36.1 27.7
1999 665.4 103.9 149.7 87.4 73.9 50.4 39.7
2000 730.3 114.0 164.3 95.9 81.1 55.3
2001 801.7 125.1 180.4 105.3 89.1
2002 882.7 137.8 198.6 115.9
2003 957.1 149.4 215.3
2004 1,008.2 157.4
2005 1,062.1
2006 1,118.9
2007 1,178.7
---------------------------------------------------------------------------
$ 309.5 $ 358.9 $ 425.5 $ 487.4 $ 550.0 $ 616.0 $ 685.3 $ 749.2
======= ======== ======== ======== ======== ======== ======== ========
------------------------------------------------------------------------------------------------------------
Total Incurred Losses & LAE $ 537.7 $ 604.6 $ 665.4 $ 730.3 $ 801.7 $ 882.7 $ 957.1 $1,008.2
Total Losses & LAE Paid 309.5 358.9 425.5 487.4 550.0 616.0 685.3 749.2
Addition to Reserves 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
-------- --------
Change in Loss & LAE Reserves $ 228.2 $ 245.7 $ 239.8 $ 242.9 $ 251.7 $ 266.7 $ 271.8 $ 259.1
======= ======== ======== ======== ======== ======== ======== ========
------------------------------------------------------------------------------------------------------------
</TABLE>
-------------------------------------------------------------
Existing Reserve Runoff 2.4% 1.9% 1.6% 88.0%
-------------------------------------------------------------
Yr.9 Yr.10 Yr.11 Total Paid
------------------------------------------
New Business Reserve Runoff 2.3% 1.9% 1.9% 90.3%
Incur. Losses
Business & LAE PROJECTED
Written Reserved for ------------------------------------------
in Year Acc. Year 2005 2006 2007
- ------- --------- -------- -------- --------
Pre-1997 $ 915.2 $ 21.8 $ 17.5 $ 14.8
1997 537.7 12.1 9.9 9.9
1998 604.6 23.8 13.6 11.2
1999 665.4 30.5 26.1 15.0
2000 730.3 43.6 33.4 28.7
2001 801.7 60.7 47.9 36.7
2002 882.7 98.1 66.8 52.7
2003 957.1 125.7 106.3 72.5
2004 1,008.2 226.9 132.4 112.0
2005 1,062.1 165.8 239.0 139.5
2006 1,118.9 174.7 251.7
2007 1,178.7 184.0
------------------------------------------
$ 808.8 $ 867.7 $ 928.7
======== ======== ========
-------------------------------------------------------------
Total Incurred Losses & LAE $1,062.1 $1,118.9 $1,178.7
Total Losses & LAE Paid 808.8 867.7 928.7
Addition to Reserves 0.0 0.0 0.0
-------- -------- --------
Change in Loss & LAE Reserves $ 253.3 $ 251.2 $ 250.0
======== ======== ========
-------------------------------------------------------------
MORGAN STANLEY
<PAGE> 87
PROJECT JUICE
================================================================================
P&C Company Projections
($MM)
TAX CALCULATION FOR INSURANCE OPERATING COMPANY
================================================================================
<TABLE>
<CAPTION>
PROJECTED
- ------------------------ ---------------------------------------------------------
Standard Tax Calculation 1997 1998 1999 2000 2001 2002
- ------------------------ ------- ------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C>
Statutory Pretax Income [A] $ 74.3 $ 88.7 $ 103.9 $ 124.0 $ 144.1 $ 166.6
GAAP Pretax Income [B] 88.5 102.2 118.8 140.9 163.4 187.5
Permanent Differences: P&C exclusion
Municipal Investment Income(1) 15.0% ($ 6.4) ($ 7.3) ($ 8.4) ($ 9.9) ($ 11.6) ($ 13.5)
Preferred Stock Dividend Exclusion (2) 70.0% 0.0 0.0 0.0 0.0 0.0 0.0
Common Stock Dividend Exclusion (2) (1.9) (2.2) (2.5) (2.9) (3.5) (4.0)
------- ------- ------- ------- ------- -------
Total Permanent Differences [C] (8.3) (9.5) (10.9) (12.8) (15.1) (17.5)
Book Taxable Income Before Use of NOLs [B + C] 80.2 92.7 107.9 128.1 148.3 170.0
Use of NOL Credit [D] 0.0 0.0 0.0 0.0 0.0 0.0
------- ------- ------- ------- ------- -------
Book Taxable Income After Use of NOLs [B + C + D] 80.2 92.7 107.9 128.1 148.3 170.0
Total Book Taxes $ 28.1 $ 32.5 $ 37.9 $ 45.0 $ 52.1 $ 59.7
Temporary Differences:
Tax Discount for Change in Reserves 40.2 43.3 42.2 42.8 44.3 47.0
Tax Discount for Change in Unearned Premiums 12.1 10.5 11.6 13.3 15.0 16.3
------- ------- ------- ------- ------- -------
Total Temporary Differences [E] 52.3 53.8 53.9 56.0 59.4 63.3
Taxable Income Before Use of NOLs [A + C + E] 118.3 133.0 146.9 167.2 188.4 212.4
Use of NOL Credit [Dl 0.0 0.0 0.0 0.0 0.0 0.0
------- ------- ------- ------- ------- -------
Taxable Income After Use of NOLs [A + C + E + D] 118.3 133.0 146.9 167.2 188.4 212.4
- --------------------------------------------------------------------------------------------------------------
Regular Current Taxes $ 41.5 $ 46.7 $ 51.6 $ 58.7 $ 66.2 $ 74.6
- --------------------------------------------------------------------------------------------------------------
- -------------------
AMT Tax Calculation
- -------------------
Taxable Income $ 118.3 $ 133.0 $ 146.9 $ 167.2 $ 188.4 $ 212.4
ACE Adjustment(3) 75.0% 6.2 7.1 8.2 9.6 11.3 13.1
Adjusted Current Earnings Before AMT NOLs 124.5 140.2 155.1 176.8 199.7 225.5
Use of AMT NOL Credit 0.0 0.0 0.0 0.0 0.0 0.0
------- ------- ------- ------- ------- -------
Adjusted Current Earnings 124.5 140.2 155.1 176.8 199.7 225.5
- --------------------------------------------------------------------------------------------------------------
AMT Current Taxes $ 24.9 $ 28.0 $ 31.0 $ 35.4 $ 39.9 $ 45.1
- --------------------------------------------------------------------------------------------------------------
- ----------------------------- Tax sharing=0
Actual Taxes Paid Calculation NOLs=1 1 1 1 1 1 1
- -----------------------------
Regular Current Taxes Paid $ 41.5 $ 46.7 $ 51.6 $ 58.7 $ 66.2 $ 74.6
AMT Current Taxes Paid 24.9 28.0 31.0 35.4 39.9 45.1
------- ------- ------- ------- ------- -------
Maximum of Regular vs. AMT 41.5 46.7 51.6 58.7 66.2 74.6
AMT Credit 0.0 0.0 0.0 0.0 0.0 0.0
------- ------- ------- ------- ------- -------
Actual Taxes Paid $ 41.5 $ 46.7 $ 51.6 $ 58.7 $ 66.2 $ 74.6
======= ======= ======= ======= ======= =======
- -----------------------------
Calculation of Deferred Taxes REG. REG. REG. REG. REG. REG.
- -----------------------------
Current Taxes $ 41.5 $ 46.7 $ 51.6 $ 58.7 $ 66.2 $ 74.6
Deferred Taxes (13.4) (14.2) (13.7) (13.7) (14.1) (14.9)
------- ------- ------- ------- ------- -------
Total Book Taxes 28.1 32.5 37.9 45.0 52.1 59.7
======= ======= ======= ======= ======= =======
<CAPTION>
PROJECTED
- ------------------------ -----------------------------------------------
Standard Tax Calculation 2003 2004 2005 2006 2007
- ------------------------ ------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C>
Statutory Pretax Income [A] $ 187.2 $ 207.7 $ 227.0 $ 246.0 $ 265.1
GAAP Pretax Income [B] 208.1 228.6 247.9 266.9 286.0
Permanent Differences: P&C exclusion
Municipal Investment Income(1) 15.0% ($ 15.7) ($ 18.3) ($ 20.2) ($ 21.5) ($ 22.4)
Preferred Stock Dividend Exclusion (2) 70.0% 0.0 0.0 0.0 0.0 0.0
Common Stock Dividend Exclusion (2) (4.7) (5.4) (6.0) (6.6) (7.2)
------- ------- ------- ------- -------
Total Permanent Differences [C] (20.4) (23.7) (26.2) (28.1) (29.6)
Book Taxable Income Before Use of NOLs [B + C] 187.7 204.9 221.7 238.8 256.4
Use of NOL Credit [D] 0.0 0.0 0.0 0.0 0.0
------- ------- ------- ------- -------
Book Taxable Income After Use of NOLs [B + C + D] 187.7 204.9 221.7 238.8 256.4
Total Book Taxes $ 65.9 $ 72.0 $ 77.9 $ 83.9 $ 90.0
Temporary Differences:
Tax Discount for Change in Reserves 47.9 45.6 44.6 44.2 44.0
Tax Discount for Change in Unearned Premiums 9.6 10.1 10.6 11.2 11.8
------- ------- ------- ------- -------
Total Temporary Differences [E] 57.5 55.7 55.3 55.5 55.8
Taxable Income Before Use of NOLs [A + C + E] 224.3 239.8 256.1 273.4 291.3
Use of NOL Credit [Dl 0.0 0.0 0.0 0.0 0.0
------- ------- ------- ------- -------
Taxable Income After Use of NOLs [A + C + E + D] 224.3 239.8 256.1 273.4 291.3
- ----------------------------------------------------------------------------------------------------
Regular Current Taxes $ 78.8 $ 84.2 $ 89.9 $ 96.0 $ 102.3
- ----------------------------------------------------------------------------------------------------
- -------------------
AMT Tax Calculation
- -------------------
Taxable Income $ 224.3 $ 239.8 $ 256.1 $ 273.4 $ 291.3
ACE Adjustment(3) 75.0% 15.3 17.8 19.7 21.1 22.2
Adjusted Current Earnings Before AMT NOLs 239.6 257.5 275.7 294.4 313.6
Use of AMT NOL Credit 0.0 0.0 0.0 0.0 0.0
------- ------- ------- ------- -------
Adjusted Current Earnings 239.6 257.5 275.7 294.4 313.6
- ----------------------------------------------------------------------------------------------------
AMT Current Taxes $ 47.9 $ 51.5 $ 55.1 $ 58.9 $ 62.7
- ----------------------------------------------------------------------------------------------------
- ----------------------------- Tax sharing=0 1 1 1 1 1
Actual Taxes Paid Calculation NOLs=1
- -----------------------------
Regular Current Taxes Paid $ 78.8 $ 84.2 $ 89.9 $ 96.0 $ 102.3
AMT Current Taxes Paid 47.9 51.5 55.1 58.9 62.7
------- ------- ------- ------- -------
Maximum of Regular vs. AMT 78.8 84.2 89.9 96.0 102.3
AMT Credit 0.0 0.0 0.0 0.0 0.0
------- ------- ------- ------- -------
Actual Taxes Paid $ 78.8 $ 84.2 $ 89.9 $ 96.0 $ 102.3
======= ======= ======= ======= =======
- -----------------------------
Calculation of Deferred Taxes REG. REG. REG. REG REG
- -----------------------------
Current Taxes
Deferred Taxes $ 78.8 $ 84.2 $ 89.9 $ 96.0 $ 102.3
(12.8) (12.2) (12.1) (12.1) (12.3)
Total Book Taxes ------- ------- ------- ------- -------
65.9 72.0 77.9 83.9 90.0
======= ======= ======= ======= =======
</TABLE>
- ----------
Notes (1) Equal to 85% of non-taxable municipal bond investment income
(2) Equal to 85% of 70% of investment income from stocks
(3) Equal to 75% of municipal bond and preferred/common investment
income
MORGAN STANLEY
<PAGE> 88
PROJECT JUICE
================================================================================
P&C Company Projections
($MM)
AMT CREDIT CALCULATION AND NET OPERATING LOSS CALCULATIONS
================================================================================
<TABLE>
<CAPTION>
PROJECTED
-------------------------------------------------------------------------------------------------
1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007
---- ------- ------- ------- ------- ------- ------- ------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
- ------------------
AMT Credit Account
- ------------------
AMT Credit Used $ 0.0 $ 0.0 $ 0.0 $ 0.0 $ 0.0 $ 0.0 $ 0.0 $ 0.0 $ 0.0 $ 0.0 $ 0.0
New AMT Credit 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
------- ------- ------- ------- ------- ------- ------- ------- ------- ------- -------
AMT Credit Carry-
forward Balance $0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
- --------------
AMT NOL Credit
- --------------
BOP Balance $ 0.0 $ 0.0 $ 0.0 $ 0.0 $ 0.0 $ 0.0 $ 0.0 $ 0.0 $ 0.0 $ 0.0 $ 0.0
New NOLs 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Use of NOL Credit 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
------- ------- ------- ------- ------- ------- ------- ------- ------- ------- -------
EOP Balance $ 0.0 $ 0.0 $ 0.0 $ 0.0 $ 0.0 $ 0.0 $ 0.0 $ 0.0 $ 0.0 $ 0.0 $ 0.0
- ------------------
NOL Credit Account
- ------------------
BOP Balance $ 0.0 $ 0.0 $ 0.0 $ 0.0 $ 0.0 $ 0.0 $ 0.0 $ 0.0 $ 0.0 $ 0.0 $ 0.0
New NOLs 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Use of NOL Credit 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
------- ------- ------- ------- ------- ------- ------- ------- ------- ------- -------
EOP Balance $ 0.0 $ 0.0 $ 0.0 $ 0.0 $ 0.0 $ 0.0 $ 0.0 $ 0.0 $ 0.0 $ 0.0 $ 0.0
</TABLE>
MORGAN STANLEY
<PAGE> 89
PROJECT JUICE
================================================================================
P&C Company Projections
($MM)
NEW INVESTABLE FUNDS CALCULATION
================================================================================
<TABLE>
<CAPTION>
PROJECTED
--------------------------------------------------------------------------
1996 1997 1998 1999 2000 2001 2002 2003
---- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
From Maturing Portfolios:
Short Term Governments -- $ 0.0 $ 0.0 $ 0.0 $ 0.0 $ 0.0 $ 0.0 $ 0.0
Taxable Bonds -- 151.2 151.2 151.2 202.9 503.0 228.7 631.6
Municipal Bonds -- 15.0 15.0 15.0 18.1 57.8 18.1 44.2
Preferred Equity -- 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Common Equity -- 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Real Estate -- 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Mortgage Loans -- 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Other Invested Assets -- 0.0 0.0 0.0 0.0 0.0 0.0 0.0
From Previous Year's Operations:
Net Gain -- 32.8 42.0 52.3 65.2 78.0 92.0 108.5
Change in Loss and LAE Reserve -- 228.2 245.7 239.8 242.9 251.7 266.7 271.8
Change in Unearned Premium Reserve; -- 60.5 52.7 58.1 66.3 75.2 81.6 48.0
Change in Agents' Balances -- (7.6) (21.2) (22.9) (24.7) (32.5) (35.8) (21.0)
Change in Premiums Receivable -- (19.7) (2.2) (2.6) (2.7) (3.1) (3.6) (4.0)
Change in Net Other Assets -- (88.1) (3.9) 5.7 (1.4) (2.1) (3.4) 2.1
Other Sources (Uses) of Cash:
Dividends Paid to Holding Company -- (67.4) (64.0) (12.5) 0.5 (5.6) (12.5) (61.7)
Capital Appreciation -- 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Total New Investable Funds -- $ 304.9 $ 415.4 $ 484.2 $ 567.2 $ 922.1 $ 631.9 $1,019.4
======== ======== ======== ======== ======== ======== ========
</TABLE>
<TABLE>
2004 2005 2006 2007
-------- -------- -------- --------
<S> <C> <C> <C> <C>
From Maturing Portfolios:
Short Term Governments $ 0.0 $ 0.0 $ 0.0 $ 0.0
Taxable Bonds 619.2 297.8 517.9 297.2
Municipal Bonds 38.9 39.0 59.9 61.1
Preferred Equity 0.0 0.0 0.0 0.0
Common Equity 0.0 0.0 0.0 0.0
Real Estate 0.0 0.0 0.0 0.0
Mortgage Loans 0.0 0.0 0.0 0.0
Other Invested Assets 0.0 0.0 0.0 0.0
From Previous Year's Operations:
Net Gain 123.5 137.1 150.0 162.8
Change in Loss and LAE Reserve 259.1 253.3 251.2 250.0
Change in Unearned Premium Reserve; 50.5 53.2 56.1 59.1
Change in Agents' Balances (22.2) (23.4) (24.6) (25.9)
Change in Premiums Receivable (3.8) (3.7) (3.7) (3.7)
Change in Net Other Assets (9.5) (10.6) (10.5) (10.4)
Other Sources (Uses) of Cash:
Dividends Paid to Holding Company (74.3) (85.2) (95.3) (105.2)
Capital Appreciation 0.0 0.0 0.0 0.0
Total New Investable Funds $ 981.5 $ 657.7 $ 901.0 $ 685.0
======== ======== ======== ========
</TABLE>
MORGAN STANLEY
<PAGE> 90
PROJECT JUICE
================================================================================
P&C Company Projections
($MM)
SUMMARY OF BOND PORTFOLIOS
================================================================================
<TABLE>
<CAPTION>
PROJECTED
---------------------------------------------------------
TAXABLE BOND PORTFOLIO 1996 1997 1998 1999 2000 2001
--------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
Bal. of New Invest. from Mat. Port -- $ 140.8 $ 281.5 $ 422.3 $ 581.3 $ 915.5
Bal. of New Invest. from Operations -- 117.5 328.5 597.9 867.6 962.6
Initial Portfolio Balance 1,240.0 1,088.8 937.5 786.3 635.1 483.9
--------- --------- --------- --------- --------- ---------
Total Portfolio Balance 1,240.0 1,347.0 1,547.6 1,806.5 2,084.0 2,362.1
Inc. from New lnv. from Mat. Port -- $ 4.8 $ 13.4 $ 22.4 $ 32.6 $ 48.7
Inc. from New Inv. from Operations -- 4.0 13.7 29.4 47.8 60.2
Income on Initial Portfolio -- 73.2 63.7 54.2 44.7 35.2
--------- --------- --------- --------- --------- ---------
Total Income 0.0 82.0 90.8 106.0 125.1 144.0
Weighted Average Yield on Portfolio -- 6.38% 6.18% 6.44% 6.49% 6.92%
Wtd. Avg. Maturity of Total Invest 4.3 3.6 5.5 4.6 4.5
Remaining Wtd Avg Mat of Init. Port 4.1 3.6 3.1 2.6 2.1 1.6
PROJECTED
---------------------------------------------------------
MUNICIPAL BOND PORTFOLIO 1996 1997 1998 1999 2000 2001
--------- --------- --------- --------- --------- ---------
Bal. of New Invest. from Mat. Port -- 17.1 34.2 51.4 72.4 113.0
Bal. of New Invest. from Operations -- 14.3 39.9 72.7 106.9 118.5
Initial Portfolio Ba1ance 149.8 134.8 119.9 104.9 89.9 74.9
--------- --------- --------- --------- --------- ---------
Total Portfolio Balance 149.8 166.2 194.0 228.9 269.2 306.4
Inc. from New Inv. From Mat. Port -- 0.4 1.3 2.0 2.9 4.4
Inc. from New Inv. from Operations -- 0.4 1.3 2.6 4.2 5.3
Income on Initial Portfolio -- 6.7 6.0 5.3 4.6 3.9
--------- --------- --------- --------- --------- ---------
Total Income 0.0 7.5 8.6 9.9 11.6 13.7
Weighted Average Yield on Portfolio -- 4.81% 4.75% 4.68% 4.70% 5.08%
Wtd. Avg. Maturity of Total Invest 5.6 4.7 5.3 4.6 6.5
Remaining Wtd Avg Mat of Init. Port 5.00 4.50 4.00 3.50 3.00 2.50
<CAPTION>
PROJECTED
---------------------------------------------------------------------
TAXABLE BOND PORTFOLIO 2002 2003 2004 2005. 2006 2007
--------- --------- --------- --------- --------- ---------
Bal. of New Invest. from Mat. Port $ 1,082.4 $ 1,467.6 $ 1,745.3 $ 1,926.1 $ 2,106.7 $ 2,270.8
Bal. of New Invest. from Operations 1,253.5 1,251.3 1,337.0 1,445.7 1,510.3 1,629.2
Initial Portfolio Balance 332.7 181.5 30.2 0.0 0.0 0.0
--------- --------- --------- --------- --------- ---------
Total Portfolio Balance 2,668.6 2,900.4 3,112.5 3,371.7 3,617.0 3,900.0
Inc. from New lnv. from Mat. Port $ 65.0 $ 84.1 $ 108.4 $ 125.5 $ 139.2 $ 152.3
Inc. from New Inv. from Operations 73.2 83.1 87.5 95.4 102.4 109.7
Income on Initial Portfolio 25.7 16.2 6.7 1.0 0.0 0.0
--------- --------- --------- --------- --------- ---------
Total Income 163.9 183.4 202.6 221.8 241.6 262.1
Weighted Average Yield on Portfolio 6.58% 7.16% 7.26% 7.12% 7.41% 7.23%
Wtd. Avg. Maturity of Total Invest 4.0 6.4 8.2 8.7 9.7 9.8
Remaining Wtd Avg Mat of Init. Port 1.1 0.6 0.1 0.0 0.0 0.0
PROJECTED
---------------------------------------------------------------------
MUNICIPAL BOND PORTFOLIO 2002 2003 2004 2005 2006 2007
--------- --------- --------- --------- --------- ---------
Bal. of New Invest. from Mat. Port 136.8 195.0 250.1 275.5 313.7 323.1
Bal. of New Invest. from Operations 156.7 174.3 196.3 214.7 224.3 224.4
Initial Portfolio Ba1ance 59.9 44.9 30.0 15.0 0.0 0.0
--------- --------- --------- --------- --------- ---------
Total Portfolio Balance 353.4 414.2 476.4 505.1 538.0 547.5
Inc. from New Inv. From Mat. Port 6.0 8.0 10.8 12.7 14.3 15.5
Inc. from New Inv. from Operations 6.6 8.0 9.0 10.0 10.7 10.9
Income on Initial Portfolio 3.2 2.5 1.8 1.1 0.4 0.0
--------- --------- --------- --------- --------- ---------
Total Income 15.9 18.5 21.5 23.8 25.3 26.4
Weighted Average Yield on Portfolio 4.82% 4.99% 4.95% 4.95% 5.05% 5.13%
Wtd. Avg. Maturity of Total Invest 6.2 7.1 7.5 7.6 8.0 8.1
Remaining Wtd Avg Mat of Init. Port 2.00 1.50 1.00 0.50 0.00 0.00
</TABLE>
MORGAN STANLEY
<PAGE> 91
PROJECT JUICE
================================================================================
P&C Company Projections
($MM)
SUMMARY OF SHORT TERM AND PREFERRED INVESTMENTS
================================================================================
<TABLE>
<CAPTION>
PROJECTED
-------------------------------------------------------------------
SHORT TERM INVESTMENTS 1996 1997 1998 1999 2000 2001 2002 2003
------- ------- ------- ------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
New Portfolio Balance -- 92.6 92.6 92.6 92.6 92.6 92.6 92.6
Bal. of New Invest. from Mat. Port -- 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Bal. of New Invest. from Operations -- 0.0 0.0 0.0 0.0 0.0 0.0 0.0
------- ------- ------- ------- ------- ------- -------
Total Portfolio Balance 92.6 92.6 92.6 92.6 92.6 92.6 92.6 92.6
Income from New Portfolio -- 4.9 4.9 4.9 4.9 4.9 4.9 4.9
Inc. from New Inv. from Mat. Port -- 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Inc. from New Inv. from Operations -- 0.0 0.0 0.0 0.0 0.0 0.0 0.0
------- ------- ------- ------- ------- ------- -------
Total Income 0.0 4.9 4.9 4.9 4.9 4.9 4.9 4.9
Yield on Short Term Investments 5.32% 5.32% 5.32% 5.32% 5.32% 5.32% 5.32% 5.32%
PROJECTED
-------------------------------------------------------------------
PREFERRED STOCK 1996 1997 1998 1999 2000 2001 2002 2003
------- ------- ------- ------- ------- ------- ------- -------
New Portfolio Balance -- 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Bal. of New Invest. from Mat. Port -- 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Bal. of New Invest. from Operations -- 0.0 0.0 0.0 0.0 0.0 0.0 0.0
------- ------- ------- ------- ------- ------- ------- -------
Total Portfolio Balance 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Income from New Portfolio -- 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Inc. from New Inv. from Mat. Port -- 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Inc. from New Inv. from Operations -- 0.0 0.0 0.0 0.0 0.0 0.0 0.0
------- ------- ------- ------- ------- ------- ------- -------
Total Income 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Average Yield on Portfolio NA ERR ERR ERR ERR ERR ERR ERR
</TABLE>
PROJECTED
-------------------------------------
SHORT TERM INVESTMENTS 2004 2005 2006 2007
------- ------- ------- -------
New Portfolio Balance 92.6 92.6 92.6 92.6
Bal. of New Invest. from Mat. Port 0.0 0.0 0.0 0.0
Bal. of New Invest. from Operations 0.0 0.0 0.0 0.0
------- ------- ------- -------
Total Portfolio Balance 92.6 92.6 92.6 92.6
Income from New Portfolio 4.9 4.9 4.9 4.9
Inc. from New mv. from Mat. Port 0.0 0.0 0.0 0.0
Inc. from New Inv. from Operations 0.0 0.0 0.0 0.0
------- ------- ------- -------
Total Income 4.9 4.9 4.9 4.9
Yield on Short Term Investments 5.32% 5.32% 5.32% 5.32%
PROJECTED
-------------------------------------
PREFERRED STOCK 2004 2005 2006 2007
------- ------- ------- -------
New Portfolio Balance 0.0 0.0 0.0 0.0
Bal. of New Invest. from Mat. Port 0.0 0.0 0.0 0.0
Bal. of New Invest. from Operations 0.0 0.0 0.0 0.0
------- ------- ------- -------
Total Portfolio Balance 0.0 0.0 0.0 0.0
Income from New Portfolio 0.0 0.0 0.0 0.0
Inc. from New Inv. from Mat. Port 0.0 0.0 0.0 0.0
Inc. from New Inv. from Operations 0.0 0.0 0.0 0.0
------- ------- ------- -------
Total Income 0.0 0.0 0.0 0.0
Weighted Average Yield on Portfolio ERR ERR ERR ERR
MORGAN STANLEY
<PAGE> 92
PROJECT JUICE
================================================================================
P&C Company Projections
($MM)
SUMMARY OF COMMON STOCK AND MORTGAGE LOAN INVESTMENTS
================================================================================
<TABLE>
<CAPTION>
PROJECTED
-------------------------------------------------------------------
COMMON STOCK 1996 1997 1998 1999 2000 2001 2002 2003
------- ------- ------- ------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
New Portfolio Balance -- 149.8 165.1 185.8 210.0 238.4 284.5 316.1
Capital Appreciation (after-tax) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Bal. of New Invest. from Mat. Port -- 8.3 8.3 8.3 11.0 28.0 12.3 33.8
Bal. of New Invest. from Operations -- 6.9 12.5 15.9 17.3 18.1 19.3 17.2
------- ------- ------- ------- ------- ------- ------- -------
Total Portfolio Balance 149.8 165.1 185.8 210.0 238.4 284.5 316.1 367.1
Income from New Portfolio -- 3.0 3.4 3.9 4.5 5.2 6.3 7.1
Income from Capital Appreciation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Inc. from New Inv. from Mat. Port -- 0.1 0.1 0.1 0.2 0.4 0.2 0.5
Inc. from New Inv. from Operations -- 0.1 0.2 0.2 0.2 0.2 0.3 0.2
------- ------- ------- ------- ------- ------- ------- -------
Total Income 3.0 3.2 3.7 4.2 4.9 5.8 6.8 7.8
Weighted Average Yield on Portfolio 2.01% 2.05% 2.09% 2.13% 2.17% 2.22% 2.25% 2.29%
PROJECTED
-------------------------------------------------------------------
MORTGAGE LOANS 1996 1997 1998 1999 2000 2001 2002 2003
------- ------- ------- ------- ------- ------- ------- -------
New Portfolio Balance -- 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Bal. of New Invest. from Mat. Port -- 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Bal. of New Invest. from Operations -- 0.0 0.0 0.0 0.0 0.0 0.0 0.0
------- ------- ------- ------- ------- ------- ------- -------
Total Portfolio Balance 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Income from New Portfolio -- 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Inc. from New Inv. from Mat. Port -- 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Inc. from New Inv. from Operations -- 0.0 0.0 0.0 0.0 0.0 0.0 0.0
------- ------- ------- ------- ------- ------- ------- -------
Total Income 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Average Yield on Portfolio 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
</TABLE>
<TABLE>
PROJECTED
-------------------------------------
COMMON STOCK 2004 2005 2006 2007
------- ------- ------- -------
<S> <C> <C> <C> <C>
New Portfolio Balance 367.1 416.1 449.0 494.1
Capital Appreciation (after-tax) 0.0 0.0 0.0 0.0
Bal. of New Invest. from Mat. Port 32.9 16.8 28.9 17.9
Bal. of New Invest. from Operations 16.2 16.0 16.2 16.3
------- ------- ------- -------
Total Portfolio Balance 416.1 449.0 494.1 528.3
Income from New Portfolio 8.4 9.7 10.5 11.6
Income from Capital Appreciation 0.0 0.0 0.0 0.0
Inc. from New Inv. from Mat. Port 0.5 0.2 0.4 0.2
Inc. from New Inv. from Operations 0.2 0.2 0.2 0.2
------- ------- ------- -------
Total Income 9.1 10.1 11.1 12.1
Weighted Average Yield on Portfolio 2.32% 2.34% 2.36% 2.37%
PROJECTED
-------------------------------------
MORTGAGE LOANS 2004 2005 2006 2007
------- ------- ------- -------
New Portfolio Balance 0.0 0.0 0.0 0.0
Bal. of New Invest. from Mat. Port 0.0 0.0 0.0 0.0
Bal. of New Invest. from Operations 0.0 0.0 0.0 0.0
------- ------- ------- -------
Total Portfolio Balance 0.0 0.0 0.0 0.0
Income from New Portfolio 0.0 0.0 0.0 0.0
Inc. from New Inv. from Mat. Port 0.0 0.0 0.0 0.0
Inc. from New Inv. from Operations 0.0 0.0 0.0 0.0
------- ------- ------- -------
Total Income 0.0 0.0 0.0 0.0
Weighted Average Yield on Portfolio 0.00% 0.00% 0.00% 0.00%
</TABLE>
MORGAN STANLEY
<PAGE> 93
PROJECT JUICE
================================================================================
P&C Company Projections
($MM)
SUMMARY OF OTHER INVESTED ASSETS AND REAL ESTATE INVESTMENTS
================================================================================
<TABLE>
<CAPTION>
PROJECTED
-------------------------------------------------------------------
OTHER INVESTED ASSETS 1996 1997 1998 1999 2000 2001 2002 2003
------- ------- ------- ------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
New Portfolio Balance -- 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Bal. of New Invest. from Mat. Port -- 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Bal. of New Invest. from Operations -- 0.0 0.0 0.0 0.0 0.0 0.0 0.0
------- ------- ------- ------- ------- ------- ------- -------
Total Portfolio Balance 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Income from New Portfolio -- 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Inc. from New Inv. from Mat. Port -- 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Inc. from New Inv. from Operations -- 0.0 0.0 0.0 0.0 0.0 0.0 0.0
------- ------- ------- ------- ------- ------- ------- -------
Total Income 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Average Yield on Portfolio 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
PROJECTED
-------------------------------------------------------------------
REAL ESTATE 1996 1997 1998 1999 2000 2001 2002 2003
------- ------- ------- ------- ------- ------- -------
New Portfolio Balance -- 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Bal. of New Invest. from Mat. Port -- 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Bal. of New Invest. from Operations -- 0.0 0.0 0.0 0.0 0.0 0.0 0.0
------- ------- ------- ------- ------- ------- ------- -------
Total Portfolio Balance 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Income from New Portfolio -- 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Inc. from New Inv. from Mat. Port -- 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Inc. from New Inv. from Operations -- 0.0 0.0 0.0 0.0 0.0 0.0 0.0
------- ------- ------- ------- ------- ------- ------- -------
Total Income 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Average Yield on Portfolio 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
</TABLE>
<TABLE>
PROJECTED
-------------------------------------
OTHER INVESTED ASSETS 2004 2005 2006 2007
------- ------- ------- -------
<S> <C> <C> <C> <C>
New Portfolio Balance 0.0 0.0 0.0 0.0
Bal. of New Invest. from Mat. Port 0.0 0.0 0.0 0.0
Bal. of New Invest. from Operations 0.0 0.0 0.0 0.0
------- ------- ------- -------
Total Portfolio Balance 0.0 0.0 0.0 0.0
Income from New Portfolio 0.0 0.0 0.0 0.0
Inc. from New Inv. from Mat. Port 0.0 0.0 0.0 0.0
Inc. from New Inv. from Operations 0.0 0.0 0.0 0.0
------- ------- ------- -------
Total Income 0.0 0.0 0.0 0.0
Weighted Average Yield on Portfolio 0.00% 0.00% 0.00% 0.00%
</TABLE>
<TABLE>
PROJECTED
-------------------------------------
REAL ESTATE 2004 2005 2006 2007
------- ------- ------- -------
<S> <C> <C> <C> <C>
New Portfolio Balance 0.0 0.0 0.0 0.0
Bal. of New Invest. from Mat. Port 0.0 0.0 0.0 0.0
Bal. of New Invest. from Operations 0.0 0.0 0.0 0.0
------- ------- ------- -------
Total Portfolio Balance 0.0 0.0 0.0 0.0
Income from New Portfolio 0.0 0.0 0.0 0.0
Inc. from New Inv. from Mat. Port 0.0 0.0 0.0 0.0
Inc. from New Inv. from Operations 0.0 0.0 0.0 0.0
------- ------- ------- -------
Total Income 0.0 0.0 0.0 0.0
Weighted Average Yield on Portfolio 0.00% 0.00% 0.00% 0.00%
</TABLE>
MORGAN STANLEY
<PAGE> 94
PROJECT JUICE
================================================================================
Premiums Paid in Selected U.S. Reinsurance Transactions
(US$ MM)
<TABLE>
<CAPTION>
Price Paid as a Multiple of Acquiree GAAP
--------------------------------------------------
LTM Forward Economic
Announcement Aggregate Net Net Book Book
Date Acquiree/Acquiror Deal Description Value Income Income(5) Value Value(6)
- ------------ ------------------------- ------------------------------------ --------- ------ --------- ----- ---------
<C> <C> <C> <C> <C> <C> <C> <C>
08/14/96 American Re/Munich Re American Re is one of the leading $4,040.8 18.6x l6.4x 3.89x 2.60x
direct writers of treaty and
facultative reinsurance.
07/23/96 Allstate Re/SCOR Re Allstate Re operates primarily as a N.A. N.A. N.A. N.A. N.A.
broker market treaty reinsurer
focused on small to mid-sized
insurers.
07/01/96 National Re/General Re National Re, the sixth largest direct 1,150.5 19.3 15.3 2.52 2.12
writer of property-casualty
reinsurance, was purchased by General
Re for $53 per share. Cash
distributions will be restricted such
that at least half of the total price
will be pald in stock. Equity value
of $940MM. Equity value multiples,
excluding push-down goodwill of
$34MM, are 17.3x LTM operating
earnings and 2.77x GAAP book value.
02/23/96 Skandia Re/Fairfax Fairfax Financial, A Canadian holding 227.9 N.A. N.A. N.A. N.A.
Financial company with U.S. insurance
operations (e.g. Ranger), purchased
100% of the stock of Skandia Re from
Skandia. The transaction included a
reserve indemnification of $175MM.
10/02/95 Prudential Re/Public IPO of 44MM shares (88% of the 837.5 13.6 12.4 0.95 0.52
Market Company) at $16.75 per share.
01/12/95 Re Capital Corp./Zurich Re Re Capital is a treaty reinsurer that 203.5(1) 22.2 13.7 1.63 0.94
Centre Holdings (a sub of underwrites P&C business and is one
Zurich Ins.) of the 20 largest broker reinsurers
in the country.
12/20/94 Constitution Re (a sub.of Constitution Re is the eighth largest 421.0 10.5 N.A. 1.02 N.A.
Talegen Holdings)/Exor U.S.- based reinsurance company that
America Inc. operates both through brokers and on
a direct basis as a treaty and
facultative reinsurer primarily for
domestic regional and specialty
insurance companies.
</TABLE>
<TABLE>
Price Paid as a
Multiple of
Acquiree GAAP
-----------------
Announcement Net Market ROAE of
Date Acquiree/Acquiror Premiums Value Acquiree
- ------------ ------------------------- -------- ------ --------
<C> <C> <C> <C> <C>
08/14/96 American Re/Munich Re 192.0% 1.53x 20.6%
07/23/96 Allstate Re/SCOR Re N.A. N.A. N.A.
07/01/96 National Re/General Re 344.1 1.76 14.10
02/23/96 Skandia Re/Fairfax N.A. N.A. N.A.
Financial
10/02/95 Prudential Re/Public 97.0 N.M. 7.31
Market
01/12/95 Re Capital Corp./Zurich Re 203.9 1.49 6.90
Centre Holdings (a sub of
Zurich Ins.)
12/20/94 Constitution Re (a sub. of N.A. N.A. N.A.
Talegen Holdings)/Exor
America Inc.
</TABLE>
MORGAN STANLEY
<PAGE> 95
PROJECT JUICE
================================================================================
Premiums Paid in Selected U.S. Reinsurance Transactions
(US$ MM)
(continued)
<TABLE>
<CAPTION>
Price Paid as a Multiple of Acquiree GAAP
-------------------------------------------------
LTM Forward Economic
Announcement Aggregate Net Net Book Book
Date Acquiree/Acquiror Deal Description Value Income Income(5) Value Value(6)
- ------------ ------------------------- ------------------------------------ --------- ------ --------- ----- --------
<C> <C> <C> <C> <C> <C> <C> <C>
9/09/93 American Royal Australian insurer QBE Ins. Group 59.0 N.A. N.A. N.A. N.A.
Reinsurance Co. (Sub of acquired Royal Insurance's U.S.
Royal Insurance)/QBE reinsurance subsidiary. American
Insurance Royal Re writes property (50%),
casualty (30%), and accident and
health (20%) through intermediaries
on a treaty and facultative basis.
07/29/93 Underwriters Reinsurance Alleghany Corporation purchased the 216.1(2) 6.4 N.A. 1.48 N.A.
Co. (Sub. of Underwriters remaining 93% of Underwriters Re,
Re Holding)/Alleghany which had been in registration.
Corp. Underwriters was owned by a
consortium led by Goldman Sachs and
Continental Corporation, and wrote
multi-line insurance and specialized
coverages.
03/22/93 Kemper Re/Lumbermens Kemper swapped Kemper Re and its 50% 610.2 N.M. N.A. 1.80 N.A.
Mutual interest in a risk management company
to Lumbermens in exchange for
Lumbermens 35% stake in Kemper.
06/09/92 American Re-Insurance A KKR Fund purchased American Re, the 1,429.5(3) 9.6 N.A. 1.20 N.A.
Corp. (Sub. of third largest P&C Reinsurance Company
Aetna)/American Re Corp. in the U.S., a direct writer, from
(Formed by KKR) Aetna.
03/20/92 Belvedere Corp./Christiana Norwegian UNI Storebrand purchased US 37.4(4) 18.1 N.A. 0.79 N.A.
General Insurance (Sub. of treaty property & casualty reinsurer
UNI Storebrand AS.) Belvedere Corp.
01/10/92 Chartwell Re Corp. (Sub. Chartwell, a property casualty 71.0 8.9 N.A. 1.08 N.A.
of NWNL reinsurance subsidiary of NWNL, was
Companies)/Wand sold to an investor group led by Wand
Partners/Michigan Mutual Partners, and SG Warburg affiliate,
and Michigan Mutual.
08/29/89 National Reinsurance National Re, a mu1ti-line P&C treaty 395.1 10.4 N.A. 1.41 N.A.
Corp./Robert M. Bass & reinsurer, was sold to a management
Acadia and Bass Acadia Fund partnership.
National Re had been owned by Lincoln
National.
</TABLE>
<TABLE>
Price Paid as a
Multiple of
Acquiree GAAP
-----------------
Announcement Net Market ROAE of
Date Acquiree/Acquiror Premiums Value Acquiree
- ------------ ------------------------- -------- ------ --------
<C> <C> <C> <C> <C>
9/09/93 American Royal N.A. N.A. N.A.
Reinsurance Co. (Sub of
Royal Insurance)/QBE
Insurance
07/29/93 Underwriters Reinsurance 144.4 N.A. 19.04
Co. (Sub. of Underwriters
Re Holding)/Alleghany
Corp.
03/22/93 Kemper Re/Lumbermens N.A. N.A. N.M.
Mutual
06/09/92 American Re-Insurance 142.3 N.A. 17.15
Corp. (Sub. of
Aetna)/American Re Corp.
(Formed by KKR)
03/20/92 Belvedere Corp./Christiana 136.2 1.58 4.50
General Insurance (Sub. of
UNI Storebrand AS.)
01/10/92 Chartwell Re Corp. (Sub. N.A. N.A. N.A.
of NWNL
Companies)/Wand
Partners/Michigan Mutual
08/29/89 National Reinsurance N.A. N.A. 13.4
Corp./Robert M. Bass &
Acadia
</TABLE>
MORGAN STANLEY
<PAGE> 96
PROJECT JUICE
================================================================================
Premiums Paid in Selected U.S. Reinsurance Transactions
(US$ MM)
(continued)
<TABLE>
<CAPTION>
Price Paid as a Multiple of Acquiree GAAP
----------------------------------------------------------------------
LTM Forward Economic
Announcement Acquiree/ Deal Aggregate Net Net Book Book Net Market ROAE of
Date Acquiror Description Value Income Income(5) Value Value(6) Premiums Value Acquiree
- ------------ --------- ----------- --------- ------ --------- ----- --------- -------- ------ --------
=================================================================================
<S> <C> <C> <C> <C> <C> <C> <C>
High 22.2x 16.4 3.89x 2.60 348.7% l.76x 20.6%
Low 6.4 12.4 0.79 0.52 97.0 1.49 4.50
Mean 12.7 14.5 1.62 1.55 202.3 1.61 11.68
=================================================================================
</TABLE>
Notes: (1) Equity value is $130.4MM and assumed debt is $7OMM.
(2) Actual purchase is $2OlMM for a 93% interest. Value is grossed up
for multiple purposes.
(3) GAAP financial data for multiples is as of 12/31/91.
(4) Actual purchase is $16.9MM for remaining 45.2% interest. Value is
grossed up for multiple purposes.
(5) Defined as I/B/E/S estimated net income for the next fiscal year.
(6) Calculated using MS Research analyst Ken Posner's methodology.
MORGAN STANLEY
<PAGE> 1
- --------------------------------------------------------------------------------
DISCUSSION MATERIALS PREPARED REGARDING
PROJECT LUCKY STAR
DECEMBER 4, 1996
<PAGE> 2
TABLE OF CONTENTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Exhibit
-------
<S> <C>
EXECUTIVE SUMMARY............................................... 1
TRADING PERFORMANCE............................................. 2
VALUATION ANALYSIS.............................................. 3
IMPACT ON ZURICH................................................ 4
IMPACT ON ZRC SHAREHOLDERS...................................... 5
CASE STUDY: SCOR U.S. CORPORATION............................... 6
Appendices
----------
ANALYSIS OF PREMIUMS PAID IN MINORITY TRANSACTIONS ............. 7
PUBLIC COMPARABLE COMPANY ANALYSIS ............................. 8
</TABLE>
<PAGE> 3
Exhibit 1
- --------------------------------------------------------------------------------
EXECUTIVE SUMMARY
<PAGE> 4
INTRODUCTION
- --------------------------------------------------------------------------------
Donaldson, Lufkin & Jenrette Securities Corporation ("DLJ") has been asked to
assist Zurich Centre Investments Ltd. ("ZCI" or "Zurich") in analyzing a
transaction whereby Zurich would purchase the outstanding shares of Zurich
Reinsurance Centre Holdings, Inc. ("ZRC") that it currently does not own in a
"going private" transaction (the "Transaction"). To enable ZCI's Board of
Directors to come to a more informed view of the Transaction, this presentation
provides:
- An analysis of ZRC's historical trading activity and shareholder
profile;
- A valuation analysis of ZRC based upon a number of commonly-used
valuation techniques;
- An evaluation of the impact of the Transaction on Zurich and the
shareholders of ZRC; and,
- Some general background on "going private" transactions.
- 2 -
<PAGE> 5
RATIONALE FOR THE TRANSACTION
- --------------------------------------------------------------------------------
A combination with Centre Reinsurance Holdings - New York ("Centre Re") may:
Provide competitive advantages:
- Traditional reinsurance products (ZRC's target business segment) and
finite risk products (Centre Re's target business segment) can be
offered from one source. Most of ZRC's competitors now offer finite
risk products in their normal course of business.
- Will allow for a more effective distribution of ZRC/Centre Re products
either directly to clients or through intermediaries.
- Will result in a larger, more highly capitalized entity (more than $900
million of total combined capital).
Allow for some expense savings:
- ZRC and Centre Re currently operate with two New York branch offices,
overhead savings will be significant.
Provide for a simpler management reporting process within ZCI:
- Eliminates potential conflicts of interest between ZCI and ZRC.
The Transaction also provides:
- Ability to capture 100% of ZRC's earnings and cash flow.
- Reduce compliance costs.
- May be the best available use of funds for ZCI compared to other
investment opportunities.
- 3 -
<PAGE> 6
Exhibit 2
- --------------------------------------------------------------------------------
TRADING PERFORMANCE
- 4 -
<PAGE> 7
ZRC STOCK PRICE PROFILE
- --------------------------------------------------------------------------------
Since ZRC's initial public offering, the stock has not managed to trade at or
above its $35.00 IPO price.
[GRAPH]
<TABLE>
<CAPTION>
DATE PRICE VOLUME
---- ----- ------
<S> <C> <C>
5/14/93 $35.000 7,078,000
5/21/93 $33.125 1,829,600
5/28/93 $32.375 735,700
6/4/93 $32.125 217,500
6/11/93 $31.500 591,700
6/18/93 $32.250 412,200
6/25/93 $30.125 633,900
7/2/93 $32.250 562,700
7/9/93 $32.625 214,300
7/16/93 $32.500 239,400
7/23/93 $33.000 354,000
7/30/93 $33.500 156,300
8/6/93 $33.500 103,100
8/13/93 $33.250 128,900
8/20/93 $33.500 79,500
8/27/93 $32.625 211,600
9/3/93 $31.750 292,500
9/10/93 $31.250 131,500
9/17/93 $31.250 116,100
9/24/93 $31.000 296,800
10/1/93 $31.125 294,800
10/8/93 $32.500 147,900
10/15/93 $32.000 83,000
10/22/93 $31.500 214,400
10/29/93 $31.000 135,500
11/5/93 $29.750 401,200
11/12/93 $30.375 303,800
11/19/93 $30.375 263,400
11/26/93 $30.000 143,900
12/3/93 $30.000 122,200
12/10/93 $29.125 410,700
12/17/93 $27.250 906,400
12/23/93 $27.750 82,800
12/31/93 $28.125 87,400
1/7/94 $27.250 460,600
1/14/94 $26.625 240,900
1/21/94 $26.750 153,900
1/28/94 $26.625 353,300
2/4/94 $27.000 114,400
2/11/94 $27.250 67,300
2/18/94 $26.500 186,300
2/25/94 $26.125 37,400
3/4/94 $25.500 100,300
3/11/94 $24.375 65,200
3/18/94 $25.875 68,200
3/25/94 $26.875 62,300
3/31/94 $26.375 46,900
4/8/94 $26.375 52,600
4/15/94 $26.000 41,600
4/22/94 $25.750 46,400
4/29/94 $25.500 54,100
5/6/94 $25.500 175,800
5/13/94 $24.875 122,900
5/20/94 $25.125 35,800
5/27/94 $25.750 23,300
6/3/94 $26.125 58,400
6/10/94 $26.000 28,100
6/17/94 $27.250 48,600
6/24/94 $26.500 26,200
7/1/94 $27.125 228,500
7/8/94 $27.375 212,100
7/15/94 $27.375 156,600
7/22/94 $27.500 39,200
7/29/94 $27.250 55,800
8/5/94 $27.250 16,700
8/12/94 $27.125 33,300
8/19/94 $27.375 32,300
8/26/94 $27.375 65,300
9/2/94 $27.125 71,600
9/9/94 $27.000 25,300
9/16/94 $27.000 41,300
9/23/94 $27.000 10,400
9/30/94 $27.000 13,000
10/7/94 $26.750 152,800
10/14/94 $26.375 16,200
10/21/94 $26.500 11,700
10/28/94 $26.125 13,500
11/4/94 $25.750 20,300
11/11/94 $27.375 126,800
11/18/94 $27.250 65,000
11/25/94 $26.438 44,500
12/2/94 $26.500 16,500
12/9/94 $25.500 49,000
12/16/94 $26.000 54,200
12/23/94 $27.375 81,400
12/30/94 $28.875 98,400
1/6/95 $28.875 51,600
1/13/95 $29.000 99,700
1/20/95 $28.625 73,000
1/27/95 $28.875 35,100
2/3/95 $28.875 71,600
2/10/95 $29.000 17,100
2/17/95 $30.000 52,000
2/24/95 $29.875 33,900
3/3/95 $30.125 225,500
3/10/95 $30.125 182,900
3/17/95 $30.125 45,200
3/24/95 $30.375 16,200
3/31/95 $30.375 10,600
4/7/95 $30.500 15,200
4/13/95 $30.375 3,900
4/21/95 $30.125 8,900
4/28/95 $29.875 36,500
5/5/95 $29.750 52,600
5/12/95 $30.125 48,100
5/19/95 $29.625 36,000
5/26/95 $30.000 13,600
6/2/95 $28.750 101,400
6/9/95 $28.875 186,100
6/16/95 $29.125 172,200
6/23/95 $29.000 47,100
6/30/95 $28.625 98,100
7/7/95 $28.250 63,700
7/14/95 $28.250 39,000
7/21/95 $28.250 69,100
7/28/95 $28.000 88,100
8/4/95 $28.250 51,800
8/11/95 $28.375 40,200
8/18/95 $29.625 327,600
8/25/95 $29.750 20,000
9/1/95 $29.625 27,700
9/8/95 $30.000 78,700
9/15/95 $29.750 67,700
9/22/95 $29.250 35,500
9/29/95 $29.750 66,400
10/6/95 $29.500 27,600
10/13/95 $29.250 15,600
10/20/95 $29.375 17,100
10/27/95 $28.875 14,700
11/3/95 $28.500 48,700
11/10/95 $28.875 76,300
11/17/95 $28.750 130,400
11/24/95 $28.625 27,900
12/1/95 $29.500 281,800
12/8/95 $29.250 39,400
12/15/95 $29.750 77,400
12/22/95 $30.000 103,600
12/29/95 $30.375 33,700
1/5/96 $30.250 14,200
1/12/96 $29.875 48,300
1/19/96 $29.625 75,300
1/26/96 $29.875 179,100
2/2/96 $30.250 90,500
2/9/96 $30.500 469,300
2/16/96 $32.375 625,500
2/23/96 $32.375 75,600
3/1/96 $31.750 187,900
3/8/96 $31.000 63,200
3/15/96 $30.625 215,100
3/22/96 $31.250 74,500
3/29/96 $32.625 119,500
4/4/96 $32.125 64,900
4/12/96 $31.625 41,400
4/19/96 $31.125 80,000
4/26/96 $30.250 26,000
5/3/96 $29.938 17,700
5/10/96 $30.625 267,300
5/17/96 $31.750 85,000
5/24/96 $32.000 24,500
5/31/96 $31.875 33,200
6/7/96 $31.750 30,800
6/14/96 $31.375 33,900
6/21/96 $31.625 43,700
6/28/96 $31.500 92,700
7/5/96 $31.250 73,600
7/12/96 $31.125 55,900
7/19/96 $30.250 57,700
7/26/96 $29.000 126,100
8/2/96 $29.750 101,500
8/9/96 $28.625 100,500
8/16/96 $29.500 85,100
8/23/96 $28.750 94,200
8/30/96 $29.750 68,100
9/6/96 $29.000 15,200
9/13/96 $30.750 129,900
9/20/96 $30.750 151,800
9/27/96 $30.750 53,900
10/4/96 $31.125 64,500
10/11/96 $30.500 94,600
10/18/96 $30.500 22,800
10/25/96 $29.625 23,900
11/1/96 $29.875 20,800
11/8/96 $31.500 116,400
11/15/96 $31.000 34,800
</TABLE>
- ----------------
(1) Volume on 5/12/93 and 5/13/93 was 7,078,000 and 1,829,600 respectively.
- 5 -
<PAGE> 8
ZRC STOCK PRICE PROFILE
- --------------------------------------------------------------------------------
While strong net operating earnings announcements have bolstered ZRC's price, in
the current environment the stock has managed to lose most of its gains.
[GRAPH]
<TABLE>
<CAPTION>
DATE PRICE VOLUME
---- ----- ------
<S> <C> <C>
11/16/95 $28.625 1,900
11/17/95 $28.750 1,400
11/20/95 $28.625 2,200
11/21/95 $28.625 2,900
11/22/95 $28.625 16,700
11/24/95 $28.625 6,100
11/27/95 $28.750 3,300
11/28/95 $28.750 1,200
11/29/95 $28.875 3,500
11/30/95 $29.250 263,000
12/1/95 $29.500 10,800
12/4/95 $29.125 7,200
12/5/95 $29.500 12,000
12/6/95 $29.375 8,200
12/7/95 $29.250 7,500
12/8/95 $29.250 4,500
12/11/95 $28.750 4,200
12/12/95 $28.750 22,300
12/13/95 $28.750 20,100
12/14/95 $29.250 6,400
12/15/95 $29.750 24,400
12/18/95 $29.500 5,200
12/19/95 $29.500 23,900
12/20/95 $29.500 24,000
12/21/95 $29.625 6,800
12/22/95 $30.000 43,700
12/26/95 $29.875 5,800
12/27/95 $30.500 12,700
12/28/95 $30.125 8,400
12/29/95 $30.375 6,800
1/2/96 $30.250 2,400
1/3/96 $30.250 2,500
1/4/96 $30.250 4,500
1/5/96 $30.250 4,800
1/8/96 $30.313 0
1/9/96 $30.250 12,300
1/10/96 $30.125 1,700
1/11/96 $29.875 21,300
1/12/96 $29.875 8,200
1/15/96 $29.875 8,000
1/16/96 $29.750 6,300
1/17/96 $29.625 11,200
1/18/96 $29.375 7,000
1/19/96 $29.625 42,800
1/22/96 $30.000 7,500
1/23/96 $30.500 5,800
1/24/96 $30.125 7,800
1/25/96 $30.000 155,100
1/26/96 $29.875 2,900
1/29/96 $30.125 7,200
1/30/96 $30.250 7,200
1/31/96 $30.125 7,400
2/1/96 $30.250 5,700
2/2/96 $30.250 63,000
2/5/96 $30.375 200
2/6/96 $30.625 305,800
2/7/96 $30.375 3,300
2/8/96 $30.500 159,000
2/9/96 $30.500 1,000
2/12/96 $30.500 27,700
2/13/96 $31.125 507,300
2/14/96 $31.625 26,800
2/15/96 $31.625 16,300
2/16/96 $32.375 47,400
2/20/96 $32.250 49,100
2/21/96 $32.250 21,100
2/22/96 $32.375 5,300
2/23/96 $32.375 100
2/26/96 $32.375 6,800
2/27/96 $32.250 19,700
2/28/96 $31.750 42,700
2/29/96 $31.750 97,700
3/1/96 $31.750 21,000
3/4/96 $32.125 4,900
3/5/96 $32.125 8,100
3/6/96 $32.000 11,700
3/7/96 $31.875 31,200
3/8/96 $31.000 7,300
3/11/96 $31.000 3,700
3/12/96 $31.250 138,200
3/13/96 $31.250 18,500
3/14/96 $30.625 19,000
3/15/96 $30.625 35,700
3/18/96 $31.250 25,000
3/19/96 $31.000 12,700
3/20/96 $31.125 8,600
3/21/96 $31.125 14,200
3/22/96 $31.250 14,000
3/25/96 $31.250 4,100
3/26/96 $31.125 13,200
3/27/96 $31.375 61,900
3/28/96 $31.250 4,100
3/29/96 $32.625 36,200
4/1/96 $32.250 6,400
4/2/96 $32.250 49,800
4/3/96 $32.125 6,300
4/4/96 $32.125 2,400
4/8/96 $31.750 500
4/9/96 $31.875 4,900
4/10/96 $31.000 13,300
4/11/96 $31.500 11,400
4/12/96 $31.625 11,300
4/15/96 $31.750 4,400
4/16/96 $31.563 41,100
4/17/96 $31.375 26,800
4/18/96 $31.375 3,700
4/19/96 $31.125 4,000
4/22/96 $31.250 1,900
4/23/96 $31.000 5,700
4/24/96 $30.750 8,900
4/25/96 $30.375 2,400
4/26/96 $30.250 7,100
4/29/96 $30.000 3,500
4/30/96 $30.125 2,700
5/1/96 $30.000 800
5/2/96 $29.875 5,200
5/3/96 $29.938 5,500
5/6/96 $29.875 11,000
5/7/96 $29.875 8,600
5/8/96 $30.125 16,500
5/9/96 $30.500 229,000
5/10/96 $30.625 2,200
5/13/96 $30.875 3,000
5/14/96 $31.250 25,900
5/15/96 $31.250 34,800
5/16/96 $31.500 2,200
5/17/96 $31.750 19,100
5/20/96 $31.875 5,800
5/21/96 $31.625 4,000
5/22/96 $31.500 2,600
5/23/96 $31.500 5,300
5/24/96 $32.000 6,800
5/28/96 $31.750 7,600
5/29/96 $32.125 6,400
5/30/96 $32.125 6,500
5/31/96 $31.875 12,700
6/3/96 $32.000 1,300
6/4/96 $32.000 10,000
6/5/96 $32.125 1,700
6/6/96 $31.875 3,300
6/7/96 $31.750 14,500
6/10/96 $31.750 9,800
6/11/96 $31.250 3,300
6/12/96 $31.125 400
6/13/96 $31.250 2,100
6/14/96 $31.375 18,300
6/17/96 $31.500 3,800
6/18/96 $31.625 26,200
6/19/96 $31.625 9,000
6/20/96 $31.750 3,900
6/21/96 $31.625 800
6/24/96 $31.375 28,200
6/25/96 $30.875 12,300
6/26/96 $31.125 8,300
6/27/96 $31.250 18,000
6/28/96 $31.500 25,900
7/1/96 $31.250 2,600
7/2/96 $31.250 8,800
7/3/96 $31.375 62,100
7/5/96 $31.250 100
7/8/96 $31.375 6,100
7/9/96 $31.250 13,600
7/10/96 $31.250 9,100
7/11/96 $31.250 24,200
7/12/96 $31.125 2,900
7/15/96 $31.250 6,400
7/16/96 $30.625 12,300
7/17/96 $30.500 5,400
7/18/96 $30.375 14,800
7/19/96 $30.250 18,800
7/22/96 $30.125 1,500
7/23/96 $30.125 28,200
7/24/96 $29.000 23,400
7/25/96 $28.875 70,900
7/26/96 $29.000 2,100
7/29/96 $29.125 41,700
7/30/96 $29.000 5,100
7/31/96 $30.000 25,300
8/1/96 $29.500 23,700
8/2/96 $29.750 5,700
8/5/96 $29.250 15,600
8/6/96 $29.000 49,800
8/7/96 $28.875 27,800
8/8/96 $28.875 6,000
8/9/96 $28.625 1,300
8/12/96 $28.625 58,400
8/13/96 $28.750 100
8/14/96 $28.750 8,500
8/15/96 $28.750 2,700
8/16/96 $29.500 15,400
8/19/96 $29.313 25,400
8/20/96 $29.000 1,500
8/21/96 $28.875 1,800
8/22/96 $28.875 58,100
8/23/96 $28.750 7,400
8/26/96 $28.625 12,600
8/27/96 $30.250 37,000
8/28/96 $29.875 4,200
8/29/96 $29.750 14,300
8/30/96 $29.875 4,500
9/3/96 $29.250 5,700
9/4/96 $29.250 1,100
9/5/96 $29.125 4,200
9/6/96 $29.000 4,200
9/9/96 $28.875 2,500
9/10/96 $29.125 1,900
9/11/96 $29.750 7,200
9/12/96 $30.250 86,300
9/13/96 $30.750 32,000
9/16/96 $30.625 14,200
9/17/96 $31.063 84,900
9/18/96 $30.625 6,000
9/19/96 $30.750 6,200
9/20/96 $30.750 40,500
9/23/96 $30.625 2,800
9/24/96 $30.250 38,500
9/25/96 $30.250 2,600
9/26/96 $30.500 4,200
9/27/96 $30.750 5,800
9/30/96 $31.375 11,000
10/1/96 $31.250 1,900
10/2/96 $31.125 4,300
10/3/96 $30.875 6,600
10/4/96 $31.125 40,700
10/7/96 $31.063 20,800
10/8/96 $31.250 46,700
10/9/96 $30.375 23,000
10/10/96 $30.375 2,200
10/11/96 $30.500 1,900
10/14/96 $30.375 1,600
10/15/96 $30.500 1,700
10/16/96 $30.125 3,300
10/17/96 $30.625 1,400
10/18/96 $30.500 14,800
10/21/96 $30.250 2,100
10/22/96 $29.750 4,600
10/23/96 $29.750 0
10/24/96 $29.875 1,400
10/25/96 $29.625 15,800
10/28/96 $29.125 3,200
10/29/96 $30.000 9,300
10/30/96 $30.125 1,400
10/31/96 $30.000 1,500
11/1/96 $29.875 5,400
11/4/96 $30.000 2,000
11/5/96 $29.938 7,500
11/6/96 $30.500 43,100
11/7/96 $30.750 18,500
11/8/96 $31.500 45,300
11/11/96 $31.625 5,000
11/12/96 $31.500 1,000
11/13/96 $31.125 23,200
11/14/96 $31.125 1,800
11/15/96 $31.000 3,800
</TABLE>
- 6 -
<PAGE> 9
ZRC'S STOCK VS. INSURANCE INDUSTRY
- --------------------------------------------------------------------------------
ZRC's stock price has underperformed against the S&P P&C Insurance(1) and the
S&P 500 Index.
[GRAPH]
<TABLE>
<CAPTION>
DATE ZURICH REINSURANCE CENTRE S&P 500 STOCK INDEX S&P P&C INSURANCE INDEX
---- ------------------------- ------------------- -----------------------
<S> <C> <C> <C>
5/13/93 100.0 100.0 100.0
5/14/93 99.6 100.1 99.3
5/17/93 97.9 100.3 97.5
5/18/93 93.2 100.2 97.8
5/19/93 93.6 101.9 99.3
5/20/93 93.2 102.6 99.3
5/21/93 94.3 101.5 98.9
5/24/93 93.2 102.0 98.7
5/25/93 92.5 102.2 98.1
5/26/93 90.0 103.2 99.8
5/27/93 92.9 103.0 100.4
5/28/93 92.2 102.5 100.2
6/1/93 92.5 103.3 100.2
6/2/93 91.8 103.3 100.7
6/3/93 91.8 103.0 100.7
6/4/93 91.5 102.5 100.5
6/7/93 90.7 101.9 100.5
6/8/93 90.4 101.2 98.3
6/9/93 90.4 101.5 97.2
6/10/93 90.0 101.4 98.2
6/11/93 89.7 101.8 97.6
6/14/93 92.9 101.9 96.9
6/15/93 92.5 101.6 96.6
6/16/93 92.5 101.9 96.3
6/17/93 92.2 102.1 96.5
6/18/93 91.8 101.0 96.5
6/21/93 90.7 101.6 96.9
6/22/93 89.7 101.5 97.6
6/23/93 88.6 100.9 98.8
6/24/93 86.5 101.7 98.5
6/25/93 85.8 101.9 99.8
6/28/93 88.3 102.9 100.5
6/29/93 87.5 102.6 102.6
6/30/93 91.8 102.6 101.2
7/1/93 96.1 102.2 101.0
7/2/93 91.8 101.5 102.9
7/6/93 90.0 100.5 103.0
7/7/93 90.0 100.8 103.0
7/8/93 91.1 102.1 102.7
7/9/93 92.9 102.0 103.4
7/12/93 93.2 102.2 104.4
7/13/93 92.9 102.0 103.8
7/14/93 94.0 102.5 104.2
7/15/93 93.6 102.3 105.1
7/16/93 92.5 101.5 106.2
7/19/93 91.8 101.5 106.5
7/20/93 93.2 101.8 106.2
7/21/93 93.2 101.8 105.5
7/22/93 94.0 101.2 105.0
7/23/93 94.0 101.8 104.7
7/26/93 93.6 102.2 103.8
7/27/93 94.3 102.1 105.1
7/28/93 94.0 101.8 106.7
7/29/93 95.4 102.5 106.2
7/30/93 95.4 102.0 105.3
8/2/93 95.7 102.5 107.9
8/3/93 96.1 102.3 106.8
8/4/93 96.8 102.1 106.8
8/5/93 96.4 102.0 107.6
8/6/93 95.4 102.2 108.4
8/9/93 95.4 102.6 109.2
8/10/93 94.0 102.3 109.9
8/11/93 94.0 102.6 110.2
8/12/93 94.7 102.2 110.3
8/13/93 94.7 102.5 110.9
8/16/93 96.1 103.0 110.8
8/17/93 95.7 103.2 110.6
8/18/93 95.0 103.8 111.5
8/19/93 95.0 103.9 111.0
8/20/93 95.4 103.9 111.1
8/23/93 95.4 103.6 110.2
8/24/93 95.4 104.7 109.5
8/25/93 95.7 104.8 109.7
8/26/93 94.3 105.0 110.5
8/27/93 92.9 104.9 110.4
8/30/93 92.5 105.2 111.0
8/31/93 92.9 105.5 110.8
9/1/93 91.8 105.4 110.5
9/2/93 90.4 105.0 110.0
9/3/93 90.4 105.0 110.6
9/7/93 90.0 104.4 110.1
9/8/93 89.7 104.0 109.7
9/9/93 89.0 104.2 109.7
9/10/93 89.0 105.1 110.5
9/13/93 89.7 105.2 109.4
9/14/93 89.3 104.7 110.2
9/15/93 90.0 105.1 110.9
9/16/93 89.3 104.6 110.8
9/17/93 89.0 104.5 110.4
9/20/93 89.0 103.6 110.2
9/21/93 87.5 103.1 110.0
9/22/93 89.0 103.9 109.8
9/23/93 89.0 104.2 108.7
9/24/93 88.3 104.2 107.7
9/27/93 89.0 105.1 107.7
9/28/93 88.6 105.1 106.4
9/29/93 88.6 104.8 105.7
9/30/93 89.0 104.5 105.6
10/1/93 88.6 105.0 105.5
10/4/93 88.8 105.0 105.2
10/5/93 89.7 105.0 103.8
10/6/93 91.1 104.9 103.4
10/7/93 93.2 104.5 103.8
10/8/93 92.5 104.8 101.9
10/11/93 93.2 104.9 103.6
10/12/93 93.2 105.0 102.7
10/13/93 92.9 105.1 104.0
10/14/93 90.4 106.3 104.4
10/15/93 91.1 106.9 103.6
10/18/93 91.1 106.7 102.3
10/19/93 89.7 106.1 102.7
10/20/93 90.4 106.1 103.0
10/21/93 89.3 105.9 101.8
10/22/93 89.7 105.5 100.2
10/25/93 89.3 105.7 99.5
10/26/93 88.6 105.7 100.3
10/27/93 88.3 105.8 101.4
10/28/93 88.3 106.5 101.4
10/29/93 88.3 106.5 99.6
11/1/93 86.8 106.8 99.3
11/2/93 86.1 106.7 99.4
11/3/93 84.0 105.4 100.1
11/4/93 84.0 104.2 99.3
11/5/93 84.7 104.6 97.6
11/8/93 85.4 104.8 96.2
11/9/93 84.7 104.8 96.0
11/10/93 84.7 105.6 95.5
11/11/93 86.1 105.3 96.3
11/12/93 86.5 106.0 97.7
11/15/93 86.8 105.6 98.1
11/16/93 87.2 106.3 96.3
11/17/93 88.3 105.8 97.1
11/18/93 86.8 105.6 96.4
11/19/93 86.5 105.3 96.8
11/22/93 86.1 104.5 96.0
11/23/93 84.7 105.0 95.4
11/24/93 84.3 105.3 95.4
11/26/93 85.4 105.4 95.3
11/29/93 85.4 105.2 96.4
11/30/93 85.1 105.1 95.8
12/1/93 85.4 105.2 95.8
12/2/93 85.4 105.4 96.6
12/3/93 85.4 105.8 96.3
12/6/93 85.4 106.2 96.5
12/7/93 84.7 106.3 96.5
12/8/93 84.0 106.2 96.3
12/9/93 83.6 105.7 96.8
12/10/93 82.9 105.6 98.5
12/13/93 81.5 106.0 98.5
12/14/93 80.8 105.4 97.8
12/15/93 80.8 105.1 96.7
12/16/93 79.0 105.5 95.9
12/17/93 77.6 106.2 96.1
12/20/93 78.6 106.1 94.9
12/21/93 79.4 105.9 94.3
12/22/93 80.4 106.4 94.4
12/23/93 79.0 106.4 94.8
12/27/93 78.3 107.1 94.4
12/28/93 78.6 107.2 93.4
12/29/93 79.7 107.1 94.0
12/30/93 80.4 106.7 94.2
12/31/93 80.1 106.2 94.2
</TABLE>
<PAGE> 10
<TABLE>
<S> <C> <C> <C>
1/3/94 80.8 106.0 94.2
1/4/94 78.3 106.3 95.0
1/5/94 77.6 106.4 94.8
1/6/94 76.9 106.3 95.1
1/7/94 77.6 107.0 95.0
1/10/94 76.9 108.2 94.0
1/11/94 76.2 107.9 94.0
1/12/94 76.5 108.0 93.0
1/13/94 76.5 107.6 91.4
1/14/94 75.8 108.1 93.0
1/17/94 76.2 107.8 94.0
1/18/94 76.5 108.0 94.0
1/19/94 76.5 108.0 93.5
1/20/94 76.9 108.1 93.4
1/21/94 76.2 108.1 93.4
1/24/94 76.2 107.5 92.8
1/25/94 76.5 107.2 93.8
1/26/94 75.8 107.7 94.3
1/27/94 75.4 108.6 95.8
1/28/94 75.8 109.0 96.3
1/31/94 76.5 109.6 95.7
2/1/94 76.5 109.2 95.7
2/2/94 76.2 109.7 97.9
2/3/94 78.3 109.4 98.8
2/4/94 76.9 107.0 98.9
2/7/94 76.5 107.4 99.4
2/8/94 77.6 107.2 98.0
2/9/94 77.6 107.6 97.8
2/10/94 77.6 106.8 97.0
2/11/94 77.6 107.0 95.4
2/14/94 77.9 107.1 94.9
2/15/94 77.6 107.6 95.1
2/16/94 76.9 107.6 95.4
2/17/94 75.4 107.1 93.8
2/18/94 75.4 106.5 93.5
2/22/94 74.7 107.3 93.5
2/23/94 74.4 107.2 93.7
2/24/94 74.0 105.7 93.8
2/25/94 74.4 106.1 94.5
2/28/94 74.7 106.4 94.3
3/1/94 75.1 105.7 94.3
3/2/94 73.7 105.8 94.6
3/3/94 73.0 105.4 94.2
3/4/94 72.6 105.8 92.5
3/7/94 71.9 106.3 92.9
3/8/94 71.5 106.1 92.5
3/9/94 71.2 106.3 91.5
3/10/94 70.5 105.6 91.2
3/11/94 69.4 106.2 91.4
3/14/94 71.9 106.4 92.1
3/15/94 71.9 106.3 91.5
3/16/94 73.0 106.9 90.5
3/17/94 73.3 107.2 91.5
3/18/94 73.7 107.2 90.5
3/21/94 75.8 106.7 90.6
3/22/94 76.2 106.7 91.0
3/23/94 76.2 106.7 91.7
3/24/94 76.2 105.7 93.3
3/25/94 76.5 104.9 92.8
3/28/94 76.9 104.7 92.6
3/29/94 75.4 103.0 91.5
3/30/94 75.4 101.4 91.0
3/31/94 75.1 101.5 91.3
4/4/94 73.7 99.9 91.4
4/5/94 74.0 102.1 90.8
4/6/94 74.0 102.0 90.7
4/7/94 75.4 102.7 90.1
4/8/94 75.1 101.8 89.3
4/11/94 74.7 102.4 90.4
4/12/94 75.4 101.9 90.4
4/13/94 74.0 101.6 89.0
4/14/94 74.0 101.6 90.6
4/15/94 74.0 101.6 91.3
4/18/94 73.7 100.7 91.6
4/19/94 74.0 100.8 90.6
4/20/94 73.7 100.6 91.8
4/21/94 73.3 102.2 91.6
4/22/94 73.3 101.9 90.9
4/25/94 73.3 103.1 93.5
4/26/94 73.0 102.9 93.2
4/28/94 73.3 102.2 93.9
4/29/94 72.6 102.7 95.4
5/2/94 72.6 103.1 94.4
5/3/94 72.6 103.1 94.3
5/4/94 72.2 102.8 93.5
5/5/94 73.0 102.8 94.6
5/6/94 72.6 102.0 93.6
5/9/94 72.6 100.7 93.6
5/10/94 72.6 101.5 93.5
5/11/94 71.5 100.5 93.0
5/12/94 70.1 101.0 93.5
5/13/94 70.8 101.1 93.5
5/16/94 71.5 101.2 95.2
5/17/94 71.2 102.3 97.1
5/18/94 71.5 103.3 98.2
5/19/94 72.2 103.9 96.7
5/20/94 71.5 103.6 96.7
5/23/94 71.9 103.2 95.5
5/24/94 72.6 103.5 95.3
5/25/94 72.2 103.9 95.9
5/26/94 72.2 104.1 96.4
5/27/94 73.3 104.1 97.8
5/31/94 73.0 103.9 97.9
6/1/94 73.3 104.2 97.3
6/2/94 75.1 104.2 96.8
6/3/94 74.4 104.8 97.5
6/6/94 74.4 104.5 97.4
6/7/94 73.7 104.3 97.9
6/8/94 74.0 104.1 97.8
6/9/94 74.0 104.2 97.7
6/10/94 74.0 104.4 97.7
6/13/94 75.1 104.5 97.0
6/14/94 75.8 105.3 98.8
6/15/94 77.2 104.9 98.4
6/16/94 76.9 105.2 99.0
6/17/94 77.6 104.4 98.3
6/20/94 77.6 103.7 98.1
6/21/94 77.6 102.8 97.8
6/22/94 77.2 103.2 98.7
6/23/94 75.8 102.4 98.6
6/24/94 75.4 100.8 98.4
6/27/94 75.4 101.8 98.6
6/28/94 76.2 101.6 97.7
6/29/94 77.6 101.9 98.4
6/30/94 76.5 101.1 97.1
7/1/94 77.2 101.6 96.0
7/5/94 77.6 101.6 95.2
7/6/94 77.6 101.6 95.6
7/7/94 78.3 102.1 94.5
7/8/94 77.9 102.3 93.2
7/11/94 78.3 102.0 93.9
7/12/94 78.3 102.0 94.1
7/13/94 77.9 102.2 94.3
7/14/94 77.9 103.2 92.7
7/15/94 77.9 103.4 93.5
7/18/94 78.3 103.6 93.5
7/19/94 78.3 103.3 94.1
7/20/94 78.6 102.8 94.0
7/21/94 78.3 103.0 94.4
7/22/94 78.3 103.2 93.8
7/25/94 77.6 103.4 93.1
7/26/94 77.6 103.2 92.3
7/27/94 77.2 103.0 92.4
7/28/94 76.9 103.4 94.6
7/29/94 77.6 104.3 94.5
8/1/94 77.2 105.0 95.3
8/2/94 76.9 104.9 94.3
8/3/94 76.9 105.1 93.1
8/4/94 77.0 104.4 93.4
8/5/94 77.6 104.1 93.2
8/8/94 77.6 104.2 93.6
8/9/94 77.9 104.3 94.1
8/10/94 77.6 104.8 94.2
8/11/94 77.9 104.5 94.8
8/12/94 77.2 105.2 95.3
8/15/94 77.6 105.0 95.3
8/16/94 77.9 105.9 94.9
8/17/94 77.6 105.9 95.0
8/18/94 77.6 105.5 93.8
8/19/94 77.9 105.6 93.4
8/22/94 76.9 105.3 93.4
8/23/94 76.9 105.8 93.4
8/24/94 77.9 106.8 93.5
8/25/94 77.6 106.6 93.2
8/26/94 77.9 107.9 93.8
8/29/94 78.3 108.1 93.3
8/30/94 77.9 108.4 94.5
8/31/94 77.9 108.3 93.8
9/1/94 77.2 107.7 93.7
9/2/94 77.2 107.2 92.7
9/6/94 77.2 107.4 92.1
9/7/94 77.2 107.2 92.6
9/8/94 77.2 107.7 92.8
9/9/94 76.9 106.6 93.0
9/12/94 76.9 106.1 94.3
9/13/94 77.2 106.4 93.7
9/14/94 76.9 106.7 93.6
9/15/94 77.6 108.1 93.7
9/16/94 76.9 107.3 93.2
9/19/94 77.2 107.2 92.4
9/20/94 77.2 105.5 92.4
9/21/94 77.2 105.1 92.6
9/22/94 76.9 105.0 92.0
9/23/94 76.9 104.7 92.5
9/26/94 77.2 104.9 91.5
9/27/94 77.2 105.2 91.2
9/28/94 76.9 105.8 90.8
9/29/94 76.9 105.2 90.8
9/30/94 76.9 105.3 91.7
10/3/94 76.9 105.1 91.3
10/4/94 76.9 103.5 90.2
10/5/94 76.9 103.3 89.6
10/6/94 76.5 103.0 89.0
10/7/94 76.2 103.6 88.3
10/10/94 75.8 104.5 89.5
10/11/94 75.8 106.0 90.1
10/12/94 75.1 106.0 89.5
10/13/94 74.7 106.5 90.0
10/14/94 75.1 106.8 89.4
10/17/94 76.2 106.8 89.4
10/18/94 75.8 106.5 89.1
10/19/94 75.8 107.1 88.5
10/20/94 75.4 106.3 88.8
10/21/94 75.4 105.8 88.7
10/24/94 75.4 104.9 90.3
10/25/94 75.4 105.1 90.7
10/26/94 75.1 105.3 90.6
10/27/94 74.4 106.1 90.0
10/28/94 74.4 107.9 90.9
10/31/94 74.0 107.5 91.4
11/1/94 73.3 106.6 91.1
11/2/94 73.3 106.2 91.7
11/3/94 73.3 106.5 91.5
11/4/94 73.3 105.2 90.5
11/7/94 73.3 105.4 90.4
11/8/94 76.2 106.0 89.6
11/9/94 76.2 106.0 89.8
11/10/94 77.9 105.7 90.0
11/11/94 77.9 105.3 90.1
11/14/94 77.6 106.1 91.3
11/15/94 78.3 105.9 91.8
11/16/94 77.9 106.0 91.7
11/17/94 77.6 105.5 92.0
11/18/94 77.6 105.1 92.4
11/21/94 77.6 104.3 92.0
11/22/94 76.2 102.5 91.9
11/23/94 75.1 102.4 92.7
11/25/94 75.3 103.0 93.2
11/28/94 75.1 103.4 92.9
11/29/94 75.1 103.6 92.0
11/30/94 75.4 103.3 92.2
12/1/94 75.1 102.2 92.6
12/2/94 75.4 103.2 93.4
12/5/94 75.4 103.2 93.1
12/6/94 75.1 103.2 92.3
12/7/94 74.0 102.7 91.4
12/8/94 72.6 101.4 90.2
12/9/94 72.6 101.8 90.6
12/12/94 72.6 102.3 90.6
12/13/94 71.9 102.5 91.0
12/14/94 72.2 103.6 92.5
12/15/94 73.3 103.7 93.4
12/16/94 74.0 104.5 92.6
12/19/94 74.7 104.3 92.4
12/20/94 76.9 104.1 93.6
12/21/94 78.3 104.6 94.8
12/22/94 77.6 104.7 94.7
12/23/94 77.9 104.7 94.6
12/27/94 77.6 105.3 93.3
12/28/94 79.7 104.9 93.7
12/29/94 81.1 105.0 93.4
12/30/94 82.2 104.6 94.0
1/3/95 82.2 104.5 97.1
1/4/95 82.2 104.9 97.9
1/5/95 82.6 104.8 97.8
1/6/95 82.2 104.9 98.5
1/9/95 82.2 104.9 100.2
1/10/95 82.2 105.1 100.6
1/11/95 82.2 105.1 99.5
1/12/95 82.9 105.1 100.3
1/13/95 82.6 106.1 100.3
1/16/95 83.3 106.9 100.1
1/17/95 82.9 107.0 99.5
1/18/95 82.6 106.9 99.3
1/19/95 81.9 106.3 98.8
1/20/95 81.5 105.8 98.8
1/23/95 81.1 106.1 98.2
1/24/95 81.1 106.1 98.7
1/25/95 81.1 106.4 98.2
1/26/95 81.5 106.6 98.0
1/27/95 82.2 107.1 98.8
1/30/95 82.2 106.7 98.4
1/31/95 82.6 107.1 98.8
2/1/95 81.9 107.1 99.3
2/2/95 81.9 107.6 101.2
2/3/95 82.2 109.0 103.1
2/6/95 82.2 109.5 103.1
2/7/95 82.6 109.5 102.9
2/8/95 82.6 109.6 102.1
2/9/95 82.6 109.3 101.0
2/10/95 82.6 109.6 100.6
2/13/95 82.6 109.7 100.2
2/14/95 82.9 109.9 100.3
2/15/95 84.0 110.3 100.6
2/16/95 85.1 110.5 102.3
2/17/95 85.4 109.7 102.0
2/21/95 85.4 109.9 103.7
2/22/95 85.1 110.4 102.7
2/23/95 85.1 110.9 102.2
2/24/95 85.1 111.1 104.0
2/27/95 85.4 110.1 103.2
2/28/95 86.1 111.0 103.5
3/1/95 86.1 110.6 104.6
3/2/95 86.1 110.5 104.2
3/3/95 85.8 110.5 103.2
3/6/95 85.8 110.6 102.4
3/7/95 85.4 109.8 102.9
3/8/95 85.1 110.0 103.7
3/9/95 85.8 110.0 104.0
3/10/95 85.8 111.5 103.0
3/13/95 86.1 111.6 103.0
3/14/95 85.8 112.2 102.1
3/15/95 86.5 112.0 102.5
3/16/95 86.1 112.8 104.1
3/17/95 85.8 112.8 104.5
3/20/95 86.5 113.0 103.1
3/21/95 85.8 112.7 103.7
3/22/95 86.5 112.8 103.1
3/23/95 86.5 112.9 103.3
3/24/95 86.5 114.1 103.0
3/27/95 86.1 114.6 102.7
3/28/95 85.8 114.7 101.5
3/29/95 85.8 114.5 101.5
3/30/95 86.5 114.3 101.6
3/31/95 86.5 114.0 102.8
4/3/95 87.5 114.3 102.9
4/4/95 87.5 115.0 104.0
4/5/95 87.5 115.1 104.3
4/6/95 87.2 115.2 104.1
4/7/95 86.8 115.3 104.3
</TABLE>
<PAGE> 11
<TABLE>
<S> <C> <C> <C>
4/10/95 87.0 115.4 104.5
4/11/95 86.8 115.1 104.6
4/12/95 86.5 115.5 104.6
4/13/95 86.5 115.9 104.2
4/17/95 86.8 115.2 104.7
4/18/95 87.2 115.1 105.4
4/19/95 86.5 115.0 105.4
4/20/95 86.5 115.0 105.6
4/21/95 85.8 115.8 105.4
4/24/95 85.8 116.8 104.6
4/25/95 86.5 116.6 104.6
4/26/95 85.8 116.7 105.7
4/27/95 85.8 116.9 105.4
4/28/95 85.1 117.2 105.5
5/1/95 85.1 117.1 105.6
5/2/95 84.7 117.2 105.8
5/3/95 84.7 118.5 104.9
5/4/95 85.4 118.5 105.9
5/5/95 84.7 118.4 106.4
5/8/95 84.7 119.3 106.4
5/9/95 84.7 119.2 105.0
5/10/95 85.1 119.4 104.2
5/11/95 84.7 119.4 103.7
5/12/95 85.8 119.7 104.3
5/15/95 85.8 120.2 103.9
5/16/95 85.4 120.3 104.1
5/17/95 85.8 120.0 102.9
5/18/95 84.0 118.3 103.4
5/19/95 84.3 118.2 103.8
5/22/95 84.0 119.2 103.6
5/23/95 84.0 120.3 103.3
5/24/95 84.7 120.3 104.1
5/25/95 86.1 120.3 106.4
5/26/95 85.4 119.2 106.5
5/30/95 83.6 119.2 106.2
5/31/95 82.6 121.4 108.1
6/1/95 81.9 121.5 108.1
6/2/95 81.9 121.2 108.3
6/5/95 81.9 121.9 108.5
6/6/95 81.9 121.9 108.9
6/7/95 81.9 121.4 110.2
6/8/95 82.2 121.2 110.5
6/9/95 82.2 120.2 109.0
6/12/95 82.2 120.9 107.8
6/13/95 81.9 122.0 106.5
6/14/95 81.9 122.1 107.7
6/15/95 82.6 122.3 107.9
6/16/95 82.9 122.9 108.8
6/19/95 82.9 124.1 107.6
6/20/95 83.3 124.1 107.2
6/21/95 83.6 123.8 107.2
6/22/95 81.9 125.5 107.5
6/23/95 82.6 125.2 109.6
6/26/95 81.9 123.9 108.8
6/27/95 82.6 123.5 109.7
6/28/95 82.9 124.0 110.3
6/29/95 81.9 123.8 110.3
6/30/95 81.5 124.0 109.0
7/3/95 81.5 124.6 108.8
7/5/95 81.1 124.6 106.9
7/6/95 81.1 126.1 107.3
7/7/95 80.4 126.7 108.3
7/10/95 80.4 126.9 107.9
7/11/95 80.1 126.3 107.5
7/12/95 80.4 127.7 107.1
7/13/95 80.1 127.7 108.6
7/14/95 80.4 127.5 108.9
7/17/95 80.4 128.1 108.7
7/18/95 80.4 127.1 109.6
7/19/95 80.4 125.4 109.1
7/20/95 80.1 126.0 108.4
7/21/95 80.4 126.0 108.2
7/24/95 80.4 126.7 108.1
7/25/95 80.1 127.7 106.5
7/26/95 79.7 127.9 107.0
7/27/95 79.7 128.7 106.8
7/28/95 79.7 128.2 106.8
7/31/95 80.1 128.0 106.5
8/1/95 80.1 127.4 106.7
8/2/95 80.4 127.2 106.7
8/3/95 80.4 127.2 107.2
8/4/95 80.4 127.3 106.9
8/7/95 80.4 127.5 107.1
8/8/95 80.8 127.6 107.3
8/9/95 80.8 127.4 107.2
8/10/95 80.4 126.9 106.3
8/11/95 80.8 126.4 105.6
8/14/95 81.1 127.4 104.6
8/15/95 82.2 127.2 104.1
8/16/95 83.6 127.5 103.6
8/17/95 84.7 127.3 104.1
8/18/95 84.3 127.3 106.7
8/21/95 84.7 127.1 107.0
8/22/95 85.1 127.4 107.8
8/23/95 84.7 126.8 108.2
8/24/95 84.7 126.9 108.1
8/25/95 84.7 127.5 107.9
8/28/95 85.1 127.3 108.9
8/29/95 84.5 127.5 108.8
8/30/95 84.0 127.7 108.8
8/31/95 84.0 127.9 108.9
9/1/95 84.3 128.4 109.6
9/5/95 83.6 129.6 109.9
9/6/95 84.7 129.8 110.4
9/7/95 85.4 129.8 110.5
9/8/95 85.4 130.4 111.6
9/11/95 85.1 130.7 112.7
9/12/95 85.1 131.3 113.2
9/13/95 85.1 131.8 113.4
9/14/95 85.1 132.9 114.0
9/15/95 84.7 132.8 114.3
9/18/95 85.1 132.7 114.5
9/19/95 84.7 133.0 113.6
9/20/95 84.3 133.6 113.6
9/21/95 84.3 132.7 116.8
9/22/95 83.3 132.4 116.9
9/25/95 84.7 132.5 118.6
9/26/95 85.1 132.4 120.0
9/27/95 84.7 132.3 119.7
9/28/95 84.3 133.4 119.5
9/29/95 84.7 133.1 119.5
10/2/95 84.0 132.4 118.7
10/3/95 84.0 132.6 118.7
10/4/95 83.6 132.4 118.6
10/5/95 84.0 132.6 118.3
10/6/95 84.0 132.6 119.3
10/9/95 83.6 131.7 121.2
10/10/95 83.6 131.5 121.4
10/11/95 84.0 131.9 122.5
10/12/95 84.0 132.8 123.1
10/13/95 83.3 133.1 122.7
10/16/95 83.6 132.7 122.9
10/17/95 83.3 133.6 122.5
10/18/95 83.6 133.7 120.5
10/19/95 83.6 134.5 120.0
10/20/95 83.6 133.7 120.9
10/23/95 82.9 133.2 121.1
10/24/95 83.1 133.5 121.2
10/25/95 82.2 132.6 123.0
10/26/95 82.2 131.3 124.2
10/27/95 82.2 132.0 122.4
10/30/95 81.9 132.8 123.6
10/31/95 81.9 132.4 122.8
11/1/95 81.5 133.0 122.4
11/2/95 80.4 134.3 122.1
11/3/95 81.1 134.5 122.4
11/6/95 81.1 134.0 121.9
11/7/95 80.8 133.5 122.2
11/8/95 81.1 134.7 122.1
11/9/95 82.2 135.1 122.2
11/10/95 82.2 134.9 122.8
11/13/95 82.6 134.8 123.5
11/14/95 82.6 134.2 122.8
11/15/95 82.2 135.2 123.8
11/16/95 81.5 136.0 122.8
11/17/95 81.9 136.6 121.8
11/20/95 81.5 135.9 119.7
11/21/95 81.5 136.7 117.0
11/22/95 81.5 136.2 115.9
11/24/95 81.5 136.6 116.5
11/27/95 81.9 136.9 117.2
11/28/95 81.9 138.1 116.2
11/29/95 82.2 138.3 118.3
11/30/95 83.3 137.8 120.0
12/1/95 84.0 138.2 120.2
12/4/95 82.9 139.7 120.1
12/5/95 84.0 140.6 120.6
12/6/95 83.6 141.2 121.5
12/7/95 83.3 140.3 120.8
12/8/95 83.3 140.6 120.5
12/11/95 81.9 141.0 120.0
12/12/95 81.9 140.9 119.6
12/13/95 81.9 141.5 119.8
12/14/95 83.3 140.5 120.1
12/15/95 84.7 140.3 121.1
12/18/95 84.0 138.2 121.0
12/19/95 84.0 139.3 122.6
12/20/95 84.0 138.0 122.2
12/21/95 84.3 139.0 122.2
12/22/95 85.4 139.3 122.8
12/26/95 85.1 139.9 123.6
12/27/95 86.8 139.9 124.2
12/28/95 85.8 139.8 124.0
12/29/95 86.5 140.2 123.8
</TABLE>
<PAGE> 12
<TABLE>
<S> <C> <C> <C>
1/2/96 86.1 141.3 125.2
1/3/96 86.1 141.5 128.1
1/4/96 86.1 140.6 127.6
1/5/96 86.1 140.4 128.2
1/8/96 86.3 140.8 128.0
1/9/96 86.1 138.8 127.3
1/10/96 85.8 136.3 127.2
1/11/96 85.1 137.2 126.4
1/12/96 85.1 137.0 127.0
1/15/96 85.1 136.6 126.3
1/16/96 84.7 138.5 127.3
1/17/96 84.3 138.1 126.2
1/18/96 83.6 138.5 125.9
1/19/96 84.3 139.3 126.4
1/22/96 85.4 139.7 124.5
1/23/96 86.8 139.5 125.1
1/24/96 85.8 141.1 125.1
1/25/96 85.4 140.5 125.2
1/26/96 85.1 141.5 124.9
1/29/96 85.8 142.1 124.3
1/30/96 86.1 143.5 124.5
1/31/96 85.8 144.8 124.5
2/1/96 86.1 145.4 126.9
2/2/96 86.1 144.8 126.8
2/5/96 86.5 146.0 126.8
2/6/96 87.2 147.2 127.1
2/7/96 86.5 148.0 127.6
2/8/96 86.8 149.4 126.9
2/9/96 86.8 149.4 124.2
2/12/96 86.8 150.6 124.5
2/13/96 88.6 150.4 124.0
2/14/96 90.0 149.3 123.9
2/15/96 90.0 148.3 124.7
2/16/96 92.2 147.5 125.4
2/20/96 91.8 145.9 125.9
2/21/96 91.8 147.6 126.1
2/22/96 92.2 150.0 125.0
2/23/96 92.2 150.1 123.6
2/26/96 92.2 148.1 124.3
2/27/96 91.8 147.4 123.8
2/28/96 90.4 146.8 124.1
2/29/96 90.4 145.8 124.9
3/1/96 90.4 146.7 124.4
3/4/96 91.5 148.2 127.0
3/5/96 91.5 149.3 124.7
3/6/96 91.1 148.4 123.8
3/7/96 90.7 148.8 124.0
3/8/96 88.3 144.2 125.6
3/11/96 88.3 145.7 124.0
3/12/96 89.0 145.0 126.6
3/13/96 89.0 145.4 125.9
3/14/96 87.2 145.9 126.5
3/15/96 87.2 146.0 128.0
3/18/96 89.0 148.6 127.0
3/19/96 88.3 148.4 127.8
3/20/96 88.6 148.0 127.3
3/21/96 88.6 147.8 127.3
3/22/96 89.0 148.1 124.8
3/25/96 89.0 148.0 123.8
3/26/96 88.6 148.7 124.9
3/27/96 89.3 147.7 124.8
3/28/96 89.0 147.7 123.7
3/29/96 92.9 147.0 123.1
4/1/96 91.8 148.8 123.0
4/2/96 91.8 149.2 121.5
4/3/96 91.5 149.3 124.2
4/4/96 91.5 149.3 126.4
4/8/96 90.4 146.7 126.0
4/9/96 90.7 146.2 126.3
4/10/96 88.3 144.2 126.0
4/11/96 89.7 143.7 120.9
4/12/96 90.0 145.0 120.3
4/15/96 90.4 146.3 118.9
4/16/96 89.9 146.8 119.6
4/17/96 89.3 146.1 120.6
4/18/96 89.3 146.5 118.9
4/19/96 88.6 146.9 120.9
4/22/96 89.0 147.5 121.3
4/23/96 88.3 148.3 121.0
4/24/96 87.5 148.0 121.2
4/25/96 86.5 148.6 121.2
4/26/96 86.1 148.8 121.3
4/29/96 85.4 148.9 121.4
4/30/96 85.8 148.9 120.4
5/1/96 85.4 149.0 120.2
5/2/96 85.1 146.5 119.5
5/3/96 85.2 146.1 119.8
5/6/96 85.1 145.9 119.9
5/7/96 85.1 145.3 119.6
5/8/96 85.8 146.8 120.6
5/9/96 86.8 146.9 120.6
5/10/96 87.2 148.5 118.6
5/13/96 87.9 150.6 117.8
5/14/96 89.0 151.5 116.2
5/15/96 89.0 151.5 114.6
5/16/96 89.7 151.4 116.9
5/17/96 90.4 152.3 117.6
5/20/96 90.7 153.3 116.6
5/21/96 90.0 153.2 116.5
5/22/96 89.7 154.5 117.2
5/23/96 89.7 153.9 117.6
5/24/96 91.1 154.5 118.7
5/28/96 90.4 153.0 119.9
5/29/96 91.5 152.1 119.2
5/30/96 91.5 152.9 119.1
5/31/96 90.7 152.3 119.2
6/3/96 91.1 152.0 118.9
6/4/96 91.1 153.1 118.0
6/5/96 91.5 154.5 117.2
6/6/96 90.7 153.2 115.0
6/7/96 90.4 153.3 115.3
6/10/96 90.4 153.0 114.8
6/11/96 89.0 152.8 114.3
6/12/96 88.6 152.3 117.1
6/13/96 89.0 152.1 116.9
6/14/96 89.3 151.6 117.2
6/17/96 89.7 151.4 117.4
6/18/96 90.0 150.7 117.2
6/19/96 90.0 150.7 117.3
6/20/96 90.4 150.7 116.6
6/21/96 90.0 151.8 116.9
6/24/96 89.3 152.3 117.3
6/25/96 87.9 152.2 117.7
6/26/96 88.6 151.3 118.4
6/27/96 89.0 152.2 117.5
6/28/96 89.7 152.7 118.5
7/1/96 89.0 153.9 118.5
7/2/96 89.0 153.4 118.4
7/3/96 89.3 153.1 118.1
7/5/96 89.0 149.7 118.8
7/8/96 89.3 148.6 118.8
7/9/96 89.0 149.1 119.5
7/10/96 89.0 149.4 120.8
7/11/96 89.0 147.0 122.4
7/12/96 88.6 147.1 122.0
7/15/96 89.0 143.4 121.4
7/16/96 87.2 143.1 121.3
7/17/96 86.8 144.4 121.3
7/18/96 86.5 146.5 121.1
7/19/96 86.1 145.4 121.3
7/22/96 85.8 144.3 120.7
7/23/96 85.8 142.7 121.9
7/24/96 82.6 142.7 121.5
7/25/96 82.2 143.7 121.8
7/26/96 82.6 144.8 122.2
7/29/96 82.9 143.6 122.3
7/30/96 82.6 144.6 123.2
7/31/96 85.4 145.7 123.6
8/1/96 84.0 148.0 122.9
8/2/96 84.7 150.8 123.3
8/5/96 83.3 150.3 124.1
8/6/96 82.6 150.8 125.3
8/7/96 82.2 151.2 124.9
8/8/96 82.2 150.9 124.1
8/9/96 81.5 150.7 124.1
8/12/96 81.5 151.6 121.3
8/13/96 81.9 150.3 119.9
8/14/96 81.9 150.7 120.6
8/15/96 81.9 150.8 120.9
8/16/96 84.0 151.4 119.4
8/19/96 83.5 151.8 120.2
8/20/96 82.6 151.6 118.4
8/21/96 82.2 151.4 118.9
8/22/96 82.2 152.7 119.3
8/23/96 81.9 151.9 120.9
8/26/96 81.5 151.1 118.9
8/27/96 86.1 151.7 118.0
8/28/96 85.1 151.4 118.0
8/29/96 84.7 149.7 116.8
8/30/96 85.1 148.4 115.8
9/3/96 83.3 149.1 115.9
9/4/96 83.3 149.3 114.6
9/5/96 82.9 147.9 115.3
9/6/96 82.6 149.3 115.7
9/9/96 82.2 151.1 117.9
9/10/96 82.9 151.1 120.1
9/11/96 84.7 151.9 118.6
9/12/96 86.1 152.8 118.9
9/13/96 87.5 154.9 118.7
9/16/96 87.2 155.7 118.0
9/17/96 88.4 155.5 118.3
9/18/96 87.2 155.2 119.2
9/19/96 87.5 155.5 118.3
9/20/96 87.5 156.4 118.3
9/23/96 87.2 156.3 118.3
9/24/96 86.1 156.1 120.1
9/25/96 86.1 156.1 120.3
9/26/96 86.8 156.2 120.4
9/27/96 87.5 156.2 119.5
9/30/96 89.3 156.5 119.4
10/1/96 89.0 156.9 118.5
10/2/96 88.6 158.0 118.3
10/3/96 87.9 157.7 118.5
10/4/96 88.6 159.7 118.2
10/7/96 88.4 160.1 117.2
10/8/96 89.0 159.5 116.3
10/9/96 86.5 158.6 116.3
10/10/96 86.5 158.1 116.4
10/11/96 86.8 159.5 115.5
10/14/96 86.5 160.2 114.8
10/15/96 86.8 160.0 115.7
10/16/96 85.8 160.4 118.5
10/17/96 87.2 161.0 117.2
10/18/96 86.8 161.8 117.3
10/21/96 86.1 161.6 117.5
10/22/96 84.7 160.9 118.2
10/23/96 84.9 161.0 119.1
10/24/96 85.1 159.9 118.7
10/25/96 84.3 159.6 118.2
10/28/96 82.9 158.7 118.1
10/29/96 85.4 159.7 118.9
10/30/96 85.8 159.6 118.5
10/31/96 85.4 160.6 118.8
11/1/96 85.1 160.2 118.9
11/4/96 85.4 160.9 119.8
11/5/96 85.2 162.6 119.9
11/6/96 86.8 165.0 119.6
11/7/96 87.5 165.7 120.5
11/8/96 89.7 166.4 122.7
11/11/96 90.0 166.6 122.7
11/12/96 89.7 166.1 124.7
11/13/96 88.6 166.5 125.0
11/14/96 88.6 167.5 124.5
</TABLE>
- ----------------------------
(1) S&P P&C Insurance index includes: Allstate, Chubb, General Re, SafeCo,
St. Paul and USF&G.
- 7 -
<PAGE> 13
ANALYSTS' VIEWS
- --------------------------------------------------------------------------------
Recent Wall Street research suggests a 12-month price target of $35-$36 per
share, representing a 13% - 16% premium to ZRC's current stock price of $31.00
as of 11/15/96.
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
FIRM: DLJ Morgan Stanley Oppenheimer CS First Boston
ANALYST: Susan P. Spivak Kenneth A. Posner Alice D. Schroeder Charles B. Gates
LATEST REPORT: November 7, 1996 October 9, 1996 November 7, 1996 August 23, 1996
PRICE: $30 1/2 $31 $30 1/2 $28 7/8
- -----------------------------------------------------------------------------------------------------------------------------------
1996 EPS P/E: $1.15 26.5x $1.19 26.1x $1.15 26.5x $1.10 26.2x
1997 EPS P/E: 1.25 24.4 1.64 18.9 1.70 17.9 1.70 17.0
12-MO. PRICE TARGET: $35.00 $36.00 (Aug. Report) $36.00 $35.00
- -----------------------------------------------------------------------------------------------------------------------------------
COMMENTS: We have a 12-month We believe ZRC gains Earnings are increasing Our 12-month price
price target of $35, a some cross-selling at a rapid enough pace objective for the ZRC
1.34 multiple of book benefit from its assoc. to fuel book value stock is $35, which
value which offers a with Centre Re and growth and propel the implies a 22% total
total return potential of Insurance Partners, but stock, which is currently return over 12 months.
15%. We rate the stock an investment in the at a discount to book, This price equals 1.3x
Buy. holding company that upward. estimated September
controls all three entities ...the company is being 30, 1997, book value of
would be much more constrained from $27.79.
interesting than a pure pursuing international
play on traditional U.S. opportunities, which are
reinsurance. in Zurich's province.
- -----------------------------------------------------------------------------------------------------------------------------------
RATING: Buy Neutral Outperform Buy
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
- 8 -
<PAGE> 14
ZRC OWNERSHIP PROFILE AS OF IPO
- --------------------------------------------------------------------------------
As of IPO Date, Zurich owned 57.5% of ZRC shares.
<TABLE>
<CAPTION>
TOP INSTITUTIONAL OWNERS SHARES HELD PERCENT
---------- -------
<S> <C> <C>
Fund American Enterprises Holdings 2,302,572 8.8%
Fidelity Management & Res. Corp. 300,000 1.2%
Sun Banks of Florida 175,000 0.7%
Glickenhaus & Co. 145,000 0.6%
American Capital Mgmt. & Res 125,000 0.5%
Atalanta/Sosnoff Capital 125,000 0.5%
Boston Company Inc. 125,000 0.5%
Investors Research Corp. 125,000 0.5%
Bristol John W. & Co. 125,000 0.5%
Putnam Management 125,000 0.5%
Other Institutional Owners 3,463,000 13.3%
---------- -----
TOTAL INSTITUTIONAL OWNERS 7,135,572 27.4%
SIGNIFICANT INSIDER OWNERS
John J. Byrne 75,643 0.3%
Steven M. Gluckstern 75,643 0.3%
Other Insiders 213,788 0.8%
---------- -----
TOTAL INSIDER OWNERS 365,074 1.4%
ZURICH CENTRE INVESTMENT LTD 15,000,000 57.5%
TOTAL RETAIL & OTHER 3,569,214 13.7%
---------- -----
TOTAL SHARES OUTSTANDING 26,069,860 100.0%
========== =====
</TABLE>
[PIE CHART]
<TABLE>
<S> <C>
RETAIL & OTHER 13.7%
ZURICH 57.5%
INSTITUTIONAL 27.4%
INSIDER 1.4%
</TABLE>
-9-
<PAGE> 15
CURRENT ZRC OWNERSHIP PROFILE
- --------------------------------------------------------------------------------
Only one of the original top ten institutional owners of ZRC is still in the top
ten. Zurich purchased Fund American's shares for $30.50 on 1/11/96 to increase
its holdings to 65.7%.
<TABLE>
<CAPTION>
TOP INSTITUTIONAL OWNERS SHARES HELD PERCENT
---------- -------
<S> <C> <C>
Price T. Rowe Associate 1,401,600 5.4%
Primecap Management Company 1,311,050 5.0%
Reich & Tang Asset Management 983,650 3.8%
Crabbe Huson Group Inc. 746,200 2.8%
Firstar Corporation 649,300 2.5%
Bristol John W. & Co. 478,368 1.8%
Seligman J. W. & Co. 295,367 1.1%
Barclays Bank plc 240,457 0.9%
Lockheed Martin Corp. 217,000 0.8%
Societe Gen Asset Management 165,000 0.6%
Other Institutional Owners 1,389,092 5.3%
---------- -----
TOTAL INSTITUTIONAL OWNERS 7,877,084 30.1%
SIGNIFICANT INSIDER OWNERS
John J. Byrne 150,000 0.6%
Steven M. Gluckstern 104,867 0.4%
Richard E. Smith 60,883 0.2%
Other Insiders 315,750 1.2%
---------- -----
TOTAL INSIDER OWNERS 631,500 2.4%
ZURICH CENTRE INVESTMENT LTD 17,217,572 65.7%
TOTAL RETAIL & OTHER 465,352 1.8%
---------- -----
TOTAL SHARES OUTSTANDING 26,191,508 100.0%
========== =====
</TABLE>
Source: CDA/Spectrum
[PIE CHART]
<TABLE>
<S> <C>
RETAIL & OTHER 1.8%
INSIDER 2.4%
ZURICH 65.7%
INSTITUTIONAL 30.1%
</TABLE>
-10-
<PAGE> 16
CHANGE IN INSTITUTIONAL OWNERSHIP
- --------------------------------------------------------------------------------
Very few of the original institutional holders of ZRC still own stock.
[CAPTION]
<TABLE>
INSTITUTIONAL HOLDER 6/96 3/96 12/95 9/95 6/95 3/95 12/94 9/94 6/94 3/94 12/93 9/93 6/93
- ----------------------- ----- ----- ----- ---- ---- ---- ----- ---- ---- ---- ----- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
PRICE T ROWE ASSOCIATE 1,402 1,558 1,065 722 549 382 - - - - - - -
PRIMECAP MGMT COMPANY 1,311 1,311 1,311 1,302 1,299 1,249 775 472 99 - - - -
REICH & TANG ASSET MGMT 984 1,040 972 962 968 970 999 1,017 1,017 1,003 686 165 10
CRABBE HUSON GROUP INC 746 717 668 669 384 90 90 90 90 25 - - -
FIRSTAR CORPORATION 649 620 - - - - - - - - - - -
BRISTOL JOHN W & CO 481 484 481 478 492 491 490 398 331 245 244 255 252
SELIGMAN J W & COMPANY 257 - - - - - - - - - - - -
BARCLAYS BANK PLC 240 - - - - - - - - - - - -
LOCKHEED MARTIN CORP 217 217 224 224 224 224 224 224 224 224 219 205 134
SOCIETE GEN ASSET MGMT 165 165 125 115 115 115 115 105 105 - - - -
STEINBERG ASSET MGMT CO 163 165 265 267 268 269 269 304 322 323 323 323 269
TOCQUEVILLE ASSET MGMT 135 99 - - - - - - - - - - -
FRANKLIN RESOURCES INC 103 103 1,374 1,445 1,828 1,828 1,841 1,841 1,843 1,843 1,495 785 3
TRAVELERS INC 95 41 25 32 1 1 1 1 1 - - - -
SOUTHERN FIDUCIARY GROUP 90 91 91 56 56 57 57 58 59 60 - - -
MORGAN J P & CO INC 89 59 17 17 13 13 - - - - - - -
HARVARD COLLEGE 88 88 100 100 100 100 100 100 100 260 260 260 260
MELLON BANK CORPORATION 75 69 67 67 68 75 69 69 55 221 251 - -
FIDELITY MGMT & RES CORP 55 - - - - - - - - - - - 141
NEW YORK ST COMMON RET. 53 38 2 - - - 2 - - - - - -
CALIF STATE TEACHERS RET 47 47 47 47 41 40 35 35 35 2 - - -
STATE STREET BOSTON CORP 36 55 38 37 37 20 16 - - - - - -
DIMENSIONAL FUND ADVS. 34 32 - - - - - - - - - - -
GRANTHAM MAYO VAN OTTEI 33 33 38 10 - - 10 10 10 - - 8 8
EQUITABLE COMPANIES INC 21 6 4 4 4 6 2 4 - - - - -
RUSSELL FRANK CO INC 16 17 - 18 - - - - - - - - -
QUEST ADVISORY CO 16 38 138 173 173 173 243 270 315 315 139 70 -
DUNCAN-HURST CAP MGMT 12 - - - - - - - - - - - -
INVESCO MGMT & RES INC 11 11 11 - - - - - - - - - -
GTE INVT. MGMT. CORP. 9 - - - - - - - - - - - -
MORGAN STANLEY GROUP INC 9 - - - - - - - - - - - -
BANKERS TRUST NY CORP 9 21 25 26 19 18 11 11 - - 2 25 72
BANK OF NEW YORK 3 - - - - - - - - - 11 11 11
TEACHERS INS & ANN/AMER 3 2 1 1 - - - - - - - - -
KEYCORP 2 7 9 7 7 7 - - - - - - -
ANB INVESTMENT MGMT & TR 2 1 - 10 3 4 2 - - - - - -
COLLEGE RETIRE EQUITIES 1 1 1 1 - - - - - - - - -
BROWN ALEX INC 1 - - - - - - - - - - - -
BZW BARCLAYS GLBL INVTS - 250 222 213 150 145 146 144 244 220 209 186 -
BOSTON PTNRS ASSET MGMT - 106 106 - - - - - - - - - -
BROWN ALEX & SONS INC - 3 3 4 13 17 22 40 46 49 40 - 25
BZW BARCLAYS GLBL FD ADV - 1 0 0 0 - - - - - - - -
FUND AMERICAN ENTR HLDGS - - 2,043 2,303 303 303 303 303 303 303 303 2,303 2,303
GE INVESTMENT CORP - - 20 20 20 35 35 35 35 35 35 - -
GREAT WEST LIFE ASSUR CO - - 0 - - - - - - - - - -
FIRST INTERSTATE BANCORP - - - 582 352 83 93 93 93 10 1 2 6
WELLINGTON MANAGEMENT ( - - - 87 - - - - 3 3 - - -
FENIMORE ASSET MGMT INC - - - 85 120 120 120 120 120 120 120 120 -
KALMAR INVESTMENTS INC - - - 15 15 15 - - - - - - -
SCHRODER CAP MGT INT LTD - - - 5 - 5 5 5 5 5 5 5 -
WILMINGTON TRUST COMPANY - - - 1 - - - - - - - - -
WHITE RIVER CORP - - - - 2,000 2,000 2,000 2,000 2,000 2,000 2,000 - -
RBS PARTNERS LP - - - - 215 - - - - - - - -
PUTNAM INVESTMENT MGMT - - - - 70 457 476 439 441 232 354 268 273
WILSHIRE ASSOC INC - - - - 61 22 100 95 28 30 20 13 -
RCM CAPITAL MANAGEMENT - - - - 28 28 43 43 49 66 387 526 -
SCHWAB CHARLES INVT MGM - - - - 3 3 3 3 3 4 - - -
NORTHERN TRUST CORP - - - - - 7 - - - - - - -
OLYMPIC CAPITAL MGMT - - - - - - 184 183 179 150 - - -
AETNA LIFE INS & ANNUITY - - - - - - 6 - - - - - -
CULLEN/FROST BANKERS INC - - - - - - 0 0 0 - - - -
LEGAL & GENERAL GROUP - - - - - - - - 211 211 307 - -
EATON VANCE MANAGEMENT - - - - - - - - 87 87 87 87 87
ROCKEFELLER FINL SVCS - - - - - - - - 15 - 59 74 104
CIGNA CORPORATION - - - - - - - - 8 8 - - -
CITICORP - - - - - - - - - 21 22 52 64
FIRST MANHATTAN CO - - - - - - - - - 13 17 20 33
SMITH BARNEY SHEARSON - - - - - - - - - 5 21 12 1
WEISS PECK & GREER - - - - - - - - - 3 187 459 679
CASHMAN FARRELL & ASSOC - - - - - - - - - 2 2 10 17
ATALANTA/SOSNOFF CAPITAL - - - - - - - - - - 180 272 286
NEUBERGER&BERM INST ASST - - - - - - - - - - 113 124 60
LOOMIS SAYLES & COMPANY - - - - - - - - - - 66 121 211
GREENHAVEN ASSOCS., INC. - - - - - - - - - - 32 - -
STATE STREET RESR & MGMT - - - - - - - - - - 28 412 400
ROCKEFELLER UNIVERSITY - - - - - - - - - - 27 32 32
BALLENTINE CAP MGMT INC - - - - - - - - - - 20 20 44
NEUBERGER & BERMAN - - - - - - - - - - 14 35 21
NORWEST BK MINNESOTA N A - - - - - - - - - - 13 - -
LASALLE NATL TRUST N A - - - - - - - - - - 11 14 18
GRUBER & MCBAINE CAP MGT - - - - - - - - - - 4 - -
FIRST SOURCE BANK - - - - - - - - - - 0 5 5
BOSTON COMPANY INC - - - - - - - - - - - 549 248
COOPERMAN, LEON G - - - - - - - - - - - 267 284
OPPENHEIMER MGMT. CORP. - - - - - - - - - - - 126 126
VALLEY TRUST CO/WISC - - - - - - - - - - - 36 -
CS FIRST BOSTON INC - - - - - - - - - - - 31 37
LEHMAN BROTHERS HLDGS - - - - - - - - - - - 7 -
SOROS FUND MANAGEMENT C - - - - - - - - - - - 7 79
SUNBANK CAP MGMT N A - - - - - - - - - - - 2 2
HELLMAN JORDAN MGMT CO - - - - - - - - - - - - 214
TWENTIETH CENTURY COS - - - - - - - - - - - - 165
THOMPSON PLUMB & ASSOCS - - - - - - - - - - - - 77
PROVIDENT INVT COUNSEL - - - - - - - - - - - - 61
LEVIN, JOHN A & CO. INC. - - - - - - - - - - - - 49
WINCHESTER CAPITAL MGMT. - - - - - - - - - - - - 32
SHEARSON LEHMAN BROTHER - - - - - - - - - - - - 24
GLICKENHAUS & CO. - - - - - - - - - - - - 23
MESIROW ASSET MGMT INC - - - - - - - - - - - - 21
BARON CAPITAL INC - - - - - - - - - - - - 15
WACHOVIA CORPORATION - - - - - - - - - - - - 9
NATIONAL CITY BK/NO WEST - - - - - - - - - - - - 7
WELLS FARGO & COMPANY - - - - - - - - - - - - 7
SOCIETY CORP - - - - - - - - - - - - 4
</TABLE>
-11-
<PAGE> 17
Exhibit 3
- --------------------------------------------------------------------------------
VALUATION ANALYSIS
-12 -
<PAGE> 18
VALUATION SUMMARY
- --------------------------------------------------------------------------------
Based on a variety of valuation methodologies, the median valuation for ZRC's
stock is $33.20 per share.
<TABLE>
<CAPTION>
VALUATION METHODOLOGY LOW MEDIAN HIGH
--------------------- --- ------ ----
<S> <C> <C> <C>
Public Comparable Company Analysis $32.87 $33.20 $33.53
Premiums Paid Analysis 33.44 36.21 38.98
DCF Analysis: Book Value Multiple 27.96 31.58 35.19
DCF Analysis: Net Income Multiple 23.59 25.94 28.28
Intrinsic Value Analysis(1) (as of 12/31/96) 34.18 34.18 34.18
MEDIAN VALUATION $32.87 $33.20 $34.18
</TABLE>
- ---------------
(1) As per updated ZRC management projections.
-13 -
<PAGE> 19
ANALYSIS AT VARIOUS PRICES
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MULTIPLE OF
--------------------------------------------------------------------------------------------------------
ZRC 6/30/96 GAAP CAPITAL AND STATUTORY
STOCK LTM EPS 1996 EPS(1) 1997 EPS(1) BOOK VALUE SURPLUS NET INCOME
PRICE $0.82 $1.18 $1.70 $26.11 $657.2 $6.1
----- ---- ---- ---- ---- ---- -----
<S> <C> <C> <C> <C> <C> <C>
$31.00(2) 37.8x 26.3x 18.2x 1.19x 1.54x 165.6x
32.00 39.0 27.1 18.8 1.23 1.58 169.9
33.00 40.2 28.0 19.4 1.26 1.62 174.2
34.00 41.5 28.8 20.0 1.30 1.66 178.5
35.00 42.7 29.7 20.6 1.34 1.70 182.8
36.00 43.9 30.5 21.2 1.38 1.74 187.1
37.00 45.1 31.4 21.8 1.42 1.78 191.4
38.00 46.3 32.2 22.4 1.46 1.82 195.7
39.00 47.6 33.1 22.9 1.49 1.86 200.0
40.00 48.8 33.9 23.5 1.53 1.90 204.3
41.00 50.0 34.7 24.1 1.57 1.94 208.6
42.00 51.2 35.6 24.7 1.61 1.98 212.9
43.00 52.4 36.4 25.3 1.65 2.02 217.2
44.00 53.7 37.3 25.9 1.69 2.06 221.4
45.00 54.9 38.1 26.5 1.72 2.10 225.7
</TABLE>
- --------------
(1) As per updated ZRC management projections.
(2) ZRC stock price as of ll/15/96.
- 14 -
<PAGE> 20
PUBLIC COMPARABLE COMPANY ANALYSIS
- --------------------------------------------------------------------------------
The valuation range based on public comparable company analysis is $32.87 to
$33.53 per share.
The comparable companies have been divided into two groups:
- - Highly capitalized companies, given ZRC's high capital base relative to
business written. The group consists exclusively of property
catastrophe reinsurance companies, most of which are located in
Bermuda.
- - Mature property and casualty broker market reinsurance companies, which
more closely match ZRC's business mix than property catastrophe
reinsurance companies found in the above group.
Given that ZRC is highly capitalized, DLJ believes that the most relevant
valuation parameter is price/book.
<TABLE>
<CAPTION>
ZRC HIGHLY CAP. ZRC REINSURANCE ZRC
LTM COMPANIES IMPLIED COMPANIES IMPLIED
VALUATION PARAMETERS RESULTS MEDIAN(1) VALUATION MEDIAN(2) VALUATION
- -------------------- ------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
GAAP Price/
LTM Net Operating EPS $ 0.82 6.4x $ 5.23 13.6x $ 11.11
1996 Net Operating EPS (3) 1.18 6.4 7.59 11.8 13.94
1997 Net Operating EPS (3) 1.70 6.3 10.77 10.4 17.73
BOOK VALUE PER SHARE $ 26.11 1.26x $ 32.87 1.28x $ 33.53
Enterprise Value/
Statutory 1995 Net Income $ 6.1 7.lx ($ 5.90) 16.0x ($ 3.84)
1995 Capital and Surplus 657.2 1.30 25.05 1.75 36.41
</TABLE>
- -----------------
(1) Companies include: GCR, IPC, LaSalle Re, Mid Ocean, PartnerRe, PXRE and
RenaissanceRe.
(2) Companies include: Chartwell, Everest, NAC Re, Transatlantic and
Trenwick.
(3) As per ZRC management projections.
- 15 -
<PAGE> 21
PREMIUMS PAID IN SQUEEZE-OUT TRANSACTIONS
- --------------------------------------------------------------------------------
A premiums paid analysis of 47 selected transactions since 1990, suggests a
valuation range of $33.44 to $38.98 per share based on the most often referred
to time horizons: 1 day, 1 month and LTM high.
The valuation range assumes that Zurich will pay cash to purchase the ZRC
minority interest. Premiums paid in cash transactions are typically greater than
in stock transactions, given the continuing upside potential of receiving an
acquiror's stock.
<TABLE>
<CAPTION>
STOCK PRICE PREMIUM PRIOR TO ANNOUNCEMENT DATE
---------------------------------------------------------------------------------------------------
1 DAY 1 WEEK 1 MONTH 3 MONTHS 6 MONTHS LTM AVG. LTM HIGH LTM HIGH(1)
-------- ------- -------- ------- ------- -------- -------------- --------------
11/15/96 11/8/96 10/15/96 8/15/96 5/15/96 10/15/96 SINCE 11/15/96 SINCE 10/15/96
-------- ------- -------- ------- ------- -------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
ZRC Price $31.00 $31.50 $30.50 $28.75 $31.25 $30.51 $32.63 $32.63
CASH CONSIDERATION (32 DEALS)
Median 23.7% 26.7% 31.1% 32.9% 35.9% 25.1% 2.5% 5.9%
Purchase Price $38.34 $39.90 $39.98 $38.22 $42.46 $38.18 $33.44 $34.54
STOCK CONSIDERATION (15 DEALS)
Median 11.3% 16.6% 22.7% 10.3% 19.9% 11.1% (16.0%) (4.8%)
Purchase Price $34.51 $36.73 $37.43 $31.70 $37.47 $33.89 $27.41 $31.04
ALL DEALS
Median 19.4% 22.3% 26.1% 27.8% 30.2% 22.7% (1.2%) 1.6%
Purchase Price $37.01 $38.52 $38.46 $36.74 $40.67 $37.43 $32.23 $33.15
</TABLE>
- ----------------
(1) LTM high excluding previous month.
- 16 -
<PAGE> 22
DISCOUNTED CASH FLOW ANALYSIS
- --------------------------------------------------------------------------------
Based on terminal book value multiples, a DCF analysis yields a $27.96 to $35.19
per share valuation. Based on terminal net income multiples, a DCF analysis
yields a $23.59 to $28.28 per share valuation.
<TABLE>
<CAPTION>
1996 1997 1998 1999 2000 2001 2002
-------- -------- -------- -------- -------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
GAAP Net Earnings $ 23,706 $ 52,197 $ 64,684 $ 77,996 $ 91,338 $ 105,465 $ 120,470
GAAP Book Value 692,562 742,140 804,464 880,307 969,627 1,073,196 1,191,888
</TABLE>
<TABLE>
<CAPTION>
TERMINAL BOOK VALUE MULTIPLE
------------------------------------------
1.4x 1.6x 1.8x
------------------------------------------
<S> <C> <C> <C> <C>
13% $30.60 $34.97 $39.34
DISCOUNT 15% 27.54 31.48 35.41
RATE 17% 24.84 28.38 31.93
</TABLE>
<TABLE>
<S> <C>
Projected 2002 Book Value $1,191,888
Multiple 1.60x
Terminal Value $1,907,021
Cost of Equity 15.0%
Present Value 824,458
Shares 26,192
Present Value per Share $31.48
</TABLE>
<TABLE>
<CAPTION>
TERMINAL NET INCOME MULTIPLE
------------------------------------------
12.0x 13.0x 14.0x
------------------------------------------
<S> <C> <C> <C> <C>
13% $26.51 $28.72 $30.93
DISCOUNT 15% 23.86 25.85 27.84
RATE 17% 21.52 23.31 25.10
</TABLE>
<TABLE>
<S> <C>
Projected 2002 Net Income $120,470
Multiple 13.0x
Terminal Value $1,566,110
Cost of Equity 15.0%
Present Value 677,073
Shares 26,192
Present Value per Share $25.85
</TABLE>
Note: DCF discounted to December 31, 1996. Valuation ranges determined by
averaging the two lowest and two highest numbers in the shaded regions above.
- 17 -
<PAGE> 23
Exhibit 4
- --------------------------------------------------------------------------------
IMPACT ON ZURICH
- 18 -
<PAGE> 24
ACCRETION / DILUTION ANALYSIS
- --------------------------------------------------------------------------------
Because of the small size of ZRC in relation to Zurich, the Transaction will
have a modest impact if any on Zurich's EPS.
The transaction is based on many assumptions, including that Zurich pays for ZRC
with internally generated funds that yield 7% pre-tax interest and that goodwill
created is amortized over 40 years.
<TABLE>
<CAPTION>
OFFER PRICE PER SHARE
--------------------------------------------------------------------------------------------------
$32.94 $34.00 $36.00 $38.00 $40.00 $42.00 $44.00
---------- ----------- ----------- ----------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
1997E Stand-alone EPS SFr 26.10 SFr 26.10 SFr 26.10 SFr 26.10 SFr 26.10 SFr 26.10 SFr 26.10
1997E Pro Forma EPS 26.10 26.09 26.07 26.04 26.02 26.00 25.97
1997E Accretion / (Dilution) 0.00% (0.05%) (0.13%) (0.22%) (0.31%) (0.40%) (0.48%)
</TABLE>
- 19 -
<PAGE> 25
Accretion / Dilution Analysis
- --------------------------------------------------------------------------------
100% cash transaction at $40.00 per share offer price for illustrative purposes.
($ and SFr in millions, except per share amounts)
<TABLE>
<CAPTION>
1997E 1998E 1999E
-------- -------- --------
<S> <C> <C> <C>
Zurich Projected EPS(1) SFr 26.10 NA NA
Zurich Shares 45.5
Zurich Net Income SFr 1,187.8
ZRC Projected EPS (1) $ 1.70 $ 2.16 $ 2.64
ZRC Shares 26.2 26.2 26.2
-------- -------- --------
ZRC Net Income $ 44.5 $ 56.6 $ 69.1
Minority Interest 15.3 19.4 23.7
New Goodwill Amort. (3.4) (3.4) (3.4)
New Interest Expense 0.0 0.0 0.0
ZRC Interest Savings 0.0 0.0 0.0
Lost Interest Income (25.5) (27.3) (27.4)
Income Taxes 9.2 9.8 9.9
-------- -------- --------
PRO FORMA BENEFIT (LOSS) $ (4.4) $ (1.4) $ 2.8
======== ======== ========
Exchange Rate 1.2035
Pro Forma Benefit (Loss) SFr(3.7)
Zurich PF Net Income SFr 1,184.1
Zurich PF Shares 45.5
Zurich PF EPS SFr 26.02
ACCRETION/(DILUTION) (0.31%)
</TABLE>
<TABLE>
<CAPTION>
ASSUMPTIONS
- ----------------------------------------
<S> <C>
Debt Interest Rate 3.5%
Cash Interest Rate 7.0%
ZRC Interest Rate 7.1%
Zurich Tax Rate 36.0%
Zurich Price SFr 369.00
</TABLE>
<TABLE>
<CAPTION>
USES OF FUNDS
- ------------------------------------------
<S> <C>
Aggregate Cost of Acquisition
ZRC Shares 26.2
Owned by Zurich 65.7%
------
Public Shares 9.0
Purchase Price $40.00
------
Total Purchase Equity $359.3
Transaction Expenses 5.0
------
Aggregate Cost 364.3
Debt Refinanced 0.0
------
Total Uses $364.3
======
</TABLE>
<TABLE>
<CAPTION>
SOURCES OF FUNDS
- ------------------------------------------
<S> <C>
Issuance of Shares $0.0
Issuance of Debt 0.0
Excess Cash 364.3
------
Total Sources $364.3
======
</TABLE>
<TABLE>
<CAPTION>
GOODWILL CALCULATION
- ------------------------------------------
<S> <C>
Aggregate Cost $364.3
Less: Minority Interest (2) (229.5)
------
Goodwill Created $134.8
======
Amortization Period 40 Years
</TABLE>
- ------------
(1) Zurich projections are from IBES and ZRC projections are from ZRC
management.
(2) Estimate.
- 20 -
<PAGE> 26
Exhibit 5
- -----------------------------------------------------------------------------
IMPACT ON ZRC SHAREHOLDERS
- 21 -
<PAGE> 27
TRADING VOLUME RANGE ANALYSIS
- --------------------------------------------------------------------------------
Excluding Zurich's shares in ZRC, 95.4% of the remaining shares have traded in
the last two years.
<TABLE>
<CAPTION>
LOW AVERAGE HIGH % TRADED (1) % TRADED (2)
- ------ ------- ------ ------------ ------------
<S> <C> <C> <C> <C>
$28.13 $30.45 $32.63 19.7% 57.4%
$25.00 $29.69 $32.63 32.7% 95.4%
$24.25 $31.28 $36.38 116.6% 340.4%
</TABLE>
- ----------------
(1) Note: % Traded = Total Volume Traded over Time Period / Shares
Outstanding.
(2) Excludes 17.2 million shares that Zurich owns.
- 22 -
<PAGE> 28
RETURN TO ZRC SHAREHOLDERS
- -----------------------------------------------------------------------------
Over the last two years, almost 100% of the float has traded (see previous
page), which implies a 10%-20% annualized return(1) to most current
shareholders of ZRC based on a $35 offer price.
<TABLE>
<CAPTION>
DATE CLOSING STOCK PRICE IRR AT $35 OFFER PRICE IRR AT $40 OFFER PRICE
---- ------------------- ---------------------- ----------------------
<S> <C> <C> <C>
5/12/93 $35.000 0.0% 3.7%
5/13/93 $35.000 0.0% 3.6%
5/14/93 $35.000 0.0% 3.7%
5/17/93 $34.375 0.5% 4.3%
5/18/93 $32.750 1.9% 5.7%
5/19/93 $32.875 1.7% 5.6%
5/20/93 $32.750 1.9% 5.7%
5/21/93 $33.125 1.5% 5.4%
5/24/93 $32.750 1.9% 5.7%
5/25/93 $32.500 2.1% 5.9%
5/26/93 $31.625 2.9% 6.7%
5/27/93 $32.625 2.0% 5.8%
5/28/93 $32.375 2.2% 6.1%
6/1/93 $32.500 2.1% 6.0%
6/2/93 $32.250 2.3% 6.2%
6/3/93 $32.250 2.3% 6.2%
6/4/93 $32.125 2.4% 6.3%
6/7/93 $31.875 2.7% 6.6%
6/8/93 $31.750 2.8% 6.7%
6/9/93 $31.750 2.8% 6.7%
6/10/93 $31.625 2.9% 6.8%
6/11/93 $31.500 3.0% 6.9%
6/14/93 $32.625 2.0% 5.9%
6/15/93 $32.500 2.1% 6.0%
6/16/93 $32.500 2.1% 6.0%
6/17/93 $32.375 2.2% 6.2%
6/18/93 $32.250 2.3% 6.3%
6/21/93 $31.875 2.7% 6.6%
6/22/93 $31.500 3.0% 7.0%
6/23/93 $31.125 3.4% 7.4%
6/24/93 $30.375 4.1% 8.1%
6/25/93 $30.125 4.4% 8.4%
6/28/93 $31.000 3.5% 7.5%
6/29/93 $30.750 3.8% 7.8%
6/30/93 $32.250 2.4% 6.3%
7/1/93 $33.750 1.0% 5.0%
7/2/93 $32.250 2.4% 6.3%
7/6/93 $31.625 2.9% 7.0%
7/7/93 $31.625 3.0% 7.0%
7/8/93 $32.000 2.6% 6.6%
7/9/93 $32.625 2.0% 6.0%
7/12/93 $32.750 1.9% 5.9%
7/13/93 $32.625 2.0% 6.0%
7/14/93 $33.000 1.7% 5.7%
7/15/93 $32.875 1.8% 5.8%
7/16/93 $32.500 2.2% 6.2%
7/19/93 $32.250 2.4% 6.4%
7/20/93 $32.750 1.9% 6.0%
7/21/93 $32.750 1.9% 6.0%
7/22/93 $33.000 1.7% 5.7%
7/23/93 $33.000 1.7% 5.7%
7/26/93 $32.875 1.8% 5.9%
7/27/93 $33.125 1.6% 5.6%
7/28/93 $33.000 1.7% 5.8%
7/29/93 $33.500 1.3% 5.3%
7/30/93 $33.500 1.3% 5.3%
8/2/93 $33.625 1.2% 5.2%
8/3/93 $33.750 1.1% 5.1%
8/4/93 $34.000 0.9% 4.9%
8/5/93 $33.875 1.0% 5.0%
8/6/93 $33.500 1.3% 5.3%
8/9/93 $33.500 1.3% 5.4%
8/10/93 $33.000 1.7% 5.8%
8/11/93 $33.000 1.7% 5.8%
8/12/93 $33.250 1.5% 5.6%
8/13/93 $33.250 1.5% 5.6%
8/16/93 $33.750 1.1% 5.2%
8/17/93 $33.625 1.2% 5.3%
8/18/93 $33.375 1.4% 5.5%
8/19/93 $33.375 1.4% 5.5%
8/20/93 $33.500 1.3% 5.4%
8/23/93 $33.500 1.3% 5.4%
8/24/93 $33.500 1.3% 5.4%
8/25/93 $33.625 1.2% 5.3%
8/26/93 $33.125 1.7% 5.8%
8/27/93 $32.625 2.1% 6.3%
8/30/93 $32.500 2.2% 6.4%
8/31/93 $32.625 2.1% 6.3%
9/1/93 $32.250 2.5% 6.7%
9/2/93 $31.750 3.0% 7.2%
9/3/93 $31.750 3.0% 7.2%
9/7/93 $31.625 3.1% 7.3%
9/8/93 $31.500 3.2% 7.5%
9/9/93 $31.250 3.5% 7.7%
9/10/93 $31.250 3.5% 7.7%
9/13/93 $31.500 3.2% 7.5%
9/14/93 $31.375 3.4% 7.6%
9/15/93 $31.625 3.1% 7.4%
9/16/93 $31.375 3.4% 7.7%
</TABLE>
<PAGE> 29
<TABLE>
<S> <C> <C> <C>
9/17/93 $31.250 3.5% 7.8%
9/20/93 $31.250 3.5% 7.8%
9/21/93 $30.750 4.0% 8.3%
9/22/93 $31.250 3.5% 7.8%
9/23/93 $31.250 3.5% 7.8%
9/24/93 $31.000 3.8% 8.1%
9/27/93 $31.250 3.5% 7.9%
9/28/93 $31.125 3.7% 8.0%
9/29/93 $31.125 3.7% 8.0%
9/30/93 $31.250 3.5% 7.9%
10/1/93 $31.125 3.7% 8.0%
10/4/93 $31.188 3.6% 8.0%
10/5/93 $31.500 3.3% 7.6%
10/6/93 $32.000 2.8% 7.1%
10/7/93 $32.750 2.1% 6.4%
10/8/93 $32.500 2.3% 6.6%
10/11/93 $32.750 2.1% 6.4%
10/12/93 $32.750 2.1% 6.4%
10/13/93 $32.625 2.2% 6.5%
10/14/93 $31.750 3.1% 7.4%
10/15/93 $32.000 2.8% 7.2%
10/18/93 $32.000 2.8% 7.2%
10/19/93 $31.500 3.3% 7.7%
10/20/93 $31.750 3.1% 7.5%
10/21/93 $31.375 3.5% 7.9%
10/22/93 $31.500 3.4% 7.8%
10/25/93 $31.375 3.5% 7.9%
10/26/93 $31.125 3.8% 8.2%
10/27/93 $31.000 3.9% 8.3%
10/28/93 $31.000 3.9% 8.4%
10/29/93 $31.000 3.9% 8.4%
11/1/93 $30.500 4.4% 8.9%
11/2/93 $30.250 4.7% 9.2%
11/3/93 $29.500 5.6% 10.1%
11/4/93 $29.500 5.6% 10.1%
11/5/93 $29.750 5.3% 9.8%
11/8/93 $30.000 5.0% 9.6%
11/9/93 $29.750 5.3% 9.9%
11/10/93 $29.750 5.3% 9.9%
11/11/93 $30.250 4.8% 9.3%
11/12/93 $30.375 4.6% 9.2%
11/15/93 $30.500 4.5% 9.1%
11/16/93 $30.625 4.4% 8.9%
11/17/93 $31.000 4.0% 8.5%
11/18/93 $30.500 4.5% 9.1%
11/19/93 $30.375 4.7% 9.2%
11/22/93 $30.250 4.8% 9.4%
11/23/93 $29.750 5.4% 10.0%
11/24/93 $29.625 5.5% 10.2%
11/26/93 $30.000 5.1% 9.7%
11/29/93 $30.000 5.1% 9.8%
11/30/93 $29.875 5.3% 9.9%
12/1/93 $30.000 5.1% 9.8%
12/2/93 $30.000 5.1% 9.8%
12/3/93 $30.000 5.1% 9.8%
12/6/93 $30.000 5.1% 9.8%
12/7/93 $29.750 5.4% 10.1%
12/8/93 $29.500 5.7% 10.4%
12/9/93 $29.375 5.9% 10.6%
12/10/93 $29.125 6.2% 10.9%
12/13/93 $28.625 6.8% 11.6%
12/14/93 $28.375 7.1% 11.9%
12/15/93 $28.375 7.1% 11.9%
12/16/93 $27.750 7.9% 12.8%
12/17/93 $27.250 8.6% 13.5%
12/20/93 $27.625 8.1% 13.0%
12/21/93 $27.875 7.8% 12.7%
12/22/93 $28.250 7.3% 12.2%
12/23/93 $27.750 8.0% 12.8%
12/27/93 $27.500 8.3% 13.2%
12/28/93 $27.625 8.2% 13.1%
12/29/93 $28.000 7.7% 12.6%
12/30/93 $28.250 7.4% 12.3%
12/31/93 $28.125 7.6% 12.4%
</TABLE>
<PAGE> 30
<TABLE>
<S> <C> <C> <C>
1/3/94 $28.375 7.3% 12.1%
1/4/94 $27.500 8.4% 13.3%
1/5/94 $27.250 8.7% 13.7%
1/6/94 $27.000 9.1% 14.1%
1/7/94 $27.250 8.8% 13.7%
1/10/94 $27.000 9.1% 14.1%
1/11/94 $26.750 9.5% 14.5%
1/12/94 $26.875 9.3% 14.3%
1/13/94 $26.875 9.3% 14.3%
1/14/94 $26.625 9.7% 14.7%
1/17/94 $26.750 9.5% 14.6%
1/18/94 $26.875 9.4% 14.4%
1/19/94 $26.875 9.4% 14.4%
1/20/94 $27.000 9.2% 14.3%
1/21/94 $26.750 9.6% 14.6%
1/24/94 $26.750 9.6% 14.7%
1/25/94 $26.875 9.4% 14.5%
1/26/94 $26.625 9.8% 14.9%
1/27/94 $26.500 10.0% 15.1%
1/28/94 $26.625 9.8% 14.9%
1/31/94 $26.875 9.5% 14.6%
2/1/94 $26.875 9.5% 14.6%
2/2/94 $26.750 9.7% 14.8%
2/3/94 $27.500 8.6% 13.7%
2/4/94 $27.000 9.3% 14.5%
2/7/94 $26.875 9.5% 14.7%
2/8/94 $27.250 9.0% 14.2%
2/9/94 $27.250 9.0% 14.2%
2/10/94 $27.250 9.0% 14.2%
2/11/94 $27.250 9.1% 14.2%
2/14/94 $27.375 8.9% 14.1%
2/15/94 $27.250 9.1% 14.3%
2/16/94 $27.000 9.4% 14.7%
2/17/94 $26.500 10.2% 15.4%
2/18/94 $26.500 10.2% 15.4%
2/22/94 $26.250 10.6% 15.9%
2/23/94 $26.125 10.8% 16.1%
2/24/94 $26.000 11.0% 16.3%
2/25/94 $26.125 10.8% 16.1%
2/28/94 $26.250 10.7% 16.0%
3/1/94 $26.375 10.5% 15.8%
3/2/94 $25.875 11.2% 16.6%
3/3/94 $25.625 11.6% 17.0%
3/4/94 $25.500 11.8% 17.2%
3/7/94 $25.250 12.3% 17.7%
3/8/94 $25.125 12.5% 17.9%
3/9/94 $25.000 12.7% 18.2%
3/10/94 $24.750 13.1% 18.6%
3/11/94 $24.375 13.7% 19.3%
3/14/94 $25.250 12.4% 17.8%
3/15/94 $25.250 12.4% 17.9%
3/16/94 $25.625 11.8% 17.3%
3/17/94 $25.750 11.6% 17.1%
3/18/94 $25.875 11.4% 16.9%
3/21/94 $26.625 10.3% 15.7%
3/22/94 $26.750 10.1% 15.6%
3/23/94 $26.750 10.2% 15.6%
3/24/94 $26.750 10.2% 15.6%
3/25/94 $26.875 10.0% 15.4%
3/28/94 $27.000 9.8% 15.3%
3/29/94 $26.500 10.6% 16.1%
3/30/94 $26.500 10.6% 16.1%
3/31/94 $26.375 10.8% 16.3%
4/4/94 $25.875 11.6% 17.2%
4/5/94 $26.000 11.4% 17.0%
4/6/94 $26.000 11.5% 17.0%
4/7/94 $26.500 10.7% 16.2%
4/8/94 $26.375 10.9% 16.5%
4/11/94 $26.250 11.1% 16.7%
4/12/94 $26.500 10.8% 16.3%
4/13/94 $26.000 11.5% 17.2%
4/14/94 $26.000 11.6% 17.2%
4/15/94 $26.000 11.6% 17.2%
4/18/94 $25.875 11.8% 17.5%
4/19/94 $26.000 11.6% 17.3%
4/20/94 $25.875 11.8% 17.5%
4/21/94 $25.750 12.0% 17.7%
4/22/94 $25.750 12.1% 17.7%
4/25/94 $25.750 12.1% 17.8%
4/26/94 $25.625 12.3% 18.0%
4/28/94 $25.750 12.1% 17.9%
4/29/94 $25.500 12.6% 18.3%
5/2/94 $25.500 12.6% 18.4%
5/3/94 $25.500 12.6% 18.4%
5/4/94 $25.375 12.8% 18.6%
5/5/94 $25.625 12.4% 18.2%
5/6/94 $25.500 12.7% 18.5%
5/9/94 $25.500 12.7% 18.5%
</TABLE>
<PAGE> 31
<TABLE>
<S> <C> <C> <C>
5/10/94 $25.500 12.7% 18.5%
5/11/94 $25.125 13.4% 19.2%
5/12/94 $24.625 14.2% 20.2%
5/13/94 $24.875 13.8% 19.7%
5/16/94 $25.125 13.4% 19.3%
5/17/94 $25.000 13.7% 19.6%
5/18/94 $25.125 13.5% 19.4%
5/19/94 $25.375 13.0% 19.0%
5/20/94 $25.125 13.5% 19.4%
5/23/94 $25.250 13.3% 19.3%
5/24/94 $25.500 12.9% 18.8%
5/25/94 $25.375 13.1% 19.1%
5/26/94 $25.375 13.2% 19.1%
5/27/94 $25.750 12.5% 18.5%
5/31/94 $25.625 12.8% 18.8%
6/1/94 $25.750 12.6% 18.6%
6/2/94 $26.375 11.6% 17.5%
6/3/94 $26.125 12.0% 17.9%
6/6/94 $26.125 12.0% 18.0%
6/7/94 $25.875 12.5% 18.5%
6/8/94 $26.000 12.3% 18.3%
6/9/94 $26.000 12.3% 18.3%
6/10/94 $26.000 12.3% 18.3%
6/13/94 $26.375 11.7% 17.7%
6/14/94 $26.625 11.3% 17.3%
6/15/94 $27.125 10.5% 16.5%
6/16/94 $27.000 10.7% 16.7%
6/17/94 $27.250 10.3% 16.3%
6/20/94 $27.250 10.4% 16.4%
6/21/94 $27.250 10.4% 16.4%
6/22/94 $27.125 10.6% 16.6%
6/23/94 $26.625 11.4% 17.5%
6/24/94 $26.500 11.7% 17.7%
6/27/94 $26.500 11.7% 17.8%
6/28/94 $26.750 11.3% 17.4%
6/29/94 $27.250 10.5% 16.5%
6/30/94 $26.875 11.1% 17.2%
7/1/94 $27.125 10.7% 16.8%
7/5/94 $27.250 10.6% 16.6%
7/6/94 $27.250 10.6% 16.7%
7/7/94 $27.500 10.2% 16.3%
7/8/94 $27.375 10.4% 16.5%
7/11/94 $27.500 10.2% 16.3%
7/12/94 $27.500 10.2% 16.4%
7/13/94 $27.375 10.5% 16.6%
7/14/94 $27.375 10.5% 16.6%
7/15/94 $27.375 10.5% 16.6%
7/18/94 $27.500 10.3% 16.5%
7/19/94 $27.500 10.3% 16.5%
7/20/94 $27.625 10.1% 16.3%
7/21/94 $27.500 10.3% 16.5%
7/22/94 $27.500 10.4% 16.6%
7/25/94 $27.250 10.8% 17.0%
7/26/94 $27.250 10.8% 17.1%
7/27/94 $27.125 11.0% 17.3%
7/28/94 $27.000 11.3% 17.6%
7/29/94 $27.250 10.9% 17.1%
8/1/94 $27.125 11.1% 17.4%
8/2/94 $27.000 11.3% 17.7%
8/3/94 $27.000 11.4% 17.7%
8/4/94 $27.063 11.3% 17.6%
8/5/94 $27.250 11.0% 17.3%
8/8/94 $27.250 11.0% 17.3%
8/9/94 $27.375 10.8% 17.1%
8/10/94 $27.250 11.0% 17.4%
8/11/94 $27.375 10.8% 17.2%
8/12/94 $27.125 11.3% 17.7%
8/15/94 $27.250 11.1% 17.5%
8/16/94 $27.375 10.9% 17.3%
8/17/94 $27.250 11.1% 17.5%
8/18/94 $27.250 11.1% 17.6%
8/19/94 $27.375 10.9% 17.4%
8/22/94 $27.000 11.6% 18.1%
8/23/94 $27.000 11.6% 18.1%
8/24/94 $27.375 11.0% 17.5%
8/25/94 $27.250 11.2% 17.7%
8/26/94 $27.375 11.0% 17.5%
8/29/94 $27.500 10.8% 17.3%
8/30/94 $27.375 11.1% 17.6%
8/31/94 $27.375 11.1% 17.6%
9/1/94 $27.125 11.5% 18.1%
9/2/94 $27.125 11.6% 18.1%
9/6/94 $27.125 11.6% 18.2%
9/7/94 $27.125 11.6% 18.2%
9/8/94 $27.125 11.6% 18.3%
9/9/94 $27.000 11.9% 18.5%
</TABLE>
<PAGE> 32
<TABLE>
<S> <C> <C> <C>
9/12/94 $27.000 11.9% 18.6%
9/13/94 $27.125 11.7% 18.4%
9/14/94 $27.000 12.0% 18.6%
9/15/94 $27.250 11.5% 18.2%
9/16/94 $27.000 12.0% 18.7%
9/19/94 $27.125 11.8% 18.5%
9/20/94 $27.125 11.8% 18.6%
9/21/94 $27.125 11.8% 18.6%
9/22/94 $27.000 12.1% 18.8%
9/23/94 $27.000 12.1% 18.9%
9/26/94 $27.125 11.9% 18.7%
9/27/94 $27.125 11.9% 18.7%
9/28/94 $27.000 12.2% 19.0%
9/29/94 $27.000 12.2% 19.0%
9/30/94 $27.000 12.2% 19.0%
10/3/94 $27.000 12.2% 19.1%
10/4/94 $27.000 12.3% 19.1%
10/5/94 $27.000 12.3% 19.2%
10/6/94 $26.875 12.5% 19.4%
10/7/94 $26.750 12.8% 19.7%
10/10/94 $26.625 13.1% 20.0%
10/11/94 $26.625 13.1% 20.1%
10/12/94 $26.375 13.6% 20.6%
10/13/94 $26.250 13.8% 20.9%
10/14/94 $26.375 13.6% 20.7%
10/17/94 $26.750 12.9% 20.0%
10/18/94 $26.625 13.2% 20.3%
10/19/94 $26.625 13.2% 20.3%
10/20/94 $26.500 13.5% 20.6%
10/21/94 $26.500 13.5% 20.6%
10/24/94 $26.500 13.6% 20.7%
10/25/94 $26.500 13.6% 20.7%
10/26/94 $26.375 13.8% 21.0%
10/27/94 $26.125 14.4% 21.6%
10/28/94 $26.125 14.4% 21.6%
10/31/94 $26.000 14.7% 22.0%
11/1/94 $25.750 15.2% 22.5%
11/2/94 $25.750 15.2% 22.6%
11/3/94 $25.750 15.3% 22.6%
11/4/94 $25.750 15.3% 22.6%
11/7/94 $25.750 15.3% 22.7%
11/8/94 $26.750 13.3% 20.6%
11/9/94 $26.750 13.3% 20.6%
11/10/94 $27.375 12.2% 19.4%
11/11/94 $27.375 12.2% 19.4%
11/14/94 $27.250 12.5% 19.7%
11/15/94 $27.500 12.0% 19.2%
11/16/94 $27.375 12.3% 19.5%
11/17/94 $27.250 12.5% 19.8%
11/18/94 $27.250 12.5% 19.8%
11/21/94 $27.250 12.6% 19.9%
11/22/94 $26.750 13.6% 21.0%
11/23/94 $26.375 14.4% 21.9%
11/25/94 $26.438 14.3% 21.8%
11/28/94 $26.375 14.5% 22.0%
11/29/94 $26.375 14.5% 22.0%
11/30/94 $26.500 14.3% 21.8%
12/1/94 $26.375 14.5% 22.1%
12/2/94 $26.500 14.3% 21.9%
12/5/94 $26.500 14.4% 22.0%
12/6/94 $26.375 14.6% 22.3%
12/7/94 $26.000 15.5% 23.2%
12/8/94 $25.500 16.6% 24.4%
12/9/94 $25.500 16.6% 24.4%
12/12/94 $25.500 16.7% 24.5%
12/13/94 $25.250 17.2% 25.1%
12/14/94 $25.375 17.0% 24.9%
12/15/94 $25.750 16.2% 24.0%
12/16/94 $26.000 15.7% 23.5%
12/19/94 $26.250 15.2% 23.0%
12/20/94 $27.000 13.6% 21.3%
12/21/94 $27.500 12.6% 20.3%
12/22/94 $27.250 13.1% 20.8%
12/23/94 $27.375 12.9% 20.6%
12/27/94 $27.250 13.2% 21.0%
12/28/94 $28.000 11.7% 19.4%
12/29/94 $28.500 10.8% 18.4%
12/30/94 $28.875 10.1% 17.6%
</TABLE>
<PAGE> 33
<TABLE>
<S> <C> <C> <C>
1/3/95 $28.875 10.1% 17.8%
1/4/95 $28.875 10.1% 17.8%
1/5/95 $29.000 9.9% 17.5%
1/6/95 $28.875 10.2% 17.8%
1/9/95 $28.875 10.2% 17.9%
1/10/95 $28.875 10.2% 17.9%
1/11/95 $28.875 10.2% 18.0%
1/12/95 $29.125 9.8% 17.5%
1/13/95 $29.000 10.0% 17.8%
1/16/95 $29.250 9.6% 17.3%
1/17/95 $29.125 9.8% 17.6%
1/18/95 $29.000 10.1% 17.9%
1/19/95 $28.750 10.6% 18.4%
1/20/95 $28.625 10.9% 18.7%
1/23/95 $28.500 11.2% 19.1%
1/24/95 $28.500 11.2% 19.1%
1/25/95 $28.500 11.2% 19.2%
1/26/95 $28.625 11.0% 18.9%
1/27/95 $28.875 10.5% 18.4%
1/30/95 $28.875 10.5% 18.5%
1/31/95 $29.000 10.3% 18.3%
2/1/95 $28.750 10.8% 18.8%
2/2/95 $28.750 10.8% 18.8%
2/3/95 $28.875 10.6% 18.6%
2/6/95 $28.875 10.6% 18.7%
2/7/95 $29.000 10.4% 18.5%
2/8/95 $29.000 10.4% 18.5%
2/9/95 $29.000 10.4% 18.5%
2/10/95 $29.000 10.5% 18.5%
2/13/95 $29.000 10.5% 18.6%
2/14/95 $29.125 10.3% 18.4%
2/15/95 $29.500 9.5% 17.6%
2/16/95 $29.875 8.8% 16.9%
2/17/95 $30.000 8.6% 16.6%
2/21/95 $30.000 8.6% 16.7%
2/22/95 $29.875 8.9% 17.0%
2/23/95 $29.875 8.9% 17.0%
2/24/95 $29.875 8.9% 17.1%
2/27/95 $30.000 8.7% 16.9%
2/28/95 $30.250 8.2% 16.4%
3/1/95 $30.250 8.3% 16.4%
3/2/95 $30.250 8.3% 16.4%
3/3/95 $30.125 8.5% 16.7%
3/6/95 $30.125 8.6% 16.8%
3/7/95 $30.000 8.8% 17.1%
3/8/95 $29.875 9.1% 17.4%
3/9/95 $30.125 8.6% 16.9%
3/10/95 $30.125 8.6% 16.9%
3/13/95 $30.250 8.4% 16.7%
3/14/95 $30.125 8.7% 17.0%
3/15/95 $30.375 8.2% 16.5%
3/16/95 $30.250 8.5% 16.8%
3/17/95 $30.125 8.7% 17.1%
3/20/95 $30.375 8.3% 16.7%
3/21/95 $30.125 8.8% 17.2%
3/22/95 $30.375 8.3% 16.7%
3/23/95 $30.375 8.3% 16.7%
3/24/95 $30.375 8.3% 16.8%
3/27/95 $30.250 8.6% 17.1%
3/28/95 $30.125 8.9% 17.4%
3/29/95 $30.125 8.9% 17.5%
3/30/95 $30.375 8.4% 16.9%
3/31/95 $30.375 8.4% 17.0%
4/3/95 $30.750 7.7% 16.2%
4/4/95 $30.750 7.7% 16.3%
4/5/95 $30.750 7.7% 16.3%
4/6/95 $30.625 8.0% 16.6%
</TABLE>
<PAGE> 34
<TABLE>
<S> <C> <C> <C>
4/7/95 $30.500 8.2% 16.9%
4/10/95 $30.563 8.2% 16.8%
4/11/95 $30.500 8.3% 17.0%
4/12/95 $30.375 8.6% 17.3%
4/13/95 $30.375 8.6% 17.3%
4/17/95 $30.500 8.4% 17.2%
4/18/95 $30.625 8.1% 16.9%
4/19/95 $30.375 8.7% 17.5%
4/20/95 $30.375 8.7% 17.6%
4/21/95 $30.125 9.2% 18.2%
4/24/95 $30.125 9.3% 18.3%
4/25/95 $30.375 8.8% 17.7%
4/26/95 $30.125 9.3% 18.3%
4/27/95 $30.125 9.3% 18.4%
4/28/95 $29.875 9.9% 19.0%
5/1/95 $29.875 9.9% 19.1%
5/2/95 $29.750 10.2% 19.4%
5/3/95 $29.750 10.2% 19.4%
5/4/95 $30.000 9.7% 18.9%
5/5/95 $29.750 10.3% 19.5%
5/8/95 $29.750 10.3% 19.6%
5/9/95 $29.750 10.4% 19.7%
5/10/95 $29.875 10.1% 19.4%
5/11/95 $29.750 10.4% 19.7%
5/12/95 $30.125 9.6% 18.9%
5/15/95 $30.125 9.6% 19.0%
5/16/95 $30.000 9.9% 19.3%
5/17/95 $30.125 9.7% 19.0%
5/18/95 $29.500 11.1% 20.6%
5/19/95 $29.625 10.8% 20.3%
5/22/95 $29.500 11.2% 20.8%
5/23/95 $29.500 11.2% 20.8%
5/24/95 $29.750 10.6% 20.2%
5/25/95 $30.250 9.5% 19.0%
5/26/95 $30.000 10.1% 19.7%
5/30/95 $29.375 11.6% 21.4%
5/31/95 $29.000 12.6% 22.4%
6/1/95 $28.750 13.2% 23.1%
6/2/95 $28.750 13.2% 23.2%
6/5/95 $28.750 13.3% 23.3%
6/6/95 $28.750 13.3% 23.4%
6/7/95 $28.750 13.3% 23.4%
6/8/95 $28.875 13.1% 23.1%
6/9/95 $28.875 13.1% 23.2%
6/12/95 $28.875 13.2% 23.3%
6/13/95 $28.750 13.5% 23.7%
6/14/95 $28.750 13.5% 23.7%
6/15/95 $29.000 12.9% 23.1%
6/16/95 $29.125 12.6% 22.8%
6/19/95 $29.125 12.7% 22.9%
6/20/95 $29.250 12.4% 22.6%
6/21/95 $29.375 12.1% 22.3%
6/22/95 $28.750 13.7% 24.1%
6/23/95 $29.000 13.1% 23.5%
6/26/95 $28.750 13.8% 24.3%
6/27/95 $29.000 13.2% 23.6%
6/28/95 $29.125 12.9% 23.3%
6/29/95 $28.750 13.9% 24.5%
6/30/95 $28.625 14.3% 24.9%
7/3/95 $28.625 14.4% 25.0%
7/5/95 $28.500 14.8% 25.5%
7/6/95 $28.500 14.8% 25.5%
7/7/95 $28.250 15.5% 26.3%
7/10/95 $28.250 15.6% 26.5%
7/11/95 $28.125 16.0% 26.9%
7/12/95 $28.250 15.6% 26.6%
7/13/95 $28.125 16.0% 27.0%
7/14/95 $28.250 15.7% 26.7%
7/17/95 $28.250 15.8% 26.9%
7/18/95 $28.250 15.8% 26.9%
7/19/95 $28.250 15.9% 27.0%
7/20/95 $28.125 16.3% 27.5%
7/21/95 $28.250 15.9% 27.1%
7/24/95 $28.250 16.0% 27.3%
7/25/95 $28.125 16.4% 27.7%
7/26/95 $28.000 16.8% 28.2%
7/27/95 $28.000 16.9% 28.3%
7/28/95 $28.000 16.9% 28.3%
7/31/95 $28.125 16.6% 28.1%
8/1/95 $28.125 16.7% 28.2%
8/2/95 $28.250 16.3% 27.8%
8/3/95 $28.250 16.4% 27.9%
8/4/95 $28.250 16.4% 28.0%
8/7/95 $28.250 16.5% 28.1%
8/8/95 $28.375 16.2% 27.8%
8/9/95 $28.375 16.2% 27.9%
</TABLE>
<PAGE> 35
<TABLE>
<S> <C> <C> <C>
8/10/95 $28.250 16.6% 28.3%
8/11/95 $28.375 16.3% 28.0%
8/14/95 $28.500 16.0% 27.8%
8/15/95 $28.875 14.9% 26.6%
8/16/95 $29.375 13.6% 25.1%
8/17/95 $29.750 12.5% 24.0%
8/18/95 $29.625 12.9% 24.5%
8/21/95 $29.750 12.6% 24.2%
8/22/95 $29.875 12.3% 23.9%
8/23/95 $29.750 12.7% 24.3%
8/24/95 $29.750 12.7% 24.4%
8/25/95 $29.750 12.8% 24.5%
8/28/95 $29.875 12.5% 24.2%
8/29/95 $29.688 13.0% 24.9%
8/30/95 $29.500 13.6% 25.5%
8/31/95 $29.500 13.6% 25.6%
9/1/95 $29.625 13.3% 25.2%
9/5/95 $29.375 14.2% 26.3%
9/6/95 $29.750 13.1% 25.1%
9/7/95 $30.000 12.4% 24.4%
9/8/95 $30.000 12.4% 24.5%
9/11/95 $29.875 12.9% 25.0%
9/12/95 $29.875 12.9% 25.1%
9/13/95 $29.875 12.9% 25.1%
9/14/95 $29.875 13.0% 25.2%
9/15/95 $29.750 13.4% 25.7%
9/18/95 $29.875 13.1% 25.4%
9/19/95 $29.750 13.5% 25.9%
9/20/95 $29.625 13.9% 26.4%
9/21/95 $29.625 13.9% 26.5%
9/22/95 $29.250 15.1% 27.8%
9/25/95 $29.750 13.7% 26.3%
9/26/95 $29.875 13.3% 25.9%
9/27/95 $29.750 13.7% 26.4%
9/28/95 $29.625 14.1% 26.9%
9/29/95 $29.750 13.8% 26.5%
10/2/95 $29.500 14.7% 27.6%
10/3/95 $29.500 14.7% 27.7%
10/4/95 $29.375 15.1% 28.2%
10/5/95 $29.500 14.8% 27.8%
10/6/95 $29.500 14.8% 27.9%
10/9/95 $29.375 15.3% 28.5%
10/10/95 $29.375 15.3% 28.6%
10/11/95 $29.500 15.0% 28.2%
10/12/95 $29.500 15.0% 28.3%
10/13/95 $29.250 15.9% 29.3%
10/16/95 $29.375 15.6% 29.0%
10/17/95 $29.250 16.0% 29.6%
10/18/95 $29.375 15.6% 29.2%
10/19/95 $29.375 15.7% 29.3%
10/20/95 $29.375 15.7% 29.3%
10/23/95 $29.125 16.7% 30.5%
10/24/95 $29.188 16.5% 30.3%
10/25/95 $28.875 17.6% 31.6%
10/26/95 $28.875 17.6% 31.7%
10/27/95 $28.875 17.7% 31.8%
10/30/95 $28.750 18.3% 32.5%
10/31/95 $28.750 18.3% 32.6%
11/1/95 $28.625 18.8% 33.2%
11/2/95 $28.250 20.2% 34.8%
11/3/95 $28.500 19.3% 33.9%
11/6/95 $28.500 19.5% 34.2%
11/7/95 $28.375 20.0% 34.8%
11/8/95 $28.500 19.6% 34.4%
11/9/95 $28.875 18.3% 32.9%
11/10/95 $28.875 18.3% 33.0%
11/13/95 $29.000 18.0% 32.8%
11/14/95 $29.000 18.1% 32.9%
11/15/95 $28.875 18.6% 33.5%
11/16/95 $28.625 19.5% 34.6%
11/17/95 $28.750 19.1% 34.2%
11/20/95 $28.625 19.8% 35.0%
11/21/95 $28.625 19.8% 35.1%
11/22/95 $28.625 19.9% 35.2%
11/24/95 $28.625 20.0% 35.4%
11/27/95 $28.750 19.7% 35.2%
11/28/95 $28.750 19.7% 35.3%
11/29/95 $28.875 19.3% 34.8%
11/30/95 $29.250 17.9% 33.3%
</TABLE>
<PAGE> 36
<TABLE>
<S> <C> <C> <C>
12/1/95 $29.500 17.1% 32.4%
12/4/95 $29.125 18.6% 34.3%
12/5/95 $29.500 17.3% 32.8%
12/6/95 $29.375 17.8% 33.4%
12/7/95 $29.250 18.3% 34.0%
12/8/95 $29.250 18.3% 34.1%
12/11/95 $28.750 20.4% 36.7%
12/12/95 $28.750 20.5% 36.8%
12/13/95 $28.750 20.6% 36.9%
12/14/95 $29.250 18.7% 34.8%
12/15/95 $29.750 16.8% 32.7%
12/18/95 $29.500 17.9% 34.1%
12/19/95 $29.500 17.9% 34.2%
12/20/95 $29.500 18.0% 34.3%
12/21/95 $29.625 17.6% 33.8%
12/22/95 $30.000 16.2% 32.3%
12/26/95 $29.875 16.9% 33.3%
12/27/95 $30.500 14.5% 30.7%
12/28/95 $30.125 16.0% 32.4%
12/29/95 $30.375 15.1% 31.4%
1/2/96 $30.250 15.7% 32.3%
1/3/96 $30.250 15.8% 32.4%
1/4/96 $30.250 15.8% 32.5%
1/5/96 $30.250 15.9% 32.6%
1/8/96 $30.313 15.8% 32.7%
1/9/96 $30.250 16.1% 33.1%
1/10/96 $30.125 16.6% 33.7%
1/11/96 $29.875 17.7% 35.0%
1/12/96 $29.875 17.7% 35.1%
1/15/96 $29.875 17.9% 35.5%
1/16/96 $29.750 18.5% 36.2%
1/17/96 $29.625 19.0% 36.9%
1/18/96 $29.375 20.2% 38.2%
1/19/96 $29.625 19.2% 37.1%
1/22/96 $30.000 17.8% 35.7%
1/23/96 $30.500 15.8% 33.4%
1/24/96 $30.125 17.4% 35.3%
1/25/96 $30.000 17.9% 36.1%
1/26/96 $29.875 18.5% 36.8%
1/29/96 $30.125 17.6% 35.9%
1/30/96 $30.250 17.2% 35.5%
1/31/96 $30.125 17.8% 36.2%
2/1/96 $30.250 17.3% 35.7%
2/2/96 $30.250 17.3% 35.8%
2/5/96 $30.375 17.0% 35.6%
2/6/96 $30.625 16.0% 34.5%
2/7/96 $30.375 17.1% 35.8%
2/8/96 $30.500 16.6% 35.3%
2/9/96 $30.500 16.7% 35.5%
2/12/96 $30.500 16.8% 35.9%
2/13/96 $31.125 14.2% 32.9%
2/14/96 $31.625 12.2% 30.6%
2/15/96 $31.625 12.3% 30.7%
2/16/96 $32.375 9.3% 27.4%
2/20/96 $32.250 9.9% 28.3%
2/21/96 $32.250 10.0% 28.4%
2/22/96 $32.375 9.5% 28.0%
2/23/96 $32.375 9.5% 28.1%
2/26/96 $32.375 9.6% 28.4%
2/27/96 $32.250 10.2% 29.1%
2/28/96 $31.750 12.3% 31.6%
2/29/96 $31.750 12.3% 31.7%
3/1/96 $31.750 12.4% 31.8%
3/4/96 $32.125 10.9% 30.3%
3/5/96 $32.125 11.0% 30.5%
3/6/96 $32.000 11.5% 31.2%
3/7/96 $31.875 12.1% 31.9%
3/8/96 $31.000 16.0% 36.6%
3/11/96 $31.000 16.2% 37.1%
3/12/96 $31.250 15.1% 35.9%
3/13/96 $31.250 15.2% 36.0%
3/14/96 $30.625 18.2% 39.6%
3/15/96 $30.625 18.2% 39.8%
3/18/96 $31.250 15.4% 36.7%
3/19/96 $31.000 16.7% 38.3%
3/20/96 $31.125 16.2% 37.7%
3/21/96 $31.125 16.2% 37.9%
3/22/96 $31.250 15.7% 37.3%
3/25/96 $31.250 15.9% 37.8%
3/26/96 $31.125 16.5% 38.7%
3/27/96 $31.375 15.4% 37.4%
3/28/96 $31.250 16.0% 38.3%
3/29/96 $32.625 9.7% 30.8%
</TABLE>
<PAGE> 37
<TABLE>
<S> <C> <C> <C>
4/1/96 $32.250 11.5% 33.2%
4/2/96 $32.250 11.6% 33.4%
4/3/96 $32.125 12.2% 34.2%
4/4/96 $32.125 12.2% 34.4%
4/8/96 $31.750 14.3% 37.1%
4/9/96 $31.875 13.7% 36.6%
4/10/96 $31.000 18.2% 42.1%
4/11/96 $31.500 15.7% 39.1%
4/12/96 $31.625 15.1% 38.5%
4/15/96 $31.750 14.7% 38.3%
4/16/96 $31.563 15.7% 39.6%
4/17/96 $31.375 16.7% 41.0%
4/18/96 $31.375 16.8% 41.2%
4/19/96 $31.125 18.2% 43.0%
4/22/96 $31.250 17.8% 42.8%
4/23/96 $31.000 19.2% 44.7%
4/24/96 $30.750 20.7% 46.6%
4/25/96 $30.375 23.0% 49.5%
4/26/96 $30.250 23.8% 50.6%
4/29/96 $30.000 25.7% 53.2%
4/30/96 $30.125 25.0% 52.6%
5/1/96 $30.000 25.9% 53.8%
5/2/96 $29.875 26.8% 55.0%
5/3/96 $29.938 26.6% 54.8%
5/6/96 $29.875 27.4% 56.2%
5/7/96 $29.875 27.5% 56.5%
5/8/96 $30.125 26.0% 54.8%
5/9/96 $30.500 23.7% 52.1%
5/10/96 $30.625 23.0% 51.4%
5/13/96 $30.875 21.8% 50.3%
5/14/96 $31.250 19.6% 47.7%
5/15/96 $31.250 19.7% 48.0%
5/16/96 $31.500 18.3% 46.3%
5/17/96 $31.750 16.9% 44.7%
5/20/96 $31.875 16.4% 44.5%
5/21/96 $31.625 18.0% 46.6%
5/22/96 $31.500 18.8% 47.8%
5/23/96 $31.500 18.9% 48.1%
5/24/96 $32.000 16.0% 44.6%
5/28/96 $31.750 17.8% 47.5%
5/29/96 $32.125 15.6% 44.8%
5/30/96 $32.125 15.7% 45.1%
5/31/96 $31.875 17.3% 47.3%
6/3/96 $32.000 16.8% 47.1%
6/4/96 $32.000 16.9% 47.4%
6/5/96 $32.125 16.1% 46.7%
6/6/96 $31.875 17.8% 49.0%
6/7/96 $31.750 18.7% 50.3%
6/10/96 $31.750 19.0% 51.2%
6/11/96 $31.250 22.6% 55.9%
6/12/96 $31.125 23.6% 57.3%
6/13/96 $31.250 22.9% 56.6%
6/14/96 $31.375 22.1% 55.8%
6/17/96 $31.500 21.6% 55.7%
6/18/96 $31.625 20.8% 54.9%
6/19/96 $31.625 20.9% 55.2%
6/20/96 $31.750 20.1% 54.4%
6/21/96 $31.625 21.1% 55.9%
6/24/96 $31.375 23.4% 59.5%
6/25/96 $30.875 27.4% 64.9%
6/26/96 $31.125 25.6% 62.8%
6/27/96 $31.250 24.8% 61.9%
6/28/96 $31.500 23.0% 59.8%
7/1/96 $31.250 25.4% 63.6%
7/2/96 $31.250 25.5% 64.1%
7/3/96 $31.375 24.7% 63.2%
7/5/96 $31.250 26.0% 65.4%
7/8/96 $31.375 25.5% 65.5%
7/9/96 $31.250 26.7% 67.3%
7/10/96 $31.250 26.8% 67.8%
7/11/96 $31.250 27.0% 68.3%
7/12/96 $31.125 28.3% 70.3%
7/15/96 $31.250 27.7% 70.4%
7/16/96 $30.625 33.7% 78.6%
7/17/96 $30.500 35.1% 80.9%
7/18/96 $30.375 36.6% 83.2%
7/19/96 $30.250 38.1% 85.5%
7/22/96 $30.125 40.2% 89.4%
7/23/96 $30.125 40.5% 90.2%
7/24/96 $29.000 53.6% 108.3%
7/25/96 $28.875 55.5% 111.3%
7/26/96 $29.000 54.4% 110.2%
7/29/96 $29.125 54.1% 111.1%
7/30/96 $29.000 56.2% 114.3%
7/31/96 $30.000 44.4% 98.6%
</TABLE>
<PAGE> 38
<TABLE>
<S> <C> <C> <C>
8/1/96 $29.500 50.8% 107.8%
8/2/96 $29.750 48.1% 104.5%
8/5/96 $29.250 55.7% 116.4%
8/6/96 $29.000 59.5% 122.2%
8/7/96 $28.875 61.8% 125.9%
8/8/96 $28.875 62.3% 127.1%
8/9/96 $28.625 66.5% 133.5%
8/12/96 $28.625 68.3% 137.8%
8/13/96 $28.750 67.0% 136.5%
8/14/96 $28.750 67.6% 138.0%
8/15/96 $28.750 68.3% 139.5%
8/16/96 $29.500 57.7% 125.1%
8/19/96 $29.313 62.1% 133.2%
8/20/96 $29.000 67.5% 141.7%
8/21/96 $28.875 70.2% 146.2%
8/22/96 $28.875 70.9% 147.9%
8/23/96 $28.750 73.7% 152.7%
8/26/96 $28.625 78.2% 161.6%
8/27/96 $30.250 52.6% 124.6%
8/28/96 $29.875 58.8% 134.5%
8/29/96 $29.750 61.3% 139.0%
8/30/96 $29.875 60.0% 137.8%
9/3/96 $29.250 73.4% 161.2%
9/4/96 $29.250 74.2% 163.3%
9/5/96 $29.125 77.4% 169.1%
9/6/96 $29.000 80.7% 175.1%
9/9/96 $28.875 86.1% 186.5%
9/10/96 $29.125 82.0% 181.2%
9/11/96 $29.750 70.6% 164.7%
9/12/96 $30.250 62.2% 152.7%
9/13/96 $30.750 54.3% 141.2%
9/16/96 $30.625 58.4% 150.8%
9/17/96 $31.063 51.4% 140.8%
9/18/96 $30.625 59.8% 155.3%
9/19/96 $30.750 58.2% 153.9%
9/20/96 $30.750 58.9% 156.3%
9/23/96 $30.625 63.6% 167.7%
9/24/96 $30.250 72.2% 183.1%
9/25/96 $30.250 73.1% 186.1%
9/26/96 $30.500 68.7% 180.4%
9/27/96 $30.750 64.4% 174.7%
9/30/96 $31.375 54.3% 162.1%
10/1/96 $31.250 57.5% 169.2%
10/2/96 $31.125 60.9% 176.6%
10/3/96 $30.875 67.2% 189.2%
10/4/96 $31.125 62.7% 183.1%
10/7/96 $31.063 66.9% 196.2%
10/8/96 $31.250 63.6% 192.3%
10/9/96 $30.375 86.5% 235.5%
10/10/96 $30.375 87.9% 240.5%
10/11/96 $30.500 85.9% 239.3%
10/14/96 $30.375 94.1% 262.6%
10/15/96 $30.500 92.0% 261.6%
10/16/96 $30.125 105.5% 290.3%
10/17/96 $30.625 91.5% 266.8%
10/18/96 $30.500 97.2% 280.9%
10/21/96 $30.250 111.7% 320.5%
10/22/96 $29.750 133.4% 368.2%
10/23/96 $29.813 133.6% 373.4%
10/24/96 $29.875 133.9% 379.0%
10/25/96 $29.625 148.0% 413.3%
10/28/96 $29.125 185.2% 510.7%
10/29/96 $30.000 144.3% 429.5%
10/30/96 $30.125 141.8% 430.8%
10/31/96 $30.000 151.5% 459.2%
11/1/96 $29.875 162.0% 490.3%
11/4/96 $30.000 168.3% 531.0%
11/5/96 $29.938 176.8% 561.0%
11/6/96 $30.500 149.3% 504.6%
11/7/96 $30.750 139.9% 491.6%
11/8/96 $31.500 106.6% 418.2%
11/11/96 $31.625 109.6% 455.7%
11/12/96 $31.500 119.2% 492.7%
11/13/96 $31.125 144.1% 573.7%
11/14/96 $31.125 148.7% 601.6%
11/15/96 $31.000 161.9% 655.7%
</TABLE>
- --------------
(1) Assumes that a shareholder tenders his share on 12/31/96. Note:
dividends are not considered in calculating the return.
- 23 -
<PAGE> 39
Exhibit 6
- --------------------------------------------------------------------------------
CASE STUDY: SCOR U.S. CORPORATION
- 24 -
<PAGE> 40
SUMMARY OF TRANSACTION
- --------------------------------------------------------------------------------
Societe Commerciale de Reassurance ("SCOR S.A.") acquired the remaining 20%
stake which it did not already own in SCOR U.S. for an amended $55.4 million or
$15.25 per share in cash. Earlier, SCOR S.A. had offered $14.00 per share.
BACKGROUND OF COMPANY
- SCOR U.S. Corporation went public on September 26, 1986 at
$14.50 per share. SCOR S.A. retained 68% of the U.S.
subsidiary.
- SCOR U.S. provides treaty and facultative reinsurance to
primary insurers for casualty and property risks through
reinsurance brokers.
PREMIUMS PAID
<TABLE>
<CAPTION>
1 Day 1 Week 1 Month 3 Months 6 Months LTM Avg. LTM High LTM High(l)
- ----- ------ ------- -------- -------- -------- -------- -----------
<S> <C> <C> <C> <C> <C> <C> <C>
37.1% 35.6% 32.6% 67.1% 86.2% 64.3% 31.2% 27.1%
</TABLE>
VALUATION MULTIPLES
<TABLE>
<CAPTION>
Price / Book Price / LTM EPS Price / 1995E EPS Price / 1996E EPS
------------ --------------- ----------------- -----------------
<S> <C> <C> <C>
1.0x 20.3x 17.3x 16.1x
</TABLE>
- ----------------
(1) LTM high excluding previous month.
- 25 -
<PAGE> 41
FINANCIAL OVERVIEW
- --------------------------------------------------------------------------------
Prior to the offer, SCOR U.S. had demonstrated poor operating performance.
(Dollars in Millions)
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31, 6 MONTHS ENDED LTM ENDED
--------------------------------- ---------------------
1992 1993 1994 6/30/94 6/30/95 6/30/95
-------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Net Premiums Written $ 205.5 $ 245.4 $ 231.1 $ 128.9 $ 127.0 $ 229.2
Pre-tax Operating Income (15.6) 22.1 (20.5) (26.3) 10.3 16.2
Loss Ratio 83.6% 66.2% 83.8% 96.5% 66.4% 68.2%
Expense Ratio 41.0 37.4 38.7 35.8 39.2 40.6
Dividend Ratio 2.6 2.5 2.9 2.8 1.4 2.1
-------- -------- -------- -------- --------- --------
Combined Ratio 127.2% 106.0% 125.4% 135.0% 106.9% 110.9%
======== ======== ======== ======== ======== ========
</TABLE>
- 26 -
<PAGE> 42
SCOR U.S. STOCK PRICE PROFILE
- --------------------------------------------------------------------------------
Through course of negotiations, the initial bid of $14.00 per share was raised
to $15.25 per share.
<TABLE>
<CAPTION>
DATE PRICE VOLUME
---- ----- ------
<S> <C> <C>
6/30/95 $ 9.000 1,000
7/3/95 $ 9.000 400
7/5/95 $ 9.000 1,200
7/6/95 $ 9.250 2,000
7/7/95 $ 9.125 3,400
7/10/95 $ 9.125 1,000
7/11/95 $ 9.125 0
7/12/95 $ 9.250 500
7/13/95 $ 9.250 400
7/14/95 $ 9.250 400
7/17/95 $ 9.250 0
7/18/95 $ 9.500 2,000
7/19/95 $ 9.625 4,300
7/20/95 $ 9.625 2,100
7/21/95 $ 9.500 300
7/24/95 $ 9.625 0
7/25/95 $ 9.500 4,000
7/26/95 $ 9.750 1,000
7/27/95 $10.125 1,900
7/28/95 $10.000 3,300
7/31/95 $10.125 4,500
8/1/95 $10.875 4,700
8/2/95 $10.625 6,600
8/3/95 $10.500 600
8/4/95 $10.625 3,000
8/7/95 $10.750 400
8/8/95 $10.875 2,900
8/9/95 $10.750 1,500
8/10/95 $10.625 700
8/11/95 $10.625 1,200
8/14/95 $10.625 3,500
8/15/95 $10.563 12,700
8/16/95 $10.500 500
8/17/95 $10.563 0
8/18/95 $10.563 1,700
8/21/95 $11.500 14,100
8/22/95 $11.438 12,500
8/23/95 $11.375 31,800
8/24/95 $11.375 6,000
8/25/95 $11.500 1,800
8/28/95 $11.125 2,200
8/29/95 $11.000 4,000
8/30/95 $11.000 0
8/31/95 $11.000 100
9/1/95 $10.875 1,900
9/5/95 $11.000 2,000
9/6/95 $10.875 1,000
9/7/95 $11.000 1,900
9/8/95 $11.125 1,000
9/11/95 $11.125 4,700
9/12/95 $11.375 3,500
9/13/95 $11.313 0
9/14/95 $11.500 6,900
9/15/95 $11.625 5,000
9/18/95 $11.500 2,100
9/19/95 $11.250 3,000
9/20/95 $11.188 0
9/21/95 $11.250 5,000
9/22/95 $11.250 1,300
9/25/95 $11.125 800
9/26/95 $15.000 184,200
9/27/95 $15.125 73,000
9/28/95 $15.250 34,300
9/29/95 $15.500 44,900
10/2/95 $15.500 13,900
10/3/95 $15.500 3,000
10/4/95 $15.375 2,600
10/5/95 $15.250 1,500
10/6/95 $15.250 4,900
10/9/95 $15.375 5,000
10/10/95 $15.250 14,000
10/11/95 $15.375 4,000
10/12/95 $15.375 1,500
10/13/95 $15.250 1,000
10/16/95 $15.313 0
10/17/95 $15.375 11,200
10/18/95 $15.500 4,000
10/19/95 $15.500 11,600
10/20/95 $15.500 0
10/23/95 $15.500 600
10/24/95 $15.625 6,700
10/25/95 $15.625 2,600
10/26/95 $15.750 5,100
10/27/95 $15.500 800
10/30/95 $15.375 5,400
10/31/95 $15.375 13,700
11/1/95 $15.250 2,900
11/2/95 $15.250 1,500
11/3/95 $15.125 10,000
11/6/95 $15.125 50,000
11/7/95 $15.000 10,500
11/8/95 $15.125 2,400
11/9/95 $15.125 15,300
11/10/95 $15.125 100
11/13/95 $15.188 0
11/14/95 $15.188 0
11/15/95 $15.188 0
11/16/95 $15.250 600
11/17/95 $15.500 10,500
11/20/95 $15.250 11,600
11/21/95 $15.250 6,000
11/22/95 $15.250 200
11/24/95 $15.250 0
11/27/95 $15.250 500
11/28/95 $15.250 4,200
11/29/95 $15.250 600
11/30/95 $15.250 0
12/1/95 $15.375 2,400
12/4/95 $15.250 500
12/5/95 $15.375 1,100
12/6/95 $15.250 1,500
12/7/95 $15.375 0
12/8/95 $15.313 0
12/11/95 $15.250 1,100
12/12/95 $15.250 1,000
</TABLE>
July 1995 - SCOR S.A. decides to acquire remaining 20% minority interest.
9/25/95 - Initial offer of $14.00 approved by SCOR S.A. Board of Directors and
announced.
9/26/95 - Volume was 184,200 shrs.
9/28/95 - Special Committee formed.
10/10/95 - Special Committee retains Dillon Read.
10/24/95 - Special Committee rejects $14.00 proposal and recommends $18.00
offer price.
10/26/95 - Parent states maximum price of $15.00 while Special Committee wants
$16.00.
10/31/95 - $15.25 offer negotiated and approved.
11/2/95 - Merger Agreement signed.
12/12/95 - Cash tender offer completed for 19.2% of shares.
- 27 -
<PAGE> 43
Institutional Ownership Overlap between SCOR and ZRC
Two of top ten institutional holders of ZRC, Price T. Rowe and Barclays Bank,
have been through a recent reinsurance going private transaction.
<TABLE>
<CAPTION>
ZURICH REINSURANCE CENTRE HOLDINGS, INC.
- ------------------------------------------------------------------------------
TOP INSTITUTIONAL OWNERS SHARES HELD PERCENT
----------- -------
<S> <C> <C>
Price T. Rowe Associate 1,401,600 5.4%
Primecap Management Company 1,311,050 5.0%
Reich & Tang Asset Management 983,650 3.8%
Crabbe Huson Group Inc. 746,200 2.8%
Firstar Corporation 649,300 2.5%
Bristol John W. & Co. 478,368 1.8%
Seligman J. W. & Co. 295,367 1.1%
Barclays Bank plc 240,457 0.9%
Lockheed Martin Corp. 217,000 0.8%
Societe Gen Asset Management 165,000 0.6%
Other Institutional Owners 1,389,092 5.3%
---------- -----
TOTAL INSTITUTIONAL OWNERS 7,877,084 30.1%
</TABLE>
<TABLE>
<CAPTION>
SCOR U.S. CORPORATION
- ----------------------------------------------------------------------------------
TOP INSTITUTIONAL OWNERS SHARES HELD PERCENT
----------- -------
<S> <C> <C>
McCullough Andrews & Capp. 701,000 6.2%
Price T. Rowe Associate 700,000 6.2%
Wellington Management Co. 585,000 5.2%
Calif. Public Emp. Ret. Sys. 508,000 4.5%
Dimensional Fund Advisors 445,000 3.9%
Fidelity Mgmt. & Res. Corp. 267,300 2.4%
Breau Capital Mgmt. Inc. 251,000 2.2%
Davis Selected Advisors LP 230,000 2.0%
Tanaka Capital Mgmt. Inc. 222,050 2.0%
Barclays Bank plc 200,272 1.8%
Other Institutional Owners 354,292 3.1%
---------- -----
TOTAL INSTITUTIONAL OWNERS 4,463,914 39.3%
</TABLE>
- 28 -
<PAGE> 44
Exhibit 7
- -------------------------------------------------------------------------------
ANALYSIS OF PREMIUMS PAID IN
MINORITY TRANSACTIONS
-29-
<PAGE> 45
PREMIUMS PAID BY AMOUNT PURCHASED
- --------------------------------------------------------------------------------
Average premium to stock price one month prior to announcement date in selected
squeeze-out transactions since 1990.
<TABLE>
<CAPTION>
AMOUNT PURCHASED Premium
<S> <C> <C>
0-10% 4 Deals 12.3%
10-20% 17 Deals 40.7%
20-30% 8 Deals 25.1%
30-40% 5 Deals 30.5%
40-50% 13 Deals 25.4%
</TABLE>
- 30 -
<PAGE> 46
PREMIUMS PAID IN SELECTED SQUEEZE-OUT TRANSACTIONS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
TARGET NAME/ DATE
ACQUIROR NAME ANNC. TRANSACTION TERMS
- ------------------ ---------- ------------------
<S> <C> <C>
CGC Inc/USG Corp 10/24/1996 Offer: $8.176 cash for each share not
Pending already owned.
WCI Steel Inc/Renco 10/10/96 Offer: $10.00 cash for each share not
Group Inc Pending already owned.
Canbra Foods Ltd/Hartford 9/20/96 Offer: $15.50 cash for each share
Securities Inc Pending not already owned.
Chemed Corp/Roto-Rooter 8/8/96 Offer: $41.00 cash for each share not
Inc already owned.
SyStemix Inc/Sandoz AG 5/27/96 Offer: $17.00 cash for each share not
Pending already owned.
SCOR US Corp/Societe 9/26/95 Original Offer: $14.00 in cash for each
Commerciale de share not already owned. Revised offer:
Reassurance $15.25 for each share not already owned.
REN Corp/Garnbro SA 9/13/95 Original Offer: $18 cash for each share
not already owned. Revised offer: $20
cash for each share not already owned.
BIC Corp/Societe BIC 5/19/95 Original Offer: $36.50 cash for each
share not already owned. Revised offer:
$40.50 cash for each share not already
owned.
Club Mediterranee/Club 4/5/95 Original Offer: $26.25 cash for each
Med Inc. share not already owned. Revised offer:
$32 cash for each share not already
owned.
Fleet Mortgage Group Inc/ 12/28/94 Offer: $20.00 cash for each share not
Fleet Financial Group Inc already owned.
Pacific Telecom Inc/ 11/2/94 Offer: $28.00 cash for each share not
PacifiCorp already owned.
Contel Cellular Inc./GTE 9/8/94 Offer: $22.50 cash for each share not
Corp. already owned.
Castle & Cooke Homes Inc/ 8/24/94 Earlier, Dole completed a tender offer to
Dole Food Co Inc acquire the remaining 17% stake in CC
which it did not already own for an
amended $15.75 in cash per share (vs. an
original $14) by accepting 5.019 mil
shares, 16.6% of CC's total shares
outstanding.
</TABLE>
<TABLE>
<CAPTION>
STOCK PRICE PREMIUM
------------------------------------------------------------------
TARGET NAME/ PRICE/ PERCENT DEAL LTM LTM CASH/
ACQUIROR NAME SHARE PURCH. VALUE 6 MOS. 3 MOS. 1 MO. 1 WEEK 1 DAY LTM AVG. HIGH HIGH(a) STOCK
- ----------------- -------- ------ ----- ------ ------- ----- ------ ----- -------- ---- ------- ------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
CGC Inc/USG Corp $8.18 24.0% $66.9 2.2% 25.8% 17.6% 16.8% 11.2% 15.1% 1.6% (3.8%) Cash
WCI Steel Inc/Renco $10.00 15.5% $56.5 110.5% 86.0% 73.9% 29.0% 17.6% 96.7% 17.6% 66.7% Cash
Group Inc
Canbra Foods Ltd/Hartford $15.50 47.0% $20.7 47.6% 6.9% 8.4% 7.3% (6.1%) 36.8% (11.4%) 4.0% Stock
Securities Inc
Chemed Corp/Roto-Rooter $41.00 42.0% $88.3 30.2% 24.2% 13.9% 12.3% 12.3% 23.8% (1.2%) (1.2%) Cash
Inc
SyStemix Inc/Sandoz AG $17.00 27.0% $66.4 13.3% 25.9% 32.0% 41.7% 54.5% 23.5% 1.5% 1.5% Cash
SCOR US Corp/Societe $15.25 19.1% $55.4 86.2% 67.1% 32.6% 35.6% 37.1% 64.3% 31.2% 27.1% Cash
Commerciale de
Reassurance
REN Corp/Garnbro SA $20.00 47.0% $178.3 45.5% 35.6% 35.6% 20.3% 27.0% 50.1% 20.3% 57.0% Cash
BIC Corp/Societe BIC $40.50 22.9% $218.9 46.6% 29.1% 30.1% 12.5% 13.3% 36.2% 9.8% 24.6% Cash
Club Mediterranee/Club $32.00 29.2% $135.8 43.0% 36.2% 43.8% 39.9% 41.4% 37.1% 23.1% 23.1% Cash
Med Inc.
Fleet Mortgage Group Inc/ $20.00 19.0% $188.1 45.5% 4.6% 23.1% 21.2% 19.4% 22.5% (2.4%) (2.4%) Cash
Fleet Financial Group Inc
Pacific Telecom Inc/ $28.00 13.0% $148.4 17.9% 33.3% 13.1% 15.5% 15.5% 17.0% 6.7% (1.8%) Cash
PacifiCorp
Contel Cellular Inc./GTE $22.50 10.0% $224.0 38.5% 36.4% 23.3% 24.1% 26.8% 32.8% (4.3%) 8.4% Cash
Corp.
Castle & Cooke Homes Inc/ $15.75 17.2% $ 81.5 16.7% 29.9% 51.9% 41.6% 35.5% 23.7% 0.0% 1.6% Cash
Dole Food Co Inc
</TABLE>
- ------------------------
(a) 52 week high excluding previous month.
-31-
<PAGE> 47
PREMIUMS PAID IN SELECTED SQUEEZE-OUT TRANSACTIONS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
TARGET NAME/ DATE
ACQUIROR NAME ANNC. TRANSACTION TERMS
<S> <C> <C>
North Canadian Oils/ 8/16/94 Offer $13.25 CD for each share not
Norcen Energy Resources already owned
Intergroup Healthcare Corp/ 7/29/94 Foundation Health (FH) acquired the
Foundation Health Corp remaining 3.6 mil. common shares,
or 37.4% of Intergroup Healthcare
(IH) it did not already own for
$255.7 mil in common stock
Chemical Waste 7/28/94 WMX Technologies acquired the
Management Inc /WMX remaining 44.9 mil common shares, or
Technologies Inc 21.4% it did not already own in
Chemical Waste Management (CWM)
in a transacton valued at an amended
$397.365 mil.
Ogden Projects Inc (Ogden 6/6/94 Ogden (OG) acquired the remaining
Corp)/Ogden Corp 15.8% of Ogden Projects (OP) that it did
not already own in a stock swap merger
valued at an amended $110.25 mil.
Enquirer/Star Group Inc./ 4/28/94 Offer: $17.50 cash for 43.0% of each
MacFadden Holdings Inc. & share not already owned.
Boston Ventures L.P.
Foxmeyer Corp./National 3/l/94 Offer: Exchange of $14.75 in principal
Intergroup Inc. amount of $81.3MM new issue of 8.25%
senior notes due 2004 for each share not
already owned
Scripps Howard 2/17/94 EW Scripps (EW), a 77.6% subsidiary of
Broadcasting Co/EW EW Scripps Trust, offered to acquire the
Scripps (Edward Scripps remaining 14% interest in Scripps
Tr) Howard Broadcasting (SHB), that it did
not already own, in a transaction valued
at $115.92 mil.
Holnam Inc (Holdernam 1/7/94 Holderbank Financiere Glarus (HFG)
Inc)/Holderbank acquired the remaining 5%, or about 6.8
Financiere Glarus mil common shares, that it did not
already own in Holnam, a unit of the
Holdernam subsidiary of HFG
</TABLE>
<TABLE>
<CAPTION>
STOCK PRICE PREMIUM
------------------------------------------------------------------
TARGET NAME/ PRICE/ PERCENT DEAL LTM LTM CASH/
ACQUIROR NAME SHARE PURCH. VALUE 6 MOS. 3 MOS. 1 MO. 1 WEEK 1 DAY LTM AVG. HIGH HIGH(a) STOCK
- ----------------- -------- ------ ----- ------ ------- ----- ------ ----- -------- ---- ------- ------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
North Canadian Oils/ $14.00 47.6% $122.0 60.0% 49.3% 77.8% 72.3% 77.8% 60.0% 45.5% 8.7% Cash
Norcen Energy Resources
Intergroup Healthcare Corp/ $71.03 37.4% $255.7 40.0% 58.3% 61.4% 90.7% 49.5% 69.4% 20.4% 28.0% Stock
Foundation Health Corp
Chemical Waste $8.85 21.4% $397.4 (17.7%) 7.3% 1.1% 10.6% 10.6% 1.4% (21.3%) (19.5%) Cash
Management Inc./WMX
Technologies Inc.
Ogden Projects Inc (Ogden $19.34 15.8% $110.3 24.8% 25.8% 20.9% 25.8% 11.3% 14.2% (19.0%) (19.0%) Stock
Corp)/Ogden Corp
Enquire/Star Group Inc./ $17.50 43.0% $636.0 (5.4%) (7.3%) 2.2% 16.7% 20.7% 7.5% (7.3%) (7.9%) Cash
MacFadden Holdings Inc. &
Boston Ventures L.P.
Foxmeyer Corp./National $14.75 19.4% $81.3 13.5% 8.3% 13.5% (5.6%) (6.3%) (2.3%) (6.3%) (8.5%) Cash
Intergroup Inc.
Scripps Howard $79.93 14.0% $115.9 12.6% 12.6% 12.3% 6.4% 1.8% 13.6% (4.8%) (4.8%) Stock
Broadcasting Co/EW
Scripps (Edward Scripps
Tr)
Holnam Inc (Holdernam $7.65 5.0% $51.7 61.1% 53.0% 7.4% 15.5% 13.3% 74.9% 0.3% 5.5% Cash
Inc)/Holderbank
Financiere Glarus
</TABLE>
- ------------------------
(a) 52 week high excluding previous month.
- 32 -
<PAGE> 48
PREMIUMS PAID IN SELECTED SQUEEZE-OUT TRANSACTIONS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
TARGET NAME/ DATE
ACQUIROR NAME ANNC. TRANSACTION TERMS
<S> <C> <C>
Southeastern Public Service 11/22/93 Offer: Exchange 2,691,822 shares of
Co./Triarc Companies, Inc. Class A common stock, or about .8 of a
Triarc share for each publicly held
Southeastern share.
West Point-Pepperell Inc/ 9/20/93 Offer: $46 cash per share not already
Valley Fashions Corp owned.
Southeastern Public Service 4/26/93 Triarc Cos, formerly known as DWG,
Co/DWG Corp (Triarc acquired the remaining 29%, or 3.36 mil.
Companies Inc) common shares, in its Southeastern
Public Service (SP) unit for a revised
$86.14 mil.
Brand Cos Inc./Chemical 11/13/92 Offer: One share of $18.75 cash per
Waste Management Inc. share not already owned.
PHLCORP Inc/Leucadia 8/17/92 Leucadia National (LN), a unit of Unitah
National Corp National, acquired the remaining 36.9%,
or 5,428,127 shares, of PHLCORP that it
did not already own for $139.94 mil in
LN common stock.
Loral Aerospace Corp/ 7/1/92 6.15 mil shs com/41% stock interest
Loral Corp
Grace Energy Corp./W.R. 3/2/92 Original Offer: 64MM cash for the
Grace & Co remaining 17% of the company not
already owned. Offer later raised to
$77.3MM.
Unocal Exploration Corp/ 2/24/92 Unocal acquired the remaining 10.08 mil
Unocal Corp common shares, or 4%, of Unocal
Exploration that it did not already own in
a stock swap valued at $117.5 mil.
American Television & 10/16/91 Time Warner (TW) acquired the
Commun/Time Warner remaining 18% of American Television
& Communications (ATC) that it did not
already own for $82.50 per share or
1,699.5 mil.
</TABLE>
<TABLE>
<CAPTION>
STOCK PRICE PREMIUM
------------------------------------------------------------------
TARGET NAME/ PRICE/ PERCENT DEAL LTM LTM CASH/
ACQUIROR NAME SHARE PURCH. VALUE 6 MOS. 3 MOS. 1 MO. 1 WEEK 1 DAY LTM AVG. HIGH HIGH(a) STOCK
- ----------------- -------- ------ ----- ------ ------- ----- ------ ----- -------- ---- ------- ------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Southeastern Public Service $20.54 29.0% $69.0 40.4% 10.3% (4.5%) (9.0%) (4.7%) 22.7% (17.4%) (16.2%) Stock
Co/Triarc Companies, Inc.
West Point-Pepperell Inc/ $46.00 5.0% $46.0 (5.6%) (5.2%) (4.2%) (8.0%) (7.8%) 0.0% (8.0%) (8.5%) Cash
Valley Fashions Corp
Southeastern Public Service $25.60 29.0% $86.1 (13.6%) (18.7%) (4.7%) (20.0%) (19.1%) (17.2%) (20.0%) 56.3% Stock
Co/DWG Corp (Triarc
Companies Inc)
Brand Cos Inc./Chemical $18.75 44.0% $185.0 25.0% 27.1% 10.3% 7.1% 4.9% 13.2% 4.9% 25.0% Cash
Waste Managemenet Inc.
PHILCORP Inc/Leucadia $25.78 36.9% $139.9 19.9% 32.2% 28.9% 15.2% 15.2% 31.6% 13.9% 9.1% Stock
National Corp
Loral Aerospace Corp/ $32.24 41.0% $198.3 (0.8%) 2.3% 3.6% 1.9% (0.0%) (5.5%) (6.4%) 42.9% Cash
Loral Corp
Grace Energy Corp./W.R. $19.00 17.0% $77.3 13.4% 33.3% 60.0% 58.3% 31.0% 26.5% 3.4% 3.4% Cash
Grace & Co.
Unocal Exploration Corp/ $11.66 4.0% $117.5 (12.8%) 9.7% 22.7% 16.6% 18.1% 10.1% (2.8%) (2.8%) Stock
Unocal Corp
American Television & $82.50 18.0% $1,699.5 82.3% 96.4% 88.6% 70.1% 66.7% 100.3% 66.7% 72.8% Cash
Commun/Time Warner
</TABLE>
- ------------------------
(a) 52 week high excluding previous month.
- 33 -
<PAGE> 49
PREMIUMS PAID IN SELECTED SQUEEZE-OUT TRANSACTIONS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
TARGET NAME/ DATE PRICE/ PERCENT DEAL
ACQUIROR NAME ANNC. TRANSACTION TERMS SHARE PURCH. VALUE
- ------------- ----- ----------------- ------ ------- -----
<S> <C> <C> <C> <C> <C>
Arkla Exploration Co/ 9/18/91 Arkla acquired the remaining 18%, or $15.44 18.0% $ 92.6
Arkla Inc 5,999,400 common shares, of Arkla
Exploration that it did not already own in
a sweetened stock swap tender offer
valued at $92.6 mil.
Metcalf & Eddy Cos Inc/ 3/1/91 Air & Water Technologies acquired the $19.26 18.0% $ 51.0
Air & Water Technologies remaining 18% of Metcalf & Eddy that it
Corp did not already own in a stock swap
valued at $50.99 mil. Air & Water
offered .875 shares of its common stock
for each of the 2,648,880 shares of
Metcalf traded publicly.
Hamilton Oil Corp. 2/6/91 $40 cash per share for the 49.9% not $40.00 49.9% $530.0
Broken Hill Proprietary Co. already owned. (Shareholders can elect
to receive cash or the equivalent value in
American Depository Shares
representing ordinary shares of Broken
Hill.)
US West Newvector Group 11/12/90 Original Offer: 0.95 US West shares per $44.00 19.0% $350.0
Inc. / US West Newvector share. Revised Offer 1.14
US West shares for each of the 19% US
West Newvector not already owned.
(Exchange ratio based on $44 value of
consideration.)
ERC Environmental & 10/23/90 Original Offer $14.75 cash per share. $15.13 32.0% $ 45.4
Energy Services Co Inc./ Revised Offer: $15.13 cash for the 32%
Ogden Corp. of shares not already owned.
Western Gas Processors Ltd 10/8/90 Western Gas Resources acquired the $12.75 48.0% $130.3
/ Western Gas Resources remaining 10,222,957 common limited
Inc partnership units, or the 48% of Western
Gas Processors, that it did not already
own, for the same number of Western
Gas Resources common shares.
</TABLE>
<TABLE>
<CAPTION>
STOCK PRICE PREMIUM
TARGET NAME/ --------------------------------------------------------------------------------------- CASH/
ACQUIROR NAME 6 MOS. 3 MOS. 1 MO. 1 WEEK 1 DAY LTM AVG. LTM HIGH LTM HIGH(a) Stock
- ------------- ------ ------ ----- ------ ----- -------- -------- ----------- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Arkla Exploration Co/ 14.4% (3.5%) 30.0% 0.4% 1.2% (9.5%) (28.6%) (24.7%) Stock
Arkla Inc
Metcalf & Eddy Cos Inc/ 45.4% 51.1% 24.3% 22.3% 22.3% 0.4% (38.4%) (38.4%) Stock
Air & Water Technologies
Corp
Hamilton Oil Corp./ (8.6%) 16.8% 21.2% 19.4% 18.5% 15.5% (8.6%) (8.6%) Cash
Broken Hill Proprietary Co.
US West Newvector Group 36.4% 67.6% 79.6% 68.4% 44.3% 36.1% 3.5% 3.5% Stock
Inc. / US West
ERC Environmental & 44.1% 40.7% 26.1% 49.4% 37.5% 42.4% 37.5% 8.1% Cash
Energy Services Co Inc./
Ogden Corp.
Western Gas Processors Ltd (8.9%) (8.9%) (12.4%) (15.0%) (16.4%) (14.3%) (16.4%) (4.7%) Stock
/ Western Gas Resources
Inc
</TABLE>
- ----------------------------
(a) 52 week high excluding previous month.
- 34 -
<PAGE> 50
PREMIUMS PAID IN SELECTED SQUEEZE-OUT TRANSACTIONS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
TARGET NAME/ DATE PRICE/ PERCENT DEAL
ACQUIROR NAME ANNC. TRANSACTION TERMS SHARE PURCH. VALUE
- ------------- ----- ----------------- ------ ------- -----
<S> <C> <C> <C> <C> <C>
Sizzler Restaurants 9/11/90 1.25 shares of "New Collins" for each of $22.03 34.0% $122.0
International Inc. / Collins the 34% Sizzler already owned. Closing
Foods contingent upon completion of sale of
domestic Kentucky Fried Chicken and
other operations to Pepsico.
Freeport-McMoRan Oil & 7/31/90 Exchange of stock valuing Freeport @ $10.50 18.5% $241.0
Gas Co. / Freeport- $10.50/share. Freeport will be valued at
McMoRan Inc. an average of the composite tape closing
prices for the last 1O trading days prior to
the formal Freeport Shareholder approval.
Caesars New Jersey Inc. / 7/19/90 $22 cash per share tender offer for the $22.00 13.4% $ 63.9
Caesars World Inc. 2,175,945 outstanding shares.
TVX Broadcast Group Inc. / 7/12/90 Paramount Communications, formerly $ 9.50 21.0% $ 61.4
Paramount Communications Gulf & Western, acquired the remaining
Inc. 21% of TVX Broadcast Group, a unit of
Salomon, for a sweetened $9.50 per
share.
Mack Trucks Inc / Renault 7/6/90 Renault Vehicules Industriels, a unit of $ 8.78 40.0% $103.7
Vehicles Industrials France's Regie Nationale des Usines
Renault, acquired the 40% of Mack
Trucks it did not own.
DST Systems Inc. / Kansas 5/25/90 Initial offer of $14 cash per share. Most $15.85 12.9% $ 39.0
City Southern Industries, recent is $15.85 cash per share.
Inc.
American Capital 5/9/90 Original Terms: 0.3 Primerica shares for $11.50 17.4% $ 50.7
Management & Research each American Capital share. Revised
Inc. / Primerica Corp. Offer: Either 0.32 Primerica share of
(formerly American Can $11.50 in cash per share for the 17.4%
Co.) share not already owned.
LPL Technologies, Inc. / 3/19/90 Revised Terms: $25 cash for the 20% of $25.00 49.00% $ 25.1
Cheshire Acquisition Group LPL's shares that are publicly traded; for
the 29% balance of LPL shares not
owned by Cheshire, $17 in cash plus one
share of 12% cumulative redeemable
preferred stock with a stated value of $8
per share.
</TABLE>
<TABLE>
<CAPTION>
STOCK PRICE PREMIUM
TARGET NAME/ --------------------------------------------------------------------------------------- CASH/
ACQUIROR NAME 6 MOS. 3 MOS. 1 MO. 1 WEEK 1 DAY LTM AVG. LTM HIGH LTM HIGH(a) STOCK
- ------------- ------ ------ ----- ------ ----- -------- -------- ----------- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Sizzler Restaurants 25.9% 3.7% 26.3% 37.7% 31.5% 11.1% (5.8%) (5.8%) Stock
International Inc. / Collins
Foods
Freeport-McMoRan Oil & 10.5% 27.3% 42.4% 40.0% 31.3% 7.7% (16.0%) (18.3%) Stock
Gas Co. / Freeport-
McMoRan Inc.
Caesars New Jersey Inc. / 36.4% 40.8% 34.6% 39.7% 36.4% 11.3% (21.4%) (22.5%) Cash
Caesars World Inc.
TVX Broadcast Group Inc. / 130.3% 130.3% 85.4% 94.9% 26.7% 127.7% 26.7% 81.0% Cash
Paramount Communications
Inc.
Mack Trucks Inc. / Renault 59.6% 32.5% 21.9% 71.3% 67.2% 15.5% (26.8%) (31.8%) Cash
Vehicles Industrials
DST Systems Inc. / Kansas 37.8% 60.5% 54.6% 24.3% 5.7% 35.5% 5.7% 9.3% Cash
City Southern Industries,
Inc.
American Capital 35.3% 27.8% 35.9% 35.3% 37.3% 31.0% 24.3% 15.0% Cash
Management & Research
Inc. / Primerica Corp.
(formerly American Can
Co). /
LPL Technologies, Inc.+ 42.9% 58.7% 44.9% 53.8% 28.2% 66.2% 12.4% 35.1% Cash
Cheshire Acquisition Group
</TABLE>
- --------------------------
(a) 52 week high excluding previous month.
- 35 -
<PAGE> 51
PREMIUMS PAID IN SELECTED SQUEEZE-OUT TRANSACTIONS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
TARGET NAME/ DATE
ACQUIROR NAME ANNC. TRANSACTION TERMS
- ------------- ----- --------------------------------------------------
<S> <C> <C>
Shearson Lehman Hutton / 3/2/90 Original terms: 0.426 American Express
American Express Co. shares per Shearson share. Revised Terms:
0.48 American Express shares valued at $26.875 for
the 39% of Shearson shares not already owned.
POP Radio Corp. / Heritage 2/26/90 $20.50 cash for the 44% of shares not
Media Corp. already owned.
Copperweld Corp. / Imetal 1/24/90 Inmetal acquired the remaining 44.3% of
S.A. Copperweld that it did not already own
for $17 per share in cash, or $78.026
mil., an increase from its earlier offer of
$15.50 per share in cash, or $71.141 mil.
The revised offer was announced in
January 1990.
</TABLE>
<TABLE>
<CAPTION>
PRICE/ PERCENT DEAL STOCK PRICE PREMIUM CASH/
-----------------------------------------------------------------------------
SHARE PURCH. VALUE 6 MOS. 3 MOS. 1 MO. 1 WEEK 1 DAY LTM AVG. LTM HIGH LTM HIGH(a) STOCK
- ----- ------ ----- ------ ------ ----- ------ ----- -------- -------- ----------- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
$12.90 39.0% $361.2 (44.2%) (15.4%) 9.8% 18.6% (0.8%) (27.7%) (45.4%) (45.1%) Stock
$20.50 44.0% $ 40.0 34.4% 51.9% 69.9% 41.4% 20.6% 17.6% (18.0%) (18.0%) Cash
$17.00 44.4% $ 78.0 23.6% 19.3% 33.3% 44.7% 47.8% 35.3% 17.2% 6.3% Cash
</TABLE>
<TABLE>
<CAPTION>
ALL TRANSACTIONS
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
AVERAGE 27.2% 29.7% 30.6% 30.3% 28.3% 21.9% 27.7% 0.8% 6.6%
MEDIAN 22.9% 30.2% 27.8% 26.1% 22.3% 19.4% 22.7% (1.2%) 1.6%
</TABLE>
<TABLE>
<CAPTION>
CASH TRANSACTIONS
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
AVERAGE 27.2% 36.2% 36.8% 33.7% 32.0% 26.5% 34.9% 7.0% 12.1%
MEDIAN 22.2% 35.9% 32.9% 31.1% 26.7% 23.7% 25.1% 2.5% 5.9%
</TABLE>
<TABLE>
<CAPTION>
STOCK TRANSACTIONS
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
AVERAGE 27.2% 15.9% 17.3% 23.0% 20.4% 12.0% 12.3% (12.5%) (5.2%)
MEDIAN 29.0% 19.9% 10.3% 22.7% 16.6% 11.3% 11.1% (16.0%) (4.8%)
</TABLE>
- ---------------
(a) 52 week high excluding previous month.
- 36 -
<PAGE> 52
Exhibit 8
COMPARABLE COMPANY ANALYSIS
- --------------------------------------------------------------------------------
Reinsurance Companies (Cont'd)
($ in millions)
<TABLE>
<CAPTION>
GROUP
-------------------------
ZRC MEDIAN HIGH LOW CHARTWELL EVEREST NAC RE TRANSATLANTIC TRENWICK
------ ------ ----- ------ --------- ------- ------ ------------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
NET PREMIUMS EARNED
LFY-2 $ 86.3 $ 68.4 $ 883.2 $306.4 $ 581.1 $ 93.2
LFY-1 224.6 102.7 853.3 395.7 851.2 132.7
LFY 502.6 120.3 753.3 491.8 981.2 177.4
LTM 674.3 208.3 774.9 519.7 1,064.5 202.1
2-Year LFY CAGR 123.8% 17.1% 33.7% (11.7%) 17.1% (11.7%) 24.3% 15.3% 33.7%
NET INVESTMENT INCOME
LFY-2 $ 29.0 $ 11.0 $ 141.1 $76.6 $ 138.9 $ 35.0
LFY-1 51.0 14.7 143.6 80.5 153.6 33.9
LFY 80.0 19.9 166.0 89.3 172.9 36.8
LTM 88.5 38.5 184.4 99.9 187.0 40.1
2-Year LFY CAGR 56.8% 12.6% 35.2% 8.5% 35.2% 15.6% 10.9% 12.6% 8.5%
REALIZED INVESTMENT GAINS (LOSSES)
LFY-2 $ 22.7 $ 6.4 $ 78.8 $ 19.1 $ 5.7 $ 1.8
LFY-1 (35.6) (3.8) (10.5) 2.2 14.9 (0.2)
LFY 33.5 3.2 33.8 25.4 11.1 0.4
LTM 8.1 2.5 12.7 24.0 16.5 0.1
TOTAL REVENUES
LFY-2 $137.9 $ 85.8 $1,098.3 $402.1 $ 725.7 $130.0
LFY-1 243.2 115.3 982.8 478.4 1,019.7 166.4
LFY 616.7 144.5 948.9 606.5 1,165.2 214.6
LTM 771.7 232.5 971.7 643.6 1,262.0 242.3
2-Year LFY CAGR 153.5% 25.3% 28.9% (3.5%) 25.3% (3.5%) 26.8% 14.3% 28.9%
NET INCOME
LFY-2 $ 17.5 $ 3.1 $ 126.4 $ 42.4 $ 86.7 $ 23.7
LFY-1 (31.2) (4.5) 15.8 35.6 101.6 20.3
LFY 43.4 6.2 9.4 62.8 131.9 29.8
LTM 32.9 16.4 17.9 72.5 147.8 33.1
2-Year LFY CAGR (239.3%) 29.7% 76.4% (239.2%) (239.2%) (40.2%) 76.4% 29.7% 47.1%
</TABLE>
- 45 -
<PAGE> 53
COMPARABLE COMPANY ANALYSIS
- --------------------------------------------------------------------------------
Reinsurance Companies (Cont'd)
($ in millions)
<TABLE>
<CAPTION>
GROUP
-----------------------
ZRC MEDIAN HIGH LOW CHARTWELL EVEREST NAC RE TRANSATLANTIC TRENWICK
------ ------ ----- ------ --------- ------- ------ ------------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
NET OPERATING INCOME (a)
LFY-2 $ (5.2) $ (3.3) $ 47.6 $ 23.3 $ 81.0 $ 21.9
LFY-1 4.4 (0.7) 26.3 33.5 86.7 20.5
LFY 9.9 3.0 (24.4) 37.4 120.7 29.5
LTM 24.8 13.9 5.2 48.5 131.3 33.0
2-Year LFY CAGR 123.3% 11.9% 43.9% (541.2%) (541.2%) (193.0%) 11.9% 39.2% 43.9%
WEIGHTED AVERAGE SHARES OUTSTANDING
LFY-2 22.8 3.8 50.0 18.4 22.9 9.0
LFY- 1 26.1 3.8 50.0 17.9 22.9 8.8
LFY 26.2 3.8 50.2 18.1 22.9 9.0
NET OPERATING EPS (a)
LFY-2 $(0.23) $ (0.88) $ 0.95 $ 1.26 $ 3.54 $ 2.44
LFY-1 0.17 (0.18) 0.53 1.87 3.79 2.31
LFY 0.38 0.81 (0.49) 2.07 5.26 3.29
LTM 0.82 1.68 (0.07) 2.48 5.95 3.68
2-Year LFY CAGR 122.9% 10.7% 42.1% (541.9%) (541.9%) (192.7%) 10.7% 39.0% 42.1%
OPERATING RETURN ON AVERAGE EQUITY
LFY-2 NA (10.2%) 7.5% 6.8% 12.1% 11.6%
LFY-1 0.7% (1.5%) 3.2% 9.6% 11.3% 10.4%
LFY 1.6% 2.9% (2.8%) 9.0% 13.8% 13.7%
2-Year LFY AVERAGE 1.2% 9.3% 12.5% 0.2% 0.7% 0.2% 9.3% 12.5% 12.1%
COMMON SHAREHOLDERS' EQUITY
LFY-3 NA $ 30.6 $ 397.3 $309.2 $562.3 $169.4
LFY-2 637.7 34.6 875.4 375.5 771.9 206.8
LFY-1 565.2 56.3 741.0 319.1 763.4 188.2
LIFY 681.6 152.5 983.6 511.8 988.5 240.8
3-Year LFY CAGR 3.4% 13.2% 110.1% 6.0% 110.1% 6.0% 16.7% 13.2% 7.9%
</TABLE>
(a) Excludes net realized gains (losses).
- 46 -
<PAGE> 54
COMPARABLE COMPANY ANALYSIS
- --------------------------------------------------------------------------------
Reinsurance Companies (Cont'd)
($ in millions)
<TABLE>
<CAPTION>
GROUP
----------------------------
ZRC MEDIAN HIGH LOW CHARTWELL EVEREST NAC RE TRANSATLANTIC TRENWICK
--- ------ ---- --- --------- ------- ------ ------------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
GAAP LOSSES
LFY-2 $ 70.1 $ 48.7 $687.4 $213.8 $465.4 $ 63.8
LFY-1 182.8 78.6 720.8 265.8 681.9 92.8
LFY 376.3 86.9 674.7 326.1 746.9 113.1
LTM 482.8 133.8 680.8 326.9 792.7 123.0
GAAP LOSS RATIO
LFY-2 81.3% 71.2% 80.1% 68.5% 71.2% 77.8% 69.8% 80.1% 68.5%
LFY-1 81.4% 76.5% 84.5% 67.2% 76.5% 84.5% 67.2% 80.1% 70.0%
LFY 74.9% 72.3% 89.6% 63.7% 72.3% 89.6% 66.3% 76.1% 63.7%
LTM 71.6% 64.3% 87.9% 60.9% 64.3% 87.9% 62.9% 74.5% 60.9%
2-YR LFY Average 78.1% 74.4% 87.0% 66.7% 74.4% 87.0% 66.7% 78.1% 66.9%
GAAP EXPENSES
LFY-2 $ 38.4 $ 25.6 $254.3 125.2 $172.4 $ 31.7
LFY-1 88.0 34.5 266.2 155.9 222.1 44.1
LFY 167.7 40.8 287.4 185.9 262.9 56.6
LTM 226.1 63.5 290.1 197.9 295.1 69.2
GAAP EXPENSE RATIO
LFY-2 44.5% 34.1% 40.9% 28.8% 37.5% 28.8% 40.9% 29.7% 34.1%
LFY-1 39.2% 33.2% 39.4% 26.1% 33.6% 31.2% 39.4% 26.1% 33.2%
LFY 33.4% 33.9% 38.2% 26.8% 33.9% 38.2% 37.8% 26.8% 31.9%
LTM 33.5% 34.2% 38.1% 27.7% 30.5% 37.4% 38.1% 27.7% 34.2%
2-YR LFY Average 36.3% 33.7% 38.6% 26.4% 33.7% 34.7% 38.6% 26.4% 32.6%
GAAP COMBINED RATIO
LFY-2 125.8% 108.7% 110.7% 102.5% 108.7% 106.6% 110.7% 109.8% 102.5%
LFY-1 120.6% 106.5% 115.7% 103.2% 110.1% 115.7% 106.5% 106.2% 103.2%
LFY 108.2% 104.1% 127.7% 95.7% 106.2% 127.7% 104.1% 102.9% 95.7%
LTM 105.1% 101.0% 125.3% 94.7% 94.7% 125.3% 101.0% 102.2% 95.1%
2-YR LFY Average 114.4% 105.3% 121.7% 99.4% 108.1% 121.7% 105.3% 104.6% 99.4%
</TABLE>
- 47 -
<PAGE> 55
COMPARABLE COMPANY ANALYSIS
- --------------------------------------------------------------------------------
Reinsurance Companies (Cont'd)
($ in millions)
<TABLE>
<CAPTION>
GROUP
--------------------------------------
ZRC MEDIAN HIGH LOW CHARTWELL
--------- ------ ---- --- ---------
<S> <C> <C> <C> <C> <C>
Balance Sheet as of: 9/30/96 9/30/96
ASSETS
Cash and Investments $ 1,671.0 $ 721.5
Premiums Receivable 249.4 97.1
Reinsurance Recoverables 40.3 192.0
Accrued Investment Income 15.9 18.2
Deferred Acquisition Costs 85.2 18.3
Goodwill 0.0 0.0
other Assets 113.9 137.5
--------- ---------
Total Assets $ 2,175.7 $ 1,184.6
========= =========
LIABILITIES AND SHAREHOLDERS' EQUITY
Losses and LAE $ 876.8 $ 736.3
Unearned Premiums 308.1 85.1
Short-Term Debt 0.0 0.0
Long-Term Debt 198.4 95.8
Other Liabilities 108.4 55.1
--------- ---------
Total Liabilities $ 1,491.8 $ 972.2
========= =========
Preferred Stock $ 0.0 $ 0.0
Minority Interest 0.0 0.0
Common Stock 623.5 211.9
Retained Earnings 43.1 7.8
Unrealized investment Gains (Losses) 17.5 (7.3)
Other (0.2) 0.0
--------- ---------
Total Common Shareholders'Equity 683.9 212.4
Total Shareholders' Equity 683.9 212.4
--------- ---------
Total Liab. & Shareholders' Equity $ 2,175.7 $ 1,184.6
========= =========
Total Debt / Total Capitalization 22.5% 28.9% 37.2% 0.0% 31.1
Total Debt / Enterprise Value 19.6% 24.0% 32.7% 0.0% 26.2
</TABLE>
<TABLE>
<CAPTION>
EVEREST NAC RE TRANSATLANTIC TRENWICK
--------- --------- --------- ---------
<S> <C> <C> <C> <C>
Balance Sheet as of 9/30/96 9/30/96 9/30/96 9/30/96
ASSETS
Cash and Investments $ 3,455.5 $ 1,930.0 $ 3,398.8 $ 709.3
Premiums Receivable 271.7 192.1 55.8 61.5
Reinsurance Recoverables 715.8 303.6 388.5 76.5
Accrued Investment Income 48.9 27.5 56.8 10.2
Deferred Acquisition Costs 84.5 79.4 62.5 22.2
Goodwill 0.0 3.7 0.0 0.0
other Assets 348.7 125.7 324.5 22.3
--------- --------- --------- ---------
Total Assets $ 4,925.1 $ 2,662.2 $ 4,286.9 $ 902.1
========= ========= ========= =========
LIABILITIES AND SHAREHOLDERS' EQUITY
Losses and LAE $ 3,081.8 $ 1,443.7 $ 2,668.1 $ 456.8
Unearned Premiums 353.7 251.8 378.7 74.3
Short-Term Debt 0.0 0.0 0.0 0.0
Long-Term Debt 0.0 312.9 0.0 103.5
Other Liabilities 475.1 125.4 168.4 12.9
--------- --------- --------- ---------
Total Liabilities $ 3,910.5 $ 2,133.8 $ 3,215.2 $ 647.6
========= ========= ========= =========
Preferred Stock $ 0.0 $ 0.0 $ 0.0 $ 0.0
Minority Interest 0.0 0.0 0.0 0.0
Common Stock 389.6 250.9 225.4 94.7
Retained Earnings 595.7 319.7 784.9 152.8
Unrealized investment Gains (Losses) 44.7 17.3 73.5 8.3
Other (15.5) (59.5) (12.1) (1.1)
--------- --------- --------- ---------
Total Common Shareholders'Equity 1,014.6 528.4 1,071.7 254.6
Total Shareholders' Equity 1,014.6 528.4 1,071.7 254.6
--------- --------- --------- ---------
Total Liab. & Shareholders' Equity $ 4,925.1 $ 2,662.2 $ 4,286.9 $ 902.1
========= ========= ========= =========
Total Debt / Total Capitalization 0.0% 37.2% 0.0% 28.9%
Total Debt / Enterprise Value 0.0% 32.7% 0.0% 24.0%
</TABLE>
- 48 -
<PAGE> 56
COMPARABLE COMPANY ANALYSIS
- --------------------------------------------------------------------------------
Reinsurance Companies (Cont'd)
($ in millions)
<TABLE>
<CAPTION>
GROUP
--------------------------------------
ZRC MEDIAN HIGH LOW CHARTWELL
--- ------ ---- --- ---------
<S> <C> <C> <C> <C> <C>
Balance Sheet as of: 9/30/96 9/30/96
ASSETS
Cash and Investments 76.8% 60.9%
Premiums Receivable 11.5% 8.2%
Reinsurance Recoverables 1.9% 16.2%
Accrued Investment Income 0.7% 1.5%
Deferred Acquisition Costs 3.9% 1.5%
Goodwill 0.0% 0.0%
Other Assets 5.2% 11.6%
----- -----
Total Assets 100.0% 100.0%
===== =====
LIABILITIES AND SHAREHOLDERS' EQUITY
Losses and LAE 40.3% 62.2%
Unearned Premiums 14.2% 7.2%
Short-Term Debt 0.0% 0.0%
Long-Term Debt 9.1% 8.1%
Other Liabilities 5.0% 4.6%
----- -----
Total Liabilities 68.6% 82.1%
===== =====
Preferred Stock 0.0% 0.0%
Minority Interest 0.0% 0.0%
Common Stock 28.7% 17.9%
Retained Earnings 2.0% 0.7%
Unrealized Investment Gains (Losses) 0.8% (0.6%)
Other (0.0%) 0.0%
----- -----
Total Common Shareholders' Equity 31.4% 17.9%
Total Shareholders' Equity 31.4% 17.9%
----- -----
Total Liab. & Shareholders' Equity 100.0% 100.0%
===== =====
</TABLE>
<TABLE>
<CAPTION>
EVEREST NAC RE TRANSATLANTIC TRENWICK
------- ------ ------------- --------
<S> <C> <C> <C> <C>
Balance Sheet as of: 9/30/96 9/30/96 9/30/96 9/30/96
ASSETS
Cash and Investments 70.2% 72.5% 79.3% 78.6%
Premiums Receivable 5.5% 7.2% 1.3% 6.8%
Reinsurance Recoverables 14.5% 11.4% 9.1% 8.5%
Accrued Investment Income 1.0% 1.0% 1.3% 1.1%
Deferred Acquisition Costs 1.7% 3.0% 1.5% 2.5%
Goodwill 0.0% 0.1% 0.0% 0.0%
Other Assets 7.1% 4.7% 7.6% 2.5%
----- ----- ----- -----
Total Assets 100.0% 100.0% 100.0% 100.0%
===== ===== ===== =====
LIABILITIES AND SHAREHOLDERS' EQUITY
Losses and LAE 62.6% 54.2% 62.2% 50.6%
Unearned Premiums 7.2% 9.5% 8.8% 8.2%
Short-Term Debt 0.0% 0.0% 0.0% 0.0%
Long-Term Debt 0.0% 11.8% 0.0% 11.5%
Other Liabilities 9.6% 4.7% 3.9% 1.4%
----- ----- ----- -----
Total Liabilities 79.4% 80.2% 75.0% 71.8%
===== ===== ===== =====
Preferred Stock 0.0% 0.0% 0.0% 0.0%
Minority Interest 0.0% 0.0% 0.0% 0.0%
Common Stock 7.9% 9.4% 5.3% 10.5%
Retained Earnings 12.1% 12.0% 18.3% 16.9%
Unrealized Investment Gains (Losses) 0.9% 0.7% 1.7% 0.9%
Other (0.3%) (2.2%) (0.3%) (0.1%)
----- ----- ----- -----
Total Common Shareholders' Equity 20.6% 19.8% 25.0% 28.2%
Total Shareholders' Equity 20.6% 19.8% 25.0% 28.2%
----- ----- ----- -----
Total Liab. & Shareholders' Equity 100.0% 100.0% 100.0% 100.0%
===== ===== ===== =====
</TABLE>
- 49 -
<PAGE> 57
PUBLIC COMPARABLE COMPANY
ANALYSIS
- 37 -
<PAGE> 58
COMPARABLE COMPANY ANALYSIS
- --------------------------------------------------------------------------------
Highly Capitalized Companies
($ in millions, except per share amounts)
<TABLE>
<CAPTION>
Group
------------------------------
ZRC Median High Low GCR IPC LaSalle Re
-------- ------ ------ ---- ------- -------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
Ticker Symbol ZRC GCREF IPCRF LSREF
Fiscal Year End 12/31/95 9/30/96 12/31/95 9/30/96
Latest Financial Data 9/30/96 9/30/96 9/30/95 9/30/96
GAAP SUMMARY DATA:
LTM Actual Net Operating EPS $ 0.82 $ 3.63 $ 3.53 $ 5.60
1996E Net Operating EPS (a) 1.15 3.61 3.50 4.82
1997E Net Operating EPS (a) 1.53 3.59 3.70 4.40
GAAP Book Value Per Share $ 26.11 $16.87 $19.07 $21.35
Dividend $ 0.10 $ 2.48 $ 4.60 $ 1.00
Yield 0.3% 3.4% 20.4% 1.9% 10.9% 20.4% 3.7%
Combined Ratio 105.1% 47.2% 42.2% 46.0%
STATUTORY SUMMARY DATA:
1995 FYE Net Income $ 6.1 $ 88.3 $ 74.9 NA
1995 FYE Capital and Surplus 657.2 485.9 432.6 390.7
STOCK PRICE:
Closing Price as of 11/15/96 $31.00 $22.75 $22.50 $26.88
52-Week High 32.63 27.25 22.88 29.50
52-Week Low 28.38 19.75 19.00 19.50
Current Number of Shares Outstanding 26.2 25.7 25.0 22.7
Market Capitalization $ 811.9 $584.0 $562.5 $610.8
Enterprise Value 1,010.3 584.0 562.5 610.8
GAAP PRICE / EARNINGS MULTIPLE
LTM Actual 37.8x 6.4x 9.4x 4.8x 6.3x 6.4x 4.8x
1996E 27.0 6.4 8.9 5.3 6.3 6.4 5.6
1997E 20.3 6.3 8.2 5.5 6.3 6.1 6.1
Price / Book Value 1.2x 1.3x 1.7x 1.0x 1.3x 1.2x 1.3x
ENTERPRISE VALUE / STATUTORY RESULTS
1995 Net Income 164.7x 7.1x 7.5x 6.6x 6.6x 7.5x NA
1995 Capital and Surplus 1.5 1.3 1.8 1.1 1.2 1.3 1.6
</TABLE>
<TABLE>
<CAPTION>
Mid Ocean PartnerRe PXRE Renaissancere
--------- --------- -------- -------------
<S> <C> <C> <C> <C>
Ticker Symbol MOC PTREF PXRE RNR
Fiscal Year End 10/31/95 12/31/95 12/31/95 12/31/95
Latest Financial Data 7/31/96 9/30/96 9/30/96 9/30/96
GAAP SUMMARY DATA:
LTM Actual Net Operating EPS $ 5.36 $ 4.40 $ 3.83 $ 6.02
1996E Net Operating EPS (a) 5.65 4.31 3.65 5.95
1997E Net Operating EPS (a) 6.10 4.37 3.63 5.68
GAAP Book Value Per Share $ 29.19 $ 25.17 $25.80 $ 22.63
Dividend $ 1.65 $ 0.60 $ 0.84 $ 0.80
Yield 3.3% 1.9% 3.4% 2.6%
Combined Ratio 72.3% 26.0% 61.6% 53.1%
STATUTORY SUMMARY DATA:
1995 FYE Net Income NA NA $ 38.0 NA
1995 FYE Capital and Surplus 946.0 1,303.5 250.2 517.2
STOCK PRICE:
Closing Price as of 11/15/96 $ 50.25 $ 31.25 $25.00 $ 31.25
52-Week High 50.50 31.88 28.00 33.13
52-Week Low 35.25 23.75 22.25 25.63
Current Number of Shares Outstanding 34.3 48.3 8.3 25.6
Market Capitalization $1,723.4 $1,509.4 $206.7 $ 800.5
Enterprise Value 1,723.4 1,509.4 271.4 950.5
GAAP PRICE / EARNINGS MULTIPLE
LTM Actual 9.4x 7.1x 6.5x 5.2x
1996E 8.9 7.3 6.8 5.3
1997E 8.2 7.2 6.9 5.5
Price / Book Value 1.7x 1.2x 1.0X 1.4x
ENTERPRISE VALUE / STATUTORY RESULTS
1995 Net Income NA NA 7.1x NA
1995 Capital and Surplus 1.8 1.2 1.1 1.8
</TABLE>
(a) IBES mean estimates as of 11/15/96.
- 38 -
<PAGE> 59
COMPARABLE COMPANY ANALYSIS
- --------------------------------------------------------------------------------
Highly Capitalized Companies (Cont'd)
($ in millions)
<TABLE>
<CAPTION>
GROUP
----------------------------------
ZRC MEDIAN HIGH LOW GCR
--- ------ ---- --- ---
<S> <C> <C> <C> <C> <C>
NET PREMIUMS EARNED
LFY-2 $ 86.3 56.7
LFY-1 224.6 120.6
LFY 502.6 124.5
LTM 674.3 124.5
2-Year LFY CAGR 123.8% 19.0% 36.0% (12.2%) 3.2%
NET INVESTMENT INCOME
LFY-2 $ 29.0 20.1
LFY-1 51.0 32.7
LFY 80.0 29.0
LTM 88.5 29.0
2-Year LFY CAGR 56.8% 36.4% 116.3% (11.3%) (11.3%)
REALIZED INVESTMENT GAINS (LOSSES)
LFY-2 $ 22.7 (10.2)
LFY-1 (35.6) 0.4
LFY 33.5 (0.0)
LTM 8.1 (0.0)
TOTAL REVENUES
LFY-2 $137.9 67.1
LFY-1 243.2 153.6
LFY 616.7 153.3
LTM 771.7 153.3
2-Year LFY CAGR 153.5% 24.9% 51.3% (9.1%) (0.2%)
NET INCOME
LFY-2 $ 17.5 29.8
LFY-1 (31.2) 90.7
LFY 43.4 90.8
LTM 32.9 90.8
2-Year LFY CAGR (239.3%) 53.2% 101.1% 0.1% 0.1%
</TABLE>
<TABLE>
<CAPTION>
IPC LASALLE RE MID OCEAN PARTNERRE PXRE RENAISSANCERE
--- ---------- --------- --------- ---- -------------
<S> <C> <C> <C> <C> <C> <C>
NET PREMIUMS EARNED
LFY-2 NA 105.4 $138.2 NA $ 78.9 NA
LFY-1 74.7 170.4 301.0 171.2 110.6 242.8
LFY 101.5 195.1 379.4 222.4 97.1 288.9
LTM 111.2 195.1 430.5 217.5 78.4 261.4
2-Year LFY CAGR 36.0% 14.5% 26.0% 29.9% (12.2%) 19.0%
NET INVESTMENT INCOME
LFY-2 NA 19.9 $ 23.2 N A $ 8.0 N A
LFY-1 16.8 25.1 51.5 55.3 13.8 14.9
LFY 22.9 26.8 73.8 79.2 14.7 32.3
LTM 27.6 26.8 79.1 86.7 16.1 40.5
2-Year LFY CAGR 36.4% 7.0% 43.2% 43.2% 6.8% 116.3%
REALIZED INVESTMENT GAINS (LOSSES)
LFY-2 NA (0.0) $ 11.9 NA ($ 1.5) NA
LFY-1 (1.1) (0.0) (18.2) (20.1) (1.2) 0.2
LFY 3.0 (0.4) 1.5 10.6 0.1 2.3
LTM 5.1 (0.4) 1.9 5.2 0.4 (2.2)
TOTAL REVENUES
LFY-2 NA 125.3 $173.3 NA $ 99.1 NA
LFY-1 90.4 195.4 334.3 206.3 130.2 261.4
LFY 127.4 221.6 454.7 312.1 118.4 326.6
LTM 143.9 221.6 511.3 309.3 101.6 301.1
2-Year LFY CAGR 40.9% 13.4% 36.0% 51.3% (9.1%) 24.9%
NET INCOME
LFY-2 NA 59.1 $ 67.7 NA $ 20.6 NA
LFY-1 46.4 65.7 91.0 146.1 34.8 96.4
LFY 74.3 81.5 182.9 223.8 39.2 162.8
LTM 97.0 81.5 198.2 251.5 34.1 155.2
2-Year LFY CAGR 60.0% 24.1% 101.1% 53.2% 12.5% 68.8%
</TABLE>
- 39 -
<PAGE> 60
COMPARABLE COMPANY ANALYSIS
- --------------------------------------------------------------------------------
Highly Capitalized Companies (Cont'd)
($ in millions)
<TABLE>
<CAPTION>
GROUP
-------------------------------------
ZRC MEDIAN HIGH LOW GCR
--- ------ ---- --- ---
<S> <C> <C> <C> <C> <C>
NET OPERATING INCOME (a)
LFY-2 ($ 5.2) $ 40.0
LFY-1 4.4 90.3
LFY 9.9 90.8
LTM 24.8 90.8
2-Year LFY CAGR 123.3% 28.3% 66.9% 0.6% 0.6%
WEIGHTED AVERAGE SHARES OUTSTANDING
LFY-2 22.8 22.6
LFY-1 26.1 23.0
LFY 26.2 25.0
NET OPERATING EPS (a)
LFY-2 ($ 0.23) $ 1.77
LFY-1 0.17 3.92
LFY 0.38 3.63
LTM 0.82 3.63
2-Year LFY CAGR 122.9% 27.0% 67.9% (7.4%) (7.4%)
OPERATING RETURN ON AVERAGE EQUITY
LFY-2 NA NA
LFY-1 0.7% 21.9%
LFY 1.6% 23.5%
2-YR LFY AVERAGE 1.2% 22.0% 52.6% 16.4% 22.7%
COMMON SHAREHOLDERS' EQUITY
LFY-3 NA NA
LFY-2 637.7 468.1
LFY-1 565.2 356.4
LFY 681.6 417.0
3-Year LFY CAGR 3.4% 14.6% 21.6% (13.1%) (5.6%)
</TABLE>
<TABLE>
<CAPTION>
IPC LASALLE RE MID OCEAN PARTNERRE PXRE RENAISSANCERE
--- ---------- --------- --------- ---- -------------
<S> <C> <C> <C> <C> <C> <C>
NET OPERATING INCOME (a)
LFY-2 NA $ 59.1 $ 55.7 NA $ 22.1 NA
LFY-1 47.5 65.7 109.2 166.2 36.0 96.2
LFY 71.3 81.9 181.5 213.2 39.1 160.5
LTM 91.9 81.9 196.3 246.3 33.7 157.4
2-Year LFY CAGR 50.2% 24.7% 66.2% 28.3% 8.7% 66.9%
WEIGHTED AVERAGE SHARES OUTSTANDING
LFY-2 NA NA 26.0 NA 8.4 NA
LFY-1 25.1 23.2 37.7 56.0 8.8 22.7
LFY 25.6 24.0 37.3 56.6 8.9 24.1
NET OPERATING EPS (a)
LFY-2 NA NA $ 2.14 NA $ 2.64 NA
LFY-1 1.89 2.84 2.89 2.97 4.07 4.23
LFY 2.78 3.42 4.86 3.77 4.41 6.65
LTM 3.53 5.60 5.36 4.40 3.83 6.02
2-Year LFY CAGR 47.3% 20.5% 67.9% 27.0% 8.3% 57.3%
OPERATING RETURN ON AVERAGE EQUITY
LFY-2 NA 15.2% NA NA 20.8% NA
LFY-1 14.5% 19.9% 13.9% 16.7% 23.3% NA
LFY 18.3% 29.2% 20.5% 18.2% 20.7% 52.6%
2-YR LFY AVERAGE 16.4% 24.6% 17.2% 17.4% 22.0% 52.6%
COMMON SHAREHOLDERS' EQUITY
LFY-3 NA 372.1 NA NA $ 69.7 NA
LFY-2 309.0 407.0 769.4 959.4 142.7 NA
LFY-1 347.2 253.4 804.6 1,035.6 166.8 124.0
LFY 434.3 307.4 968.8 1,311.2 211.2 486.3
3-Year LFY CAGR 18.6% (13.1%) 12.2% 16.9% 21.6% NA
</TABLE>
(a) Excludes net realized gains (losses).
- 40 -
<PAGE> 61
COMPARABLE COMPANY ANALYSIS
- --------------------------------------------------------------------------------
Highly Capitalized Companies (Cont'd)
($ in millions)
<TABLE>
<CAPTION>
GROUP
-------------------------- LASALLE MID
ZRC MEDIAN HIGH LOW GCR IPC RE OCEAN PARTNERRE PXRE RENAISSANCERE
--- ------ ---- --- --- --- -- ----- --------- ---- -------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
GAAP LOSSES
LFY-2 $ 70.1 25.3 NA 50.4 $ 74.7 NA $ 40.6 NA
LFY-1 182.8 35.3 31.6 60.4 197.1 41.9 52.6 114.1
LFY 376.3 28.0 36.7 51.5 198.7 61.5 34.7 110.6
LTM 482.8 28.0 26.0 51.5 218.3 26.3 22.8 98.0
GAAP LOSS RATIO
LFY-2 81.3% 49.6% 54.1% 44.6% 44.6% NA 47.8% 54.1% NA 51.4% NA
LFY-1 81.4% 42.3% 65.5% 24.5% 29.3% 42.3% 35.5% 65.5% 24.5% 47.6% 47.0%
LFY 74.9% 35.7% 52.4% 22.5% 22.5% 36.1% 26.4% 52.4% 27.7% 35.7% 38.3%
LTM 71.6% 26.4% 50.7% 12.1% 22.5% 23.4% 26.4% 50.7% 12.1% 29.1% 37.5%
2-YR LFY Average 78.1% 39.2% 58.9% 25.9% 25.9% 39.2% 30.9% 58.9% 26.1% 41.7% 42.6%
GAAP EXPENSES
LFY-2 $ 38.4 12.0 NA 17.6 $ 30.3 NA $ 22.3 NA
LFY-1 88.0 25.7 12.6 29.2 49.5 21.5 23.4 35.4
LFY 167.7 30.7 17.7 38.4 70.1 27.2 24.5 39.7
LTM 226.1 30.7 20.9 38.4 92.9 30.2 25.5 40.8
GAAP EXPENSE RATIO
LFY-2 44.5% 21.5% 28.2% 16.7% 21.2% NA 16.7% 21.9% NA 28.2% NA
LFY-1 39.2% 16.9% 21.3% 12.6% 21.3% 16.9% 17.1% 16.4% 12.6% 21.1% 14.6%
LFY 33.4% 18.5% 25.2% 12.2% 24.7% 17.4% 19.7% 18.5% 12.2% 25.2% 13.8%
LTM 33.5% 19.7% 32.5% 13.9% 24.7% 18.8% 19.7% 21.6% 13.9% 32.5% 15.6%
2-YR LFY Average 36.3% 17.5% 23.2% 12.4% 23.0% 17.2% 18.4% 17.5% 12.4% 23.2% 14.2%
GAAP COMBINED RATIO
LFY-2 125.8% 70.9% 79.6% 64.5% 65.8% NA 64.5% 76.0% NA 79.6% NA
LFY-1 120.6% 59.2% 81.9% 37.0% 50.6% 59.2% 52.6% 81.9% 37.0% 68.7% 61.6%
LFY 108.2% 52.0% 70.8% 39.9% 47.2% 53.5% 46.0% 70.8% 39.9% 60.9% 52.0%
LTM 105.1% 47.2% 72.3% 26.0% 47.2% 42.2% 46.0% 72.3% 26.0% 61.6% 53.1%
2-YR LFY Average 114.4% 56.4% 76.4% 38.5% 48.9% 56.4% 49.3% 76.4% 38.5% 64.8% 56.8%
</TABLE>
- 41 -
<PAGE> 62
COMPARABLE COMPANY ANALYSIS
- --------------------------------------------------------------------------------
Highly Capitalized Companies (Cont'd)
($ in millions)
<TABLE>
<CAPTION>
GROUP
------------------------------------
ZRC MEDIAN HIGH LOW GCR IPC
--- ------ ---- --- --- ---
<S> <C> <C> <C> <C> <C> <C>
Balance Sheet as of: 9/30/96 9/30/96 9/30/95
ASSETS
Cash and Investments $1,671.0 $ 452.3 $ 497.0
Premiums Receivable 249.4 45.5 35.7
Reinsurance Recoverables 40.3 0.0 0.0
Accrued Investment Income 15.9 8.9 13.2
Deferred Acquisition Costs 85.2 9.4 4.2
Goodwill 0.0 0.0 0.0
Other Assets 113.9 0.7 2.0
-------- -------- --------
Total Assets $2,175.7 $ 516.8 $ 552.0
======== ======== ========
LIABILITIES AND SHAREHOLDERS' EQUITY
Losses and LAE $ 876.8 $ 39.9 $ 31.5
Unearned Premiums 308.1 57.0 42.5
Short-Term Debt 0.0 0.0 0.0
Long-Term Debt 198.4 0.0 0.0
Other Liabilities 108.4 2.8 1.2
-------- -------- --------
Total Liabilities $1,491.8 $ 99.8 $ 75.2
======== ======== ========
Preferred Stock $ 0.0 $ 0.0 $ 0.0
Minority Interest 0.0 0.0 0.0
Common Stock 623.5 357.8 299.5
Retained Earnings 43.1 60.8 185.4
Unrealized Investment Gains (Losses) 17.5 (0.1) (8.1)
Other (0.2) (1.4) 0.0
-------- -------- --------
Total Common Shareholders' Equity 683.9 417.0 476.8
Total Shareholders' Equity 683.9 417.0 476.8
-------- -------- --------
Total Liab. & Shareholders' Equity $2,175.7 $ 516.8 $ 552.0
======== ======== ========
Total Debt/Total Capitalization 22.5% 0.0% 22.7% 0.0% 0.0% 0.0%
Total Debt/Enterprise Value 19.6% 0.0% 23.8% 0.0% 0.0% 0.0%
</TABLE>
<TABLE>
<CAPTION>
LASALLE RE MID OCEAN PARTNERRE PXRE RENAISSANCERE
---------- --------- --------- ---- -------------
<S> <C> <C> <C> <C> <C>
Balance Sheet as of: 9/30/96 7/31/96 9/30/96 9/30/96 9/30/96
ASSETS
Cash and Investments $ 537.5 $1,461.2 $1,402.4 $ 264.9 $ 840.7
Premiums Receivable 70.6 328.8 65.2 17.2 109.8
Reinsurance Recoverables 0.0 11.4 0.0 33.4 0.0
Accrued Investment Income 14.2 24.8 21.8 4.1 16.6
Deferred Acquisition Costs 10.5 52.4 6.3 1.7 11.6
Goodwill 0.0 30.7 0.0 0.0 0.0
Other Assets 1.6 89.6 3.8 69.2 4.4
-------- -------- -------- -------- --------
Total Assets $ 634.4 $1,999.0 $1,499.4 $ 390.5 $ 983.1
======== ======== ======== ======== ========
LIABILITIES AND SHAREHOLDERS' EQUITY
Losses and LAE $ 49.9 $ 403.9 $ 59.6 $ 65.2 $ 106.2
Unearned Premiums 82.9 377.5 80.2 19.7 109.9
Short-Term Debt 0.0 0.0 0.0 0.0 0.0
Long-Term Debt 0.0 0.0 0.0 64.7 150.0
Other Liabilities 14.7 115.6 18.1 20.3 22.0
-------- -------- -------- -------- --------
Total Liabilities $ 147.5 $ 897.0 $ 157.8 $ 169.8 $ 388.1
======== ======== ======== ======== ========
Preferred Stock $ 0.0 $ 0.0 $ 0.0 $ 0.0 $ 0.0
Minority Interest 179.5 51.5 0.0 0.0 15.3
Common Stock 236.4 630.2 851.6 118.6 199.4
Retained Earnings 72.9 437.9 493.2 111.3 385.6
Unrealized Investment Gains (Losses) (1.9) (15.3) (2.3) (1.1) (1.4)
Other 0.0 (2.2) (1.0) (8.1) (3.8)
-------- -------- -------- -------- --------
Total Common Shareholders' Equity 307.4 1,050.5 1,341.5 220.7 579.7
Total Shareholders' Equity 486.9 1,102.0 1,341.5 220.7 595.0
-------- -------- -------- -------- --------
Total Liab. & Shareholders' Equity $ 634.4 $1,999.0 $1,499.4 $ 390.5 $ 983.1
======== ======== ======== ======== ========
Total Debt/Total Capitalization 0.0% 0.0% 0.0% 22.7% 20.1%
Total Debt/Enterprise Value 0.0% 0.0% 0.0% 23.8% 15.8%
</TABLE>
- 42 -
<PAGE> 63
COMPARABLE COMPANY ANALYSIS
- --------------------------------------------------------------------------------
Highly Capitalized Companies (Cont'd)
($ in millions)
<TABLE>
<CAPTION>
GROUP
-------------------------------
ZRC MEDIAN HIGH LOW GCR
--- ------ ---- --- ---
<S> <C> <C> <C> <C> <C>
Balance Sheet as of: 9/30/96 9/30/96
ASSETS
Cash and Investments 76.8% 87.5%
Premiums Receivable 11.5% 8.8%
Reinsurance Recoverables 1.9% 0.0%
Accrued Investment Income 0.7% 1.7%
Deferred Acquisition Costs 3.9% 1.8%
Goodwill 0.0% 0.0%
Other Assets 5.2% 0.1%
----- -----
Total Assets 100.0% 100.0%
===== =====
LIABILITIES AND SHAREHOLDERS' EQUITY
Losses and LAE 40.3% 7.7%
Unearned Premiums 14.2% 11.0%
Short-Term Debt 0.0% 0.0%
Long-Term Debt 9.1% 0.0%
Other Liabilities 5.0% 0.5%
----- -----
Total Liabilities 68.6% 19.3%
===== =====
Preferred Stock 0.0% 0.0%
Minority Interest 0.0% 0.0%
Common Stock 28.7% 69.2%
Retained Earnings 2.0% 11.8%
Unrealized Investment Gains (Losses) 0.8% (0.0%)
Other (0.0%) (0.3%)
----- -----
Total Common Shareholders' Equity 31.4% 80.7%
Total Shareholders' Equity 31.4% 80.7%
----- -----
Total Liab. & Shareholders' Equity 100.0% 100.0%
===== =====
</TABLE>
<TABLE>
<CAPTION>
IPC LASALLE RE MID OCEAN PARTNERRE PXRE RENAISSANCERE
--- ---------- --------- --------- ---- -------------
<S> <C> <C> <C> <C> <C> <C>
Balance Sheet as of: 9/30/95 9/30/96 7/31/96 9/30/96 9/30/96 9/30/96
ASSETS
Cash and Investments 90.0% 84.7% 73.1% 93.5% 67.8% 85.5%
Premiums Receivable 6.5% 11.1% 16.4% 4.3% 4.4% 11.2%
Reinsurance Recoverables 0.0% 0.0% 0.6% 0.0% 8.6% 0.0%
Accrued Investment Income 2.4% 2.2% 1.2% 1.5% 1.0% 1.7%
Deferred Acquisition Costs 0.8% 1.6% 2.6% 0.4% 0.4% 1.2%
Goodwill 0.0% 0.0% 1.5% 0.0% 0.0% 0.0%
Other Assets 0.4% 0.2% 4.5% 0.3% 17.7% 0.5%
----- ----- ----- ----- ----- -----
Total Assets 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%
===== ===== ===== ===== ===== =====
LIABILITIES AND SHAREHOLDERS' EQUITY
Losses and LAE 5.7% 7.9% 20.2% 4.0% 16.7% 10.8%
Unearned Premiums 7.7% 13.1% 18.9% 5.3% 5.0% 11.2%
Short-Term Debt 0.0% 0.0% 0.0% 0.0% 0.0% 0.0%
Long-Term Debt 0.0% 0.0% 0.0% 0.0% 16.6% 15.3%
Other Liabilities 0.2% 2.3% 5.8% 1.2% 5.2% 2.2%
----- ----- ----- ----- ----- -----
Total Liabilities 13.6% 23.2% 44.9% 10.5% 43.5% 39.5%
===== ===== ===== ===== ===== =====
Preferred Stock 0.0% 0.0% 0.0% 0.0% 0.0% 0.0%
Minority Interest 0.0% 28.3% 2.6% 0.0% 0.0% 1.6%
Common Stock 54.3% 37.3% 31.5% 56.8% 30.4% 20.3%
Retained Earnings 33.6% 11.5% 21.9% 32.9% 28.5% 39.2%
Unrealized Investment Gains (Losses) (1.5%) (0.3%) (0.8%) (0.2%) (0.3%) (0.1%)
Other 0.0% 0.0% (0.1%) (0.1%) (2.1%) (0.4%)
----- ----- ----- ----- ----- -----
Total Common Shareholders' Equity 86.4% 48.5% 52.6% 89.5% 56.5% 59.0%
Total Shareholders' Equity 86.4% 76.8% 55.1% 89.5% 56.5% 60.5%
----- ----- ----- ----- ----- -----
Total Liab. & Shareholders' Equity 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%
===== ===== ===== ===== ===== =====
</TABLE>
- 43 -
<PAGE> 64
COMPARABLE COMPANY ANALYSIS
- --------------------------------------------------------------------------------
Reinsurance Companies
($ in millions, except per share amounts)
<TABLE>
<CAPTION>
GROUP
---------------------------------------
ZRC MEDIAN HIGH LOW
--- ------ ---- ---
<S> <C> <C> <C> <C>
Ticker Symbol ZRC
Fiscal Year End 12/31/95
Latest Financial Data 9/30/96
GAAP SUMMARY DATA:
LTM Actual Net Operating EPS $ 0.82
1996E Net Operating EPS (a) 1.15
1997E Net Operating EPS (a) 1.53
GAAP Book Value Per Share $ 26.11
Dividend $ 0.10
Yield 0.3% 0.7% 2.5% 0.4%
Combined Ratio 105.1%
STATUTORY SUMMARY DATA:
1995 FYE Net Income $ 6.1
1995 FYE Capital and Surplus 657.2
STOCK PRICE:
Closing Price as of 11/15/96 $ 31.00
52-Week High 32.63
52-Week Low 28.38
Current Number of Shares Outstanding 26.2
Market Capitalization $ 811.9
Enterprise Value 1,010.3
GAAP PRICE/EARNINGS MULTIPLE
LTM Actual 37.8x 13.6x 16.7x 12.2x
1996E 27.0 11.8 12.8 11.5
1997E 20.3 10.4 11.1 10.1
Price/Book Value 1.2x 1.3x 1.6x 1.2x
ENTERPRISE VALUE/STATUTORY RESULTS
1995 Net Income 164.7x 16.0x 38.4x 10.3x
1995 Capital and Surplus 1.5 1.8 2.0 1.6
</TABLE>
<TABLE>
<CAPTION>
CHARTWELL EVEREST NAC RE TRANSATLANTIC TRENWICK
--------- ------- ------ ------------- --------
<S> <C> <C> <C> <C> <C>
Ticker Symbol CWLR RE NRC TRH TREN
Fiscal Year End 12/31/95 12/31/95 12/31/95 12/31/95 12/31/95
Latest Financial Data 9/30/96 9/30/96 9/30/96 9/30/96 9/30/96
GAAP SUMMARY DATA:
LTM Actual Net Operating EPS $ 1.68 ($ 0.07) $ 2.48 $ 5.95 $ 3.68
1996E Net Operating EPS (a) 2.33 2.10 2.91 6.15 4.25
1997E Net Operating EPS (a) 2.54 2.45 3.35 6.95 4.85
GAAP Book Value Per Share $ 22.16 $ 20.10 $ 28.18 $ 46.58 $ 37.96
Dividend $ 0.16 $ 0.12 $ 0.24 $ 0.48 $ 1.24
Yield 0.6% 0.4% 0.7% 0.7% 2.5%
Combined Ratio 94.7% 125.3% 101.0% 102.2% 95.1%
STATUTORY SUMMARY DATA:
1995 FYE Net Income $ 9.5 NM $ 57.7 $ 162.3 $ 28.1
1995 FYE Capital and Surplus 188.0 686.9 615.4 951.5 257.6
STOCK PRICE:
Closing Price as of 11/1 5/96 $ 28.13 $ 26.88 $ 34.38 $ 72.50 $ 48.75
52-Week High 28.38 28.00 40.63 75.25 57.50
52-Week Low 10.00 20.13 28.50 62.38 46.00
Current Number of Shares Outstanding 9.6 50.5 18.7 23.0 6.7
Market Capitalization $ 269.5 $ 1,356.8 $ 644.5 $ 1,667.9 $ 327.0
Enterprise Value 365.3 1,356.8 957.4 1,667.9 430.5
GAAP PRICE/EARNINGS MULTIPLE
LTM Actual 16.7x NM 13.9x 12.2x 13.2x
1996E 12.1 12.8 11.8 11.8 11.5
1997E 11.1 11.0 10.3 10.4 10.1
Price/Book Value 1.3x 1.3x 1.2x 1.6x 1.3x
ENTERPRISE VALUE/STATUTORY RESULTS
1995 Net Income 38.4x NA 16.6x 10.3x 15.3x
1995 Capital and Surplus 1.9x 2.0 1.6 1.8 1.7
</TABLE>
(a) IBES mean estimates as of 11/15/96.
- 44 -
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