Nathan Ltd.

Munich Re has established a bond shelf programme amounting to US$ 1.5bn for the transfer of extreme mortality risk to the capital markets.

The first five-year series of US$ 100m of Principal-At-Risk Variable Rate Notes issued by Nathan Ltd. (“Nathan”) has now been successfully priced at LIBOR plus 1.35%.

The programme is designed to protect Munich Re against large losses deriving from an exceptional rise in mortality rates after major pandemics or similar events across the United States, Canada, England and Wales, and Germany.

The noteholders are at risk from an increase in age and gender-weighted mortality rates that exceeds a specified percentage of a predefined index (the combined mortality index; CMI), on an accumulated basis over five years from Jan. 1, 2008 to Dec. 31, 2012.

The CMI is defined on a rolling two-calendar-year basis, and the probability of a loss attaching and the magnitude of the loss in principal depends on the extent to which the CMI for any measurement period (that is, two consecutive years) exceeds the attachment point for the notes. Index values corresponding to future measurement periods will be measured against the CMI value for the reference period, which covers the calendar years 2006 and 2007.

The CMI is constructed using published population mortality rates from official reporting sources for the U.S. (including the District of Columbia but excluding Puerto Rico and overseas territories), the U.K. (excluding Scotland and Northern Ireland), Canada, and Germany, weighted by country, age, and gender. The country, age, and gender weights are fixed at inception and do not change during the risk period.