Roadshow Presentation V090308

$750 Million Private Equity $750 Million Private Equity OfferingOffering

September 2008September 2008

$750 Million Private Equity $750 Million Private Equity OfferingOffering

September 2008September 2008

c

2

AgendaAgenda

I. Market Overview

II. VA Writer Risk

III. Lennox Re – What We Do

IV. Financial Overview

V. Appendices

3

Offering SummaryOffering Summary

Lennox Holdings Limited (“Lennox Holdings”, “Lennox” or “the Company”)

$750 million

Common shares

To capitalize the Bermuda domiciled reinsurance subsidiary, Lennox Reinsurance Limited (“Lennox Re”)

Lehman Brothers

Offering Size

Security

Use of Proceeds

Issuer

Placement Agent

4

Presentation TeamPresentation Team

Years inIndustry

John Coughlin Executive Chairman 27 years Founder, J. Lennox & Company, Inc.

Mark Zesbaugh Chief Executive Officer 20 years Chief Executive Officer of Allianz, North America

Lee Launer Chief Investment Officer 29 years Chief Investment Officer, MetLife, Chairman of RGA

John Brill Chief Financial Officer 34 years Chief Financial Officer, SCOR Life Reinsurance

Eric Henderson Chief Pricing Officer 10 years Product Development and Corporate Risk Management, Allianz of North America

Gary Kalmanovich Chief Quantitative Officer 13 years Head of Variable Annuity Hedging, CIGNA Reinsurance

Mike Spurbeck Chief Risk Officer 15 years Vice President of Risk Management, Aviva U.S.A.

Paul Zajac Chief Technology Officer 15 years Chief Information Officer, MetLife Investments

Name Position Most Recent Position

5

Investment HighlightsInvestment Highlights

Early Entrant to Market

Strong FinancialPosition and Expected

A.M. Best A- Rating

Experienced Management Team

Already in Place

Sophisticated Risk Manager

Compelling Case for Unique, Tailored

Reinsurance Solutions

Significant and Growing Variable Annuity Market

Opportunity

Focused Variable Annuity Reinsurer

Unique investment opportunity

Market OverviewMarket Overview

7

VA Market GrowthVA Market Growth

Tremendous growth of the VA market over the last twenty years, both in the U.S. and Japan as well as other parts of the world

Product development, as well as significant improvements in risk management, will continue to drive VA sales growth and life insurers’ market share gains

– Development of guarantees has appealed to customer / end user’s value opportunity

Increase of U.S. VA assets to $1.5 trillion in December 2007, an all time high (1)

– VA sales growth in Japan has outpaced that of the U.S. in recent years

– Sales in Japan have grown at a CAGR of 18% over the last five years and current assets stand at over $125 billion having grown at a CAGR of nearly 90% since 2003 (2)

U.S. VA sales have ramped up considerably since 1995

1995 – 2007 Annualized CAGR: 11%

Total U.S. Sales of VAs 1995 – 2007 (1)

Market Commentary

1. Source: LIMRA.2. Source: Hoken Mainichi Shimbun. Detailed sales figures can be found in appendix.

$ in billions

88

Lennox has relationships with the majority of the executive leadership of the top VA Writers

Top VA Writers Top VA Writers

Top U.S. VA Writers (1)

1. Source: VARDS, March 2008.2. Source: Hoken Mainichi Shimbun.

Top Japanese VA Writers (2)

Top 25 U.S. VA writers have over 90% of U.S. market share

Top 25 VA Writers have over $1.4 trillion in assets

($ in millions) 2007 VA U.S. VA 2007 NewRank Issuer Assets Market Share U.S. VA Sales

1 TIAA-CREF $377,726 25.4 % $14,116

2 Hartford 119,032 8.0 13,254

3 MetLife 106,360 7.2 15,265

4 AXA Financial 88,265 5.9 15,502

5 AIG 82,008 5.5 9,478

6 Prudential 78,468 5.3 11,528

7 Lincoln 77,701 5.2 12,814

8 ING 70,916 4.8 10,766

9 Pacific Life 53,802 3.6 10,676

10 Ameriprise 53,252 3.6 10,678

11 John Hancock 52,986 3.6 10,805

12 Nationwide 46,483 3.1 5,367

13 Aegon 43,871 3.0 3,862

14 Jackson National Life 32,757 2.2 9,113

15 Allianz North America 23,119 1.6 3,317

16 New York Life 18,615 1.2 2,382

17 Sun Life 17,589 1.2 2,806

18 Fidelity 17,330 1.2 2,412

19 Thrivent 14,768 1.0 1,485

20 Genworth 13,282 0.9 2,580

21 Northwestern Mutual 11,081 0.8 1,090

22 MassMutual 10,424 0.7 1,274

23 Protective 8,716 0.6 464

24 Ohio National 6,792 0.5 2,177

25 Commonwealth 6,272 0.4 NA

($ in millions) 2006 VA JapaneseRank Issuer Assets Market Share

1 Hartford $28,342 26.3 %

2 Mitsui Sumitomo MetLife 15,063 14.0

3 ING 14,629 13.6

5 Tokio Marine & Nichido Life 11,987 11.1

4 Sumitomo Life 10,559 9.8

6 Manulife 7,374 6.8

7 Mitsui Life 4,919 4.6

8 Alico Japan 4,883 4.5

9 T&D Financial 4,141 3.8

10 Daiichi 2,304 2.1

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Targeted MarketingTargeted Marketing

Marketing StrategyInitially targeting U.S. opportunities to be expanded later to Japan and other markets

Target clients include:

Large VA Writers (assets greater than $40 billion)– Opportunities exist for Lennox Re to provide larger writers accounting volatility reduction and capital benefits through tailored reinsurance solutions– Many of the larger writers have internal trading and hedging functions to hedge capital markets risk but look to reinsurance as an alternative risk transfer solution

Mid-Sized and Small Writers– Most of the midsized and small writers do not have the resources for internal trading and hedging functions– Opportunities exist for Lennox Re to not only reinsure their business, but to also aid in designing, pricing and assessing the risk of new products

Former VA Reinsurers– Lennox can provide reinsurance solutions to former VA reinsurers that have stopped providing such service and are looking to effectively reduce or eliminate risks associated with a legacy block of business

VA Writer RiskVA Writer Risk

11

VA Rider UniverseVA Rider Universe

Lennox Re is the only pure play insurer providing sophisticated, tailored reinsurance solutions for guarantee riders embedded in VAs

1. Source: LIMRA. Based on fourth quarter 2007 data. Represents percent electing the rider when that rider is offered.2. Source: NAVA.3. Source: LIMRA.

Guarantee Riders

Guaranteed Minimum Death Benefit – Provides a guaranteed minimum death benefit

to the beneficiary at the time of the contractholder’s death

Guaranteed Minimum Withdrawal Benefit– Allows the contractholder to take periodic

withdrawals of a prescribed base amount until the full amount is withdrawn or over the life of the contractholder

Guaranteed Minimum Income Benefit– Provides the contractholder the right to

annuitize a guaranteed value, at a prescribed annuitization rate, after a contractually stated waiting period (typically seven or more years)

Guaranteed Minimum Accumulation Benefit– Provides a floor on the amount by which a

premium will accumulate over a specified period of time

Take Up Rates for Living Benefit Riders (1)

2007 U.S. VA Sales: $184 billion (3)

Substantially all VA contracts include a guaranteed minimum death benefit (2)

A guaranteed living benefit is elected nearly 80% of the time it is offered

12

Guaranteed Riders Create Unique RisksGuaranteed Riders Create Unique Risks

Economic risk is the risk that the contractholder’s fund balance is insufficient to fund the guarantee rider benefits

Economic risk has two components: capital markets risk and actuarial risk– Capital markets risk arises when the equity markets decline causing the VA writer to

pay a claim– Actuarial risks relate to contractholder behavior, and include lapse, mortality, rider

utilization and fund reallocation

VA guarantees introduce significant GAAP and statutory income statement and balance sheet volatility (1)

– Different accounting valuation approaches apply to the various riders

The NAIC has implemented a new capital framework and is in the process of redesigning reserve requirements for VAs

– Under these rules, writers may be forced to set aside additional capital depending on the degree of risk embedded in their products and the level of sophistication of hedging strategies employed

Managing the risks associated with a block of VA contracts with guarantee riders is operationally intensive and not always a core part of VA writers’ operations– Limited qualified talent to mange these risks– Difficulty and cost of implementing an internal hedging program– Requires technology, market expertise, oversight and expense

Financial Statement Volatility

Operational Risk

Reinsurance is an effective and efficient way for VA writers to manage the risks created by guarantee riders

1. See “Summary of GAAP Accounting Treatment and Standards” in the appendix on page 36.

Economic Risk

1313

What are VA Writers Currently Doing About The Risk?What are VA Writers Currently Doing About The Risk?

Focused on simple death benefits

Riders are an extra feature

Added complex living benefits

Riders are essential

Priced by writers and reinsurers as an insurance contract using actuarial assumptions

“Real world” pricing framework

Priced as a derivative contract using capital markets assumptions

“Risk neutral” pricing framework

Hedging not widely practiced

Reinsurance available

Some hedging is predominant

Little reinsurance available

Home grown programs

Basic understanding of derivative markets and limited application

Commercial software programs available

Greater understanding of derivative markets and increasing application

Large claims in 2001-2002 due to mispricing and lack of hedging

Amidst recent increase in equity market volatility, magnitude of claims appear contained to date

Pricing

Hedging of Rider Risk

Hedging Technology and Instruments

Guarantee Riders

Results

Then (2002 and Prior) Now

While VA writers have recognized the risks associated with guarantee riders, many are struggling to find adequate solutions

1414

Variable Annuity FeesVariable Annuity Fees

Primary VA Writer Fee (1) Value Proposition of Customized, Tailored Reinsurance Solutions

Retain significant economics

VA writers fee structure allows for reinsurance premiums

Reinsurance Premium (3)

Description Fees

Reinsurance Premium 70 bps

Net Fees to Primary VA Writer

Description Fees

Net Fees to Primary Writer 181 bps

Description Fees

Mortaility and Expense Fee 118 bpsAdministrative Fee 20 bpsGMWB Rider Fee 63 bpsTotal Direct Writer Primary Fees 201 bps

Additional VA Writer Fees FeesAsset Management Fees (2) 50 bps

Total Fees 251 bps

1. Based upon the average of the top five selling variable annuity products from 2007 4Q VARDS variable sales and corresponding prospectus data from the Ernst and Young Retirement Income Knowledge Bank.

2. VA Writers typically participate in some portion of the underlying asset management fees either through subadvised arrangements or revenuing sharing agreements (50 bps is used for illustration purposes). Additionally, based upon the E & Y Income Knowledge Bank, actual assets management fees on these top selling products range from 53bps 229bps on average.

3. Reinsurance premium charged by reinsurer (e.g., Lennox Re).

Lennox Re – What We DoLennox Re – What We Do

1616

What Risks Are We Assuming? What Risks Are We Assuming?

Reinsurance fully transfers the risk associated with VA guarantees

Note: Management estimates.

On an un-hedged basis, capital markets risk represents the largest component of total risk

Effective hedging significantly reduces the overall exposure to capital markets risk

Reinsurance of VA guarantees is the only solution to fully transfer capital markets risk, basis risk, actuarial risk and operational risk

Direct writers can limit the capital markets exposure through the development and execution of sophisticated hedging programs

However, while capital markets risk is mitigated, basis risk still exists and actuarial risk is retained

Risk Management Risk Associated with Guarantee Riders

17

Product PricingProduct Pricing

17

Lennox Re will price business using a cost plus margin approach

Rider benefits will be priced on a risk neutral and market consistent basis

Actuarial risk will be mitigated through tailored product design

Return on risk capital is driven by the residual actuarial and basis risk

Lennox Re will tailor a reinsurance solution to meet the needs of each VA writer

All product pricing will follow well defined pricing guidelines

Reinsurance Charge by SourceKey Highlights

18

Direct WritersDirect Writers

LennoxLennox

Traditional ReinsurersTraditional Reinsurers

Investment BanksInvestment Banks

Goal is effective and competitive coverage in any market environment

Lennox Will Pair with Writers to Develop Flexible SolutionsLennox Will Pair with Writers to Develop Flexible Solutions

1919

HedgingHedging

Capital markets risk hedged using actively managed four Greeks hedging program

Lennox will hedge market dynamics to its “pure play” philosophy

– Remove common investment risk exposures from company’s risk profile

– Fully hedge delta and rho

– Strategically hedge vega and gamma within VaR limits

Hedging instruments employed will include:

– Index puts and calls

– Index futures and variance swaps

– Interest rate futures and swaps

19

Lennox will hedge to a greater extent than the industry average

Economic RisksKey Highlights

Capital Market Risks– Equity level (Delta)– Interest rate level (Rho)– Equity gap (Gamma)– Interest rate volatility (Rate Vega)– Equity volatility (Equity Vega)– Basis (Mutual fund vs. Hedge) – Interest rate and equity correlation– Cross index correlations– Other higher order and cross exposures

Actuarial Risks– Mortality / Longevity– Fund rebalance– Lapse– Utilization– Partial Withdrawal

2020

HedgingHedging

20

Lennox will mitigate capital markets risks utilizing a daily hedging process

Rigorous Hedging ProcessKey HighlightsDaily Schedule

Overnight andPrior to During Trading Post Market

Procedures Market Open Hours Close

Liability attribution analysis

Asset attribution analysis

P&L attribution analysis

Liability risk valuation

Asset risk valuation

Risk exposure analysis

Hedging analysis

Rep

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Daily reporting

Market update

Hedge implementation

Trade execution analysis

Post-close assessment

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Extensive experience in hedging embedded guarantees

Multiple valuation models

Nightly liability and asset analytics

Real time market data

Grid computing

Operational excellence

Economies of scale Trading Efficiencies Negatively correlated risk

ModelingModeling

21

Modeling capabilities move beyond typical insurance setups and targets those of hybrid derivative trading desks

Leading Hedge (Ernst and Young)– Widely utilized platform– Flexible with C++ code that is user customizable and extendable– Will be our primary system

MG Hedge (Milliman)– Dominant market system– Not customizable– Provides validation of results on other platforms

Proprietary (Matlab and C++)– In development– Fast prototyping and analysis capabilities

Black-Scholes based models– Simple and easy to construct– Dominates the insurance industry - almost exclusively used for VA hedging– Poor model for more exotic guarantees (e.g. Maximum Anniversary Value

Guarantee)Hull-White with Heston model

– Already incorporated into Leading Hedge– Allows for more complete modeling of future market skew and volatility dynamics

Other models – in development– LIBOR Market Model– Local Volatility Equity Index model

Validation through asset pricing– Variety of market assets, including held assets, to be regularly priced over the same

scenarios we will use for the liability valuation

Platforms

Monte Carlo Scenario Models

Liability priced with state-of-the-art market-consistent models

22

Lennox will hedge liquid capital markets risks, with validation, to model

Liability and asset sensitivities from the same model– The sensitivities to be generated from the same base and perturbed scenarios for

the liability and the assets

First and second order index sensitivities (e.g., delta and gamma)

Multiple interest curve sensitivities (e.g., key rates)

First order sensitivities to all model parameters– Hull-White: α and σ

– Heston: ρ, θ, κ, ξ, and σ0

Continuously compare sensitivities of the liability and hedge assets– Rebalance when necessary– Protect against extra rebalancing by holding better duration and convexity matched

instruments

Theta calculation on liability and assets– Cashflows, discount and expected growth, gamma and model state changes

Attributable gains and losses– Changes in market levels and market parameters between expected and actual

Model verification– Changes in asset price predicted by the change in model parameters and respective

sensitivities against actual price change

Periodically assess if other and higher order sensitivities are significant

Check sensitivities of liability and assets to other models– Grid of strike vs. duration of “key” exposures over local volatility surface– Sensitivities to LMM parameters

Analyze attribution, meticulously searching for biases

Attribution

Hedge Model Sensitivities

Validation

Hedge ImplementationHedge Implementation

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Investment PortfolioInvestment Portfolio

Lennox Re’s primary investment objective is to preserve capital

Investment in high quality fixed income

securities:

– Average credit quality of AA

– No current plans for below investment grade

corporates or equities

– Approximate duration of three years

– Contracted with Asset Allocation and

Management Company, L.L.C. as third party

investment manager

Investment Criteria

ABS NAIC 15%

CMBS11%

Investment Grade

Corporates NAIC 2

10%

Cash and Equivalent

4% US Government

Bonds25%

RMBS NAIC 1

15%

Investment Grade

Corporates NAIC 1

25%

Projected Investment Portfolio

2424

Enterprise Risk ManagementEnterprise Risk Management

Effective governance structure to be established

– Independent oversight

– Escalation procedures for limit breaches

– Effective decision making and communication

Economic capital will be calculated and risk budgets will be allocated to risk taking activities

– Capitalization level consistent with an “A” rated company

– Enhances the ability to make the best risk return decisions

Appropriate limits will be set so that Lennox is not exposed to excessive risk

– Daily value at risk (“VaR”) limits

– Investment limits

– Limits on unhedged positions

All product pricing will be signed off by full management team

24

Lennox will monitor and manage enterprise risks within an agreed upon risk appetite

Risk Management Framework Reporting Lines Solidify Independent Oversight

Chief Risk Officer

Chief Executive Officer

Board of Directors

Risk Committee

No direct P&L responsibility

Direct reporting lines to CEO and Board

Chair of Risk Committee

25

Lennox is Prepared to Write Business TodayLennox is Prepared to Write Business Today

Team Previous Experience Years Experience

John CoughlinExecutive Chairman

Founder, J. Lennox & Company, Inc.Managing Director, BSI ConsultingAetna Life

27 years

Mark ZesbaughChief Executive Officer

Chief Executive Officer, Allianz of North AmericaChief Financial Officer, Allianz of North America / Life USA

20 years

Lee LaunerChief Investment Officer

Chief Investment Officer, MetLifeChairman, Reinsurance Group of America (RGA)

29 years

John BrillChief Financial Officer

Chief Financial Officer, SCOR Life Reinsurance, Chief Financial Officer, PartnerRe Life Reinsurance and Winterthur Life Reinsurance

34 years

Eric HendersonChief Pricing Officer

Product Development and Corporate Risk Management of Allianz of North AmericaWilliam M. Mercer consulting actuary

10 years

Gary KalmanovichChief Quantitative Officer

Senior Director, Hedge Program, CIGNA RePortfolio Manager, Allstate Investments, Variable Hedging ProductsVP, Financial Engineer, Goldman Sachs

13 years

Mike SpurbeckChief Risk Officer

VP, Risk Management, Aviva USAChief Risk Officer, Allianz of North America

15 years

Paul ZajacChief Technology Officer

Chief Information Officer, MetLife Investments VP, Fixed Income Technology, PaineWebber

15 years

Lennox already has a full team of well respected industry professionals in place

Team of 8 has over 150 years of combined experience

Financial OverviewFinancial Overview

27

Sales ProjectionsSales Projections

1. See slide 6.

As the first pure play reinsurer of the guarantees in VA riders, Lennox Re is uniquely positioned to penetrate this growing and largely untapped market opportunity

Market:

Growth rate of 10%, consistent with historical CAGR1

$1.1 trillion of GMDB and $200 billion of GMLB

Lennox:

Production is evenly split between GMDB and GMWB

– Base Case: $14 billion (account value) in sales year one, $30 billion year two, and $54 billion in years three through five

– Conservative Case: $7 billion (account value) in sales year one, $13 billion year two, and $25 billion in years three through five

– Upside Case: $24 billion (account value) in sales year one, $49 billion year two, and $70 billion in years three through five

Assumptions Projected Market Share Penetration (1)

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Strong Financial PositionStrong Financial Position

Strong Capitalization

Expected rating of A- from AM Best with maintenance of this rating our highest priority

High quality investment portfolio

Until a track record of performance is established, additional capital to maintain a higher BCAR (~200%) will be required

– A typical A rated insurer is required to maintain a 130% BCAR.

Key Highlights

$731$786

$898

$1,084

$1,443

$0

$200

$400

$600

$800

$1,000

$1,200

$1,400

$1,600

Year 1 Year 2 Year 3 Year 4 Year 5Base Case

Base Case CAGR: 19%

Projected GAAP Book Value Growth($ in millions)

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High and Stable Earnings StreamHigh and Stable Earnings Stream

Base Case

Key Assumptions:

Base case production

200% BCAR ratio years one and two grading to 145% year five

Implied volatility of 18.38% in year one, 16.82% in year two and 15.26% in years three through five

Interest rates of 4.68% in year one, 4.97% in year two and 5.25% in years three through five

Gross margin of 10 bps in year one and 13 bps in years two through five

All options and warrants are exercised in year five

Note: Tax rate is 0.0%, and assumes Lennox is a non-PFIC operating in Bermuda.1. Year five stated book value includes proceeds from options and warrants.2. Assumes book value exit multiple of 1.80x and investor fully diluted ownership of 85%. Excludes impact of warrants.

($ in thousands) Year 1 Year 2 Year 3 Year 4 Year 5

Summary Income Statement

Premiums $81,937 $242,954 $496,271 $742,978 $979,553Hedging Gains (Losses) (92,674) (207,326) (261,880) (310,161) (407,812)Claims and Reserves 18,461 8,821 (126,230) (251,163) (326,291)

Reinsurance Technical Result $7,724 $44,449 $108,161 $181,654 $245,450Investment Income 35,257 33,102 30,826 35,208 47,547Operating Expenses 45,352 27,572 32,423 30,543 33,322

Net Income ($2,371) $49,979 $106,564 $186,319 $259,675

Summary Balance Sheet

Total Assets $712,653 $754,194 $979,347 $1,391,470 $2,034,124Total Liabilities (18,402) (31,945) 81,538 307,342 591,347

Total Shareholders Equity 731,055 786,139 897,809 1,084,128 1,442,777 (1)

Performance Ratios

ROAE 6.59 % 12.66 % 18.80 % 20.55 %ROAA 6.81 12.29 15.72 15.16

Investor Returns

IRR (2) 22.7 % 24.3 %

$3,930

$1,896

$1,270

$2,180

$3,228

$2,698

$4,516

$2,807

$1,000

$2,000

$3,000

$4,000

$5,000

$6,000

$7,000

30

Base Case Valuation AnalysisBase Case Valuation Analysis

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New Investors’ 5 Year IRR (1)

18.8%

2.9%

53.1%

36.8%

29.0%

Whole Company Implied Valuation at 1.80x Year 5 Book Value: $2.6 billion

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Overview of Valuation Methodologies

We have used various valuation methodologies to derive an appropriate indicative exit valuation for Lennox’s new investors

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Market data and estimates as of 7/16/08. Financial data as of 3/31/08.1. Assumes investor fully diluted ownership of 85%. Excludes impact of warrants to be allocated.2. Comparable companies include: AFL, AMP, AIZ, DFG, FFG, LNC, MET, NFS, PRU, PL, RGA and SFG. P / BV range established excluding the

highest and lowest of comparable companies.3. Regression equation is: Y = 20.33 x – 1.34.4. P / E range established excluding the highest and lowest of comparable companies.

Whole Company Valuation ($ millions)

31

Investment HighlightsInvestment Highlights

Early Entrant to Market

Strong FinancialPosition and Expected

A.M. Best A- Rating

Experienced Management Team

Already in Place

Sophisticated Risk Manager

Compelling Case for Unique, Tailored

Reinsurance Solutions

Significant and Growing Variable Annuity Market

Opportunity

Focused Variable Annuity Reinsurer

Unique investment opportunity

AppendicesAppendices

Additional Valuation DetailAdditional Valuation Detail

1.00x

1.20x

1.40x

1.60x

1.80x

2.00x

2.20x

2.40x

7/16/05 7/16/06 7/17/07 7/16/08

Large Cap Small Cap

34

Price to Book and Regression AnalysisPrice to Book and Regression Analysis

Large Caps:1.17x

Mid / Small Caps: 1.11x

Historical Price to Book

Sources: SNL Financial and Factset. Market data as of 7/16/08. Financial data as of 3/31/08.1. Large cap includes companies with market value over $8 billion: MET, PRU, AFL, LNC and AMP.2. Small / mid cap includes companies with market value less than $8 billion: AIZ, NFS, RGA, PL, SFG, DFG and FFG.

(1) (2)

Current Regression Analysis

NFS

PL

RGAFFG LNC

AFL

DFG

METAMP

SFG

PRU

AIZ

y = 20.3410x - 1.3400

R2 = 0.8647

0.50x

1.00x

1.50x

2.00x

2.50x

3.00x

3.50x

4.00x

8% 10% 12% 14% 16% 18% 20% 22%

2008E ROAE

1Q08

P/B

V

Median Price / Book1-Year 2-Year 3-Year

Large Cap 1.56 x 1.68 x 1.55 xMid / Small Cap 1.29 1.39 1.35

35

Jul-05 Jan-06 Jul-06 Jan-07 Jul-07 Jan-08 Jul-08

8.0 x

9.0 x

10.0 x

11.0 x

12.0 x

13.0 x

14.0 x

15.0 x

Large Caps Small Caps(1) (2)

9.2x

8.1x

Trading Comparables and Price to Earnings AnalysisTrading Comparables and Price to Earnings Analysis

Price to Next Twelve Months Earnings

Sources: SNL Financial and Factset. Market data as of 7/16/08. Financial data as of 3/31/08. Book value excludes accumulated othercomprehensive income.1. Large cap includes companies with market value over $8 billion: MET, PRU, AFL, LNC and AMP.2. Small / mid cap includes companies with market value less than $8 billion: AIZ, NFS, RGA, PL, SFG, DFG and FFG.

Comparable Companies

($ in millions) Price/ LT 2008Share Market Book 2008E 2009E 2008E Growth PEG

Company Price Value Value EPS EPS ROAE Rate Ratio

MetLife $50.96 $36,153 1.17 x 8.2 x 7.5 x 13.4 % 11.0 % 0.75 x

Aflac 59.50 28,268 3.48 14.9 13.0 21.5 15.0 0.99

Prudential 60.09 26,406 1.16 8.0 6.8 13.7 14.3 0.56

Lincoln 43.50 11,494 1.02 7.9 7.0 12.3 11.1 0.72

Ameriprise 40.00 8,936 1.18 10.8 9.2 10.4 11.0 0.98

Assurant 65.94 7,776 1.87 10.0 9.3 17.2 11.5 0.87

Nationwide 47.10 6,490 1.30 10.6 9.1 11.7 10.0 1.06

RGA 43.46 2,705 0.88 7.6 6.5 11.1 11.0 0.69

Protective Life 34.36 2,399 1.11 8.9 7.6 11.9 9.0 0.99

StanCorp 47.32 2,316 1.55 9.8 8.8 14.9 11.0 0.89

Delphi Financial 21.52 1,037 0.96 7.1 5.7 12.7 12.0 0.59

FBL Financial 20.10 603 0.67 7.3 6.5 8.9 6.0 1.22

Mean 1.36 x 9.3 x 8.1 x 13.3 % 11.1 % 0.86 x

Median 1.17 8.6 7.6 12.5 11.0 0.88

Mean Large Caps (1) 1.60 x 10.0 x 8.7 x 14.3 % 12.5 % 0.80 x

Median Large Caps 1.17 8.2 7.5 13.4 11.1 0.75

Mean Small Caps (2) 1.19 x 8.7 x 7.6 x 12.6 % 10.1 % 0.90 x

Median Small Caps 1.11 8.9 7.6 11.9 11.0 0.89

Current Accounting Treatment and StandardsCurrent Accounting Treatment and Standards

37

Summary of GAAP Accounting Treatment and Standards

Summary of GAAP Accounting Treatment and Standards

Significant financial statement volatility results from the accounting treatment elected for guarantee riders

GAAP accounting treatment of these products can fall under the following accepted standards:

Disconnected accounting valuation approaches for assets and liabilities and the impact on financial statements have become problematic for many VA insurers

There is a significant opportunity for reinsurers who can develop a reinsurance approach that addresses these financial statement volatility risks and related concerns

Mark to MarketAccounting VA VA VA Hedged VA Writer Implications ofTreatment Rider Base Rider Asset Impact Reinsurance

SOP 03-01 GMDB No No Yes Earnings volatility Reduces earnings volatility

GMIB

FAS 133 GMWB No Yes Yes Complex procedures to qualify Reduces cost and complexity

GMAB

FAS 159 GMDB Yes Yes Yes Earnings volatility Reduces cost and complexity

GMIB

GMWB

GMAB

Summary Financial ProjectionsSummary Financial Projections

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Financial Projections: Downside ProductionFinancial Projections: Downside Production

Summary Financial Projections






Net Income ($5,795) $28,982 $53,820 $93,310 $127,360


Total Assets $719,142 $746,267 $858,731 $1,056,207 $1,413,654Total Liabilities (8,488) (15,451) 38,087 142,252 273,366

Total Shareholders Equity 727,630 761,718 820,644 913,954 1,140,288 (1)

Performance Ratios

ROAE 3.89 % 6.80 % 10.76 % 12.40 %ROAA 3.96 6.71 9.75 10.31

Investor Returns

IRR (2) 19.1 % 18.6 %

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Summary Financial Projections

Financial Projections: Partially HedgedFinancial Projections: Partially Hedged






Net Income $17,425 $102,827 $166,307 $259,077 $356,482


Total Assets $732,448 $826,838 $1,111,734 $1,596,615 $2,336,076Total Liabilities (18,402) (31,945) 81,538 307,342 591,347

Total Shareholders Equity 750,850 858,783 1,030,196 1,289,273 1,744,729 (1)

Performance Ratios

ROAE 12.78 % 17.61 % 22.34 % 23.50 %ROAA 13.19 17.16 19.13 18.13

Investor Returns

IRR (2) 28.4 % 29.1 %

Use of ProceedsUse of Proceeds

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Use of ProceedsUse of Proceeds

Detailed Gross and Net Proceeds

1. Knight Capital was the placement agent for the seed capital and was originally engaged as placement agent for this offering. Upon completion of this offering the Company will owe Knight Capital $4.0 million as part of their settlement agreement.

2. Reflects five years of development of the financial models and business concept.3. Loans were used for formation, hiring management team, developing infrastructure and modeling capability.

($ in thousands)Description Amount

Gross Proceeds from Offering $750,000

Transaction Expenses:

Lehman Brothers fee $30,000

Estimated offering expenses 1,000

Obligations due at Closing:

Knight Capital fee (1)4,000

Payment to John Coughlin (2)1,021

Repayment of Seed Capital (3)7,788

Total Payments due at Closing $43,809

Net Proceeds from Capital Raise $706,191

Japanese VA DataJapanese VA Data

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Japanese VA Market Growth Japanese VA Market Growth

Sales in Japan have grown at a CAGR of 18% since 2003 (1)

Variable annuity assets in Japan grew to over $125 billion in 2007 and have grown by a CAGR of nearly 90% since 2003 (1)

Growth has been driven in large part by the deregulation of life insurance sales through banks

High savings rate, low interest rates and an aging population in Japan suggests high demand and large growth for VA products

Variable annuity sales growth in Japan has outpaced that of the U.S. in recent years

2003 – 2006 CAGR: 18%

Estimated Japanese Sales of Variable Annuities 2003 – 2006 (1)

Japanese Market Commentary

1. Source: Hoken Mainichi Shimbun. Estimated using annual change in assets under management.

$ in billions

GlossaryGlossary

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GlossaryGlossary

C3 Phase II: Statutory risk based capital requirement for variable annuities.

Contractholder: A person who pays premiums for an annuity, often the same person as the annuitant.

CrossGreeks: Second order sensitivity of “Greeks” to changes in market parameters.

Death benefit: A provision in certain annuity contracts that pays the beneficiary when the annuitant dies.

Delta: The amount by which an asset or liability value changes for a specified change in the underlying security.

Employee Retirement Income Security Act (“ERISA”): American federal statute that establishes minimum standards for pension plans in private industry and provides for extensive rules on the federal income tax effects of transactions associated with employee benefit plans.

Exclusions: Provisions in an insurance or reinsurance policy excluding certain risks or otherwise limiting the scope of coverage.

Exposure: The possibility of loss. A unit of measure of the amount of risk a company assumes.

Gamma: Amount by which Delta changes for a specified change in the underlying security.

Generally Accepted Accounting Principles (‘‘U.S. GAAP’’): U.S. generally accepted accounting principles as defined by the American Institute of Certified Public Accountants or statements of the Financial Accounting Standards Board. U.S. GAAP is the method of accounting to be used by Lennox Holdings for reporting to shareholders.

Greeks: Measurement of the sensitivity of an asset or a liability value to changes in underlying market parameters. See Delta, Gamma, Rho and Vega.

Guaranteed Living Benefits: These benefits protect the annuity contractholders during their lifetimes, providing equity participation with some form of downside protection. GLBs come in various forms, including GMIBs, GMABs and GMWBs.

Guaranteed Minimum Accumulation Benefits: GMAB offers buyers a guarantee that the annuity contract value will never fall below a certain amount (e.g., the original premium). In order to access this guarantee, customers have to wait for a specified period of time (e.g., 510 years).

Guaranteed Minimum Death Benefits: A GMDB provides a guaranteed minimum death benefit to the beneficiary of a variable annuity. This floor death benefit is independent of the contract's actual cash value. A return of premium GMDB guarantee pays the beneficiary a minimum death benefit of the initial premium paid and is the most modest form of GMDB. Other guarantees provide for some additional degree of appreciation as specified in the annuity contract.

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GlossaryGlossary

Guaranteed Minimum Income Benefit: GMIB ensures that buyers will be able to receive future annuity payments based on a contract value equal to the greater of either market value or a guaranteed base. The guarantee is typically equal to the original premium adjusted for an assumed level of market performance (e.g., 5%). In order to use the guarantee, the buyer must annuitize the contract.

Guaranteed Minimum Withdrawal Benefit: GMWB allows owners to make annual withdrawals up to a stated percentage (typically 57%) of a guaranteed contract value. This guarantee may be equal to the original premium or a stepped up market value.

Policyholder Benefit Reserve: A liability established by an insurer or reinsurer to pay future expected claims.

Rho: The amount by which an asset or liability value changes for a specified change in interest rates, i.e. its sensitivity to changes in interest rates.

ROP: return of premium guaranty.

Statutory Accounting Principles (‘‘SAP’’): Recording transactions and preparing financial statements in accordance with the rules and procedures prescribed or permitted by United States state insurance regulatory authorities, which in general reflect a liquidating, rather than going concern, concept of accounting.

Surplus: As determined under SAP, surplus is admitted assets less all liabilities. Admitted assets are assets of an insurer prescribed or permitted by a state to be recognized on the statutory balance sheet.

Underwriting: The insurer’s or reinsurer’s process of reviewing applications for coverage and the decision whether to accept all or part of the exposure and determination of the applicable premiums.

VACARVM: Statutory reserving methodology for variable annuities currently under development by NAIC.

Variable Annuity: A contract with a cash value that varies based upon the performance of the underlying mutual funds. The potential decline in the value of the contract to can be mitigated by the contractholder through the use of guarantee riders.

Vega: Vega is the amount by which an asset or liability value changes for a specified change in the underlying equity volatility.

Withdrawal Privilege: A provision in many annuity contracts that allows the contractholder to withdraw a portion of account value without paying surrender charge.

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DisclaimerDisclaimer

Some of the statements in this presentation, including those using words such as “believes,” “expects,” “intends,” “estimates,” “projects,” “predicts,” “assumes,” “anticipates,” “plans,” and “seeks” and comparable terms, are forwardlooking statements. Forwardlooking statements are not statements of historical fact and reflect the Company’s views and assumptions as of the date of this presentation regarding future events and operating performance. Because the Company has no operating history, most of the statements relating to the Company and its business, including statements relating to the Company’s competitive strengths and business strategies, are forwardlooking statements. All forwardlooking statements address matters that involve risks and uncertainties. Accordingly, there are important factors that could cause the Company’s actual results to differ materially from those indicated in these statements. The Company believes that these factors include but are not limited to those described under the section titled “Risk Factors” in the private placement memorandum.

Any forwardlooking statements the recipient reads in this presentation reflect the Company’s current views with respect to future events and are subject to these and other risks, uncertainties and assumptions relating to, among other things, the Company’s operations, results of operations, growth strategy and liquidity. The Company undertakes no obligation to publicly update or review any forwardlooking statement, whether as a result of new information, future events or otherwise.

Market data and forecasts used in this presentation have been obtained from independent industry sources as well as from research reports prepared for other purposes. The Company has not independently verified the data obtained from these sources and the Company cannot assure the recipient of the accuracy or completeness of the data. Forecasts and other forwardlooking information obtained from these sources are subject to the same qualifications and uncertainties applicable to the other forwardlooking statements in this Memorandum.

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DisclaimerDisclaimer

In connection with any placement of securities by Lennox Holdings Limited as described herein, a private placement memorandum relating to an investment in the securities, which will include information on various risk factors, will be delivered to potential investors. Information contained herein is only an overview and does not purport to be a complete description of the transactions described herein or any potential offering of securities by Lennox Holdings Limited. If an offering of securities is proposed, this investor presentation should be read in conjunction with the private placement memorandum. You should rely only on a private placement memorandum in making an investment decision with respect to the securities and should not rely hereon.

The securities, if any are offered, will not be registered under the Securities Act of 1933, as amended (the “Securities Act”), or any state or foreign securities laws. The issuer has not been and will not be registered under the Investment Company Act of 1940 (the “Investment Company Act”). The securities, if any are offered, may not be offered or sold except pursuant to transactions not subject to the registration requirements of the Securities Act and any state or foreign securities laws. The securities, if any are offered, may be offered or sold only to “accredited investors” as defined in Rule 501(a)(1), (2), (3) or (8) of Regulation D under the Securities Act, who are also “qualified purchasers” as defined in the Investment Company Act.

Economy & Finance

Roadshow Presentation V090308