Insurance-Linked Securities market update · 2018. 8. 14. · Swiss Re Insurance-Linked Securities...

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Insurance-Linked Securities market updateVolume XXVII, August 2017

2 Swiss Re Insurance-Linked Securities market update – August 2017

Table of contents

Introduction 03

New issuance 06

Trading and relative value 10

Swiss Re Global Cat Bond Total Return Index 12

Deal Focus: Pandemic Emergency Financing Facility 13

Sector data 15

Swiss Re Insurance-Linked Securities market update – August 2017 3

Introduction

We just passed July and the Insurance-Linked Securities (ILS) market is showing signs of coming up for air for its usual summer lull. It’s difficult to decide where to start when heaping praise on the accomplishments achieved in the first six months of 2017.

Nearly all 1H new issuance records were shattered this year. The largest monthly, quarterly and half-year issuances, as well as largest average deal size and largest overall market size, were all in uncharted territory. Issuance volume in 1H 2017 totaled more than USD 8bn, nearly 40% larger than any previous half year, and just USD 230m shy of the full-year issuance record (a mark surpassed in the first week of July). Meanwhile, the market has grown to new heights, with roughly USD 25.5bn outstanding, despite contending with a record USD 6.5bn of 1H 2017 maturities.

Cat-bond spreads continued to trend tighter throughout 1H despite the record issuance. Investor demand remained strong as many market participants attracted new funds and most were receiving cash back from maturing bonds. This combination proved extremely attractive for sponsors, as they were able to dictate broader coverage, new perils and tighter pricing, all while growing their issuances. Among the most innovative transactions issued were the IBRD CAR 111 and 112 notes that provided coverage for pandemic risks in the developing world. This was the first transaction issued that aimed to mitigate a catastrophe rather than cover losses after an event (a more in-depth description of the transaction is available on page 13 of this report).

We expect market conditions to remain conducive for new issuance, and for the market to continue to grow to new heights. As the market grows and demand remains strong, new and innovative structural features should continue to drive sponsors to tap the additional capital market’s capacity alongside traditional programs to achieve the broadest possible coverage.


Figure 1 New issuance January 1, 2017 – June 30, 2017

Deal name Settlement date Notional (m) Peril1,2

Galilei Re 2017-1 Class A-2

January 11, 2017 USD 50 US WS, US EQ, EU WS, AUS WS, AUS EQ

Galilei Re 2017-1 Class B-2


Galilei Re 2017-1 Class C-2


Galilei Re 2017-1 Class D-2


Galilei Re 2017-1 Class E-2


Vitality Re VIII Series 2017 Class A

January 25, 2017 USD 140 Extreme Morbidity

Vitality Re VIII Series 2017 Class B

January 25, 2017 USD 60 Extreme Morbidity

Buffalo Re 2017-1 Class A

March 10, 2017 USD 105 US WS, US EQ

Buffalo Re 2017-1 Class B

March 10, 2017 USD 60 US WS, US EQ

Citrus Re 2017-1 Class A

March 13, 2017 USD 125 US WS

Aozora Re 2017-1 Class A

March 29, 2017 USD 480 JP WS

Sanders Re 2017-1 Class A

March 30, 2017 USD 375 US WS, US EQ, US ST, US WT, US VE, US MI

Kilimanjaro II Re 2017-1 Class A-1

April 13, 2017 USD 225 US EQ, WS; CAN EQ, WS

Kilimanjaro II Re 2017-1 Class B-1


Kilimanjaro II Re 2017-1 Class C-1


Kilimanjaro II Re 2017-2 Class A-2


Kilimanjaro II Re 2017-2 Class B-2


Kilimanjaro II Re 2017-2 Class C-2


Pelican IV Re 2017-1 Class A

April 19, 2017 USD 100 LA WS

First Coast Re 2017-1 Class A

April 25, 2017 USD 175 FL WS, FL ST

Integrity Re 2017-1 Class A

May 2, 2017 USD 72 FL WS

Integrity Re 2017-1 Class B


Integrity Re 2017-1 Class C


Integrity Re 2017-1 Class D


Residential Re 2017-I Class 10

May 3, 2017 USD 50 US WS, US EQ, US ST, US WT, US WF, US MI, US VE, US Other Perils




Deal name Settlement date Notional (m) Peril1,2



Caelus Re V 2017-1 Class A

May 4, 2017 USD 75 US WS, EQ, ST, WT, WF, VE, MI and Other Perils

Caelus Re V 2017-1 Class B

May 4, 2017 USD 150 US WS, EQ, ST, WT, WF, VE, MI and Other Perils

Caelus Re V 2017-1 Class C

May 4, 2017 USD 75 US WS, EQ, ST, WT, WF, VE, MI and Other Peril

Caelus Re V 2017-1 Class D

May 4, 2017 USD 75 US WS, EQ, ST, WT, WF, VE, MI and Other Peril

Torrey Pines Re 2017-1 Class A

May 8, 2017 USD 45 US EQ

Torrey Pines Re 2017-1 Class B

May 8, 2017 USD 66 US EQ

Torrey Pines Re 2017-1 Class C

May 8, 2017 USD 55 US WS, US ST, US EQ

Everglades Re II 2017-1 Class A


Ursa Re Ltd. 2017-1 Class B

May 16, 2017 USD 425 California EQ only

Ursa Re Ltd. 2017-1 Class E

May 16, 2017 USD 500 California EQ only

MetroCat Re Ltd. 2017-1 Class A

May 22, 2017 USD 125 NY WS; NY EQ

Alamo Re Ltd. 2017-1 Class A

May 30, 2017 USD 400 TX WS

Riverfront Re Ltd. 2017-1 Class A

May 31, 2017 USD 142.5 US & CAN EQ, ST, WT, WF, VE, MI

Riverfront Re Ltd. 2017-1 Class B

May 31, 2017 USD 47.5 US & CAN EQ, ST, WT, WF, VE, MI

Sanders Re Ltd. 2017-2 Class A

May 31, 2017 USD 200 FL Wind

Cranberry Re Ltd. 2017-1 Class A

June 12, 2017 USD 350 NE WS, ST, WT

Spectrum Capital Ltd. 2017-1 Class A

June 19, 2017 USD 160 US WS, EQ, ST, WT, WF; CA EQ

Spectrum Capital Ltd. 2017-1 Class B

June 19, 2017 USD 270 US WS, EQ, ST, WT, WF; CA EQ

Lion II Re DAC June 28, 2017 EUR 200 EU WS, IT EQ, EU FloodNorthshore Re II Limited 2017-1 Class A

June 29, 2017 USD 350 US WS, US EQ, CAN EQ

Source: Swiss Re Capital Markets(See Risk factors on page 18)

1 US = United States, CAN = Canada, EU = Europe, JP = Japan, AUS = Australia, LA = Louisiana, NE = Northeast United States, NY = New York, FL = Florida, TX = Texas, CA = California, IT = Italy

2 WS = Wind storm, EQ = Earthquake, ST = Severe Thunderstorm, WT = Winter storm, WF = Wildfire, VE = Volcanic eruption, MI = Meteor impact, TY = Typhoon


New issuance

1Q 2017 maintained the momentum from an exceptional 4Q 2016, totaling USD 1.87bn, the second-largest 1Q behind only 1Q 2016. However, unlike last year, when 2Q issuance braked considerably, this year the throttle was floored, red-lining the new-issuance machine to a record USD 6.20bn, which was nearly 40% larger than the previous largest quarter (2Q 2014). May 2017 on its own, at USD 3.32bn, was larger than all but two previous quarters in the history of the ILS market.

At USD 8.06bn of issuance, 1H 2017 was by far the largest half year ever recorded and fell just shy of surpassing the full-year issuance record of USD 8.29bn set in 2014, a level promptly exceeded with the settling of the IBRD Pandemic bonds on July 7, 2017.

Source: Swiss Re Capital Markets; as of June 30, 2017

With 23 transactions, 1H 2017 saw more deals brought to market than in any previous 1H, and nearly double the number of deals (12) issued in 1H 2016. Likewise, average deal size grew to a record USD 350m (the previous record was USD 327m in 2014, which included the USD 1.5bn Everglades transaction), nearly 60% greater than last year’s 1H average deal size. On average, deals in the first half were upsized by more than 30% from their initially announced sizes, demonstrating the strength of investor demand. Interestingly, the average tranche size was down more than 20% from 2014 highs, as many of the deals offered multiple tranches that appealed to a variety of investors by supplying bonds across the risk spectrum, while enabling cedents to realize efficient pricing.

Meanwhile, the risk/return profile of bonds issued in 2017 reversed course from last year’s trend of increased risk. Weighted-average expected loss (EL) and weighted-average spread for bonds issued in 1H 2017 were roughly 2.44% and 4.83% respectively, compared to roughly 3.16% and 6.23% in 1H 2016. The risk profile in 1H 2017 wasn’t quite as low as in 1H 2015 (2.00% EL). And yet, despite an average of 44 bps of added EL in 2017 from 2015, the average returns for the two years were nearly equal (4.83% in 1H 2017 vs 4.79% in 1H 2015).

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Figure 2Historical quarterly issuance


US wind and earthquake were once again the most prevalent perils with each combining to contribute to more than 60% of the market. Market conditions remained extremely sponsor-friendly, enabling sponsors to push the envelope on coverage terms and conditions, introducing indemnity retrocession for the first time in nearly 10 years, as well as indemnity-based European Flood coverage for the first time ever. The cedant profile was quite diverse with primary insurers leading the way, followed by government entities and residual pools, reinsurers, corporates, and for the second year in a row, investors ceding risk via a fronting entity. Among primary insurers, the market was dominated by US-focused insurers (large and regional), and was marked by an absence of the large global insurers. This is a trend that will hopefully cease as large institutions look to take advantage of the favorable terms and price discovery afforded by the capital markets.

Overall, the ILS market grew to a record level of USD 25.5bn. In recent history, we have witnessed a slight dip in market size around the midway point due to large waves of maturities in the first half of the year. The size then typically recovers in the second half with fewer maturities and continued issuance. With the largest maturity calendar in history, USD 6.48bn, we expected this trend to continue. However, as discussed above, market conditions were ripe for sponsors to broaden their coverage this year and issuance outpaced demand, bucking the trend and leading to mid-year growth in 2017.


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Figure 3Yearly issuance and outstanding ILS bonds


2H 2017 is already off to a good start with more than USD 400m settling in July. With the current market conditions and the relatively light USD 955m in 2H maturities, it would not take a huge leap of faith to predict further growth, which results in finishing the year in record territory for outstanding bonds (barring a large catastrophic event or other unforseen development).

Figure 42H 2017 cat-bond maturities

Issuer Maturity Size (USD m) Peril

Manatee Re Ltd. Series 2015-1 Class A 12/22/2017 100 FL WindMona Lisa Re 2013-2 Class A 7/7/2017 150 US WS, EQResidential Re 2013 Series 2013-II Class 1 12/6/2017 80 US WS, EQ, CS, WT; CA WFResidential Re 2013 Series 2013-II Class 4 12/6/2017 70 US WS, EQ, CS, WT; CA WFResidential Re 2016 Series 2016-II Class 2 12/6/2017 80 US WS, US EQ, US ST, US WT, US WF, US MI, US VE,

US OthersTramline Re II Ltd. Series 2013-1 7/5/2017 75 US EQ; CAN EQUrsa Re Limited Series 2014-1 Class A 12/7/2017 200 California EQ onlyUrsa Re Limited Series 2014-1 Class B 12/7/2017 200 California EQ only

Total: USD 955


1 US = United States, CAN = Canada, EU = Europe, JP = Japan, AUS = Australia, LA = Louisiana, NE = Northeast United States, NY = New York, FL = Florida, TX = Texas, CA = California, IT = Italy

2 WS = Wind storm, EQ = Earthquake, ST = Severe Thunderstorm, WT = Winter storm, WF = Wildfire, VE = Volcanic eruption, MI = Meteor impact, TY = Typhoon, MTPL = Motor Third Party Liability


Trading and relative value

Trading in 1H 2017 was slightly lighter than in previous years. As in other years, the bulk of trading in the first two months involved bonds that were off-risk. These bonds are often used as a cash-management tool and typically trade to a discount margin in the mid/high 100s bps, though this year we saw some trades in the low 200s, as some potential buyers were content to wait for new issuance. There was significant demand for a wide variety of bonds throughout 1Q, as many investors were flush with cash, both from fresh capital raises and the large volume of maturities. However, supply was fairly light as potential sellers were waiting for the rumors of the heavy-issuance pipelines to materialize. 2Q saw some light trading to start, but activity was muted as many investors were devoting their resources to the unprecedentedly heavy new-issuance calendar. Once the dust settled a bit toward the end of the half year, there was a pickup of trading as sellers looked to rebalance their portfolio exposures and buyers continued to put free cash to work.

Rating BofA Merrill Lynch US High Yield Avg. OAS4

Insurance Linked Securities Avg. Spread5

BB 2.31% 3.15%B 3.78% 4.74%

4 BofA Merrill Lynch High Yield Option Adjusted Spread via the Federal Reserve Bank of St. Louis website.

5 Swiss Re Capital Markets pricing indications only; average seasonally adjusted spread of all ILS bonds with a US wind component and at least one year left to maturity. US Wind BB Comp = Bonds with EL between 15–180 (or that actually have a BB rating, regardless of EL) US Wind B Comp = Bonds with EL between 180-375 (or that actually have a B rating, regardless of EL)

Source: Swiss Re Capital Markets

Figure 5Comparative US wind catastrophe bond and high-yield corporate bond spreads (as of June 30, 2017)

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Spreads for ILS in 1H finished slightly tighter to where they began the year, continuing the compression that started late in 2015, and achieving new historically tight levels. This feat was particularly impressive when taking into account the considerable abundance of new issuance supplied to the market. Likewise, the US High Yield (HY) market experienced similar moderate tightening over 1H. Despite record tight levels, ILS returned to trade at a healthy premium to comparably rated corporate bonds after trading at a discount during the HY energy-sector selloff of 2016.

Figure 5 on the previous page presents a comparison of comparably rated catastrophe bonds to corporate HY bonds. Due to the recent trend of catastrophe bonds not applying for ratings, we decided the best option was to group bonds into rating buckets based on ELs (rather than an actual rating agency issued rating). We chose to lump US wind bonds rated BB along with all US wind bonds with an EL between 15 bps and 180 bps as our BB-representative bucket, while doing the same for bonds with an EL between 180 bps and 375 bps as our B-representative bucket. As of the end of 1H, Swiss Re’s pricing data shows that BB-rated catastrophe bonds comparables on average offer 0.84% additional spread compared with BB-rated corporate bonds. Meanwhile, B-rated catastrophe bonds comparables on average offer 0.96% more spread compared with similarly rated corporate bonds.

In addition to the potential spread pickup over HY, cat-bond investors are also reaping the benefits of floating-rate instruments in a rising interest-rate environment. The current trend of placing collateral in structured notes, specifically AAA-rated, Libor-based notes, has magnified the potential return. 1H saw more than 50% of the notional placed in these Libor-based notes. It will be worth monitoring whether this trend will continue given the recent announcement of the elimination of LIBOR by 2021.


Figure 6Collateral solutions used by new-issue cat bonds (as of June 30, 2017)

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Swiss Re Global Cat Bond Total Return Index

The Swiss Re Cat Bond Global Total Return Index experienced modest 1.93% growth in 1H 2017, compared with 2.84% in 1H 2016.

The return of the Global Total Return Index can be broken down into a price and coupon component. The coupon return of the Global Index in 1H 2017 was 2.79%, compared with 2.85% for the same period in 2016. The main driver of changes to the Total Return for the year was the price component, which stood at -0.84% in 1H 2017, compared with -0.01% for the same period in 2016. The drop is largely attributable to the seasonal nature of cat-bond prices ahead of the wind season.

The end of 2016 also saw the issuance of a benchmark USD 1,275m multi-peril transaction. It drove spreads wider given the relative pricing achieved by the sponsor for the risk, and ahead of what was rumored to be an active-deal pipeline. As Q1 progressed, and with few deals announced, prices quickly corrected.

Source: Swiss Re Capital Capital Markets Swiss Re Capital Markets pricing indications only. Swiss Re Global Cat Bond Index Total Return, calculated by Swiss Re Capital Markets, is a market value-weighted basket of natural catastrophe bonds tracked by Swiss Re Capital Markets, calculated on a weekly basis; past performance is no guarantee of future results.

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Figure 7Swiss Re Global Cat Bond Total Return Index by component (as of June 30, 2017)


Deal Focus: Pandemic Emergency Financing Facility

Issuer: International Bank for Reconstruction and Development (“IBRD”)

Offering: Class A and Class B Floating Rate Catastrophe-Linked Capital at Risk Notes

Risk Period: 3 calendar years from July 8, 2017 to July 7, 2020Covered Perils: Class A: Outbreaks/epidemics/pandemics caused by pandemic

influenza and coronavirusesClass B: Outbreaks/epidemics/pandemics caused by filoviruses, coronaviruses, Lassa fever, Rift Valley fever, and Crimean Congo hemorrhagic fever

Trigger: Parametric, per occurrence; based on World Health Organization (“WHO”) reported Cases and Deaths (as applicable) within the Covered Area or Worldwide Area (as applicable)

Modeling firm and event calculation agent:

AIR Worldwide Corporation

Size: USD 320mFormat: Global Notes available to QIBs onlySole bookrunner and joint structuring agent:

Swiss Re Capital Markets

Source: Swiss Re Capital MarketsThe Information is provided for informational purposes only. None of the Information is intended as an offer or solicitation, or as the basis for any contract for the purchase of any security or other instrument, nor as a promotion or recommendation of any security, financial product or other investment vehicle of any trading strategy.

The IBRD Capital at Risk Series 111 and Series 112 Notes, better known as the notes supporting the Pandemic Emergency Financing Facility (“PEF”), were a landmark issuance. They covered the risk of infectious disease outbreaks, occurring predominantly in the developing world, caused by pandemic influenza, filoviruses, coronaviruses, Lassa fever, Rift Valley fever, and Crimean Congo hemorrhagic fever.

The truly innovative feature of the transaction versus traditional risk-transfer products is that coverage is designed to prevent a catastrophe from getting worse. This compares to a traditional cat-bond structure, which just reacts to a catastrophe and indemnifies parties for the losses they suffered. The hope is this transaction can save human lives and spare economies from the impact these outbreaks can have, as well as increase the global resilience to these threats.

The transaction also had a series of firsts that included: the first event-based Life and Health bond (others had been based on indices or cashflows); the first usage of the AIR Pandemic Model in a transaction; the first cat bond to cover the risk of the poorest countries in the world; the first fully syndicated cat bond marketed using the IBRD Capital at Risk platform; and the first usage of the WHO as a reporting source for a parametric transaction.


The differing risk profiles of the two classes of notes were well-received by investors. The diversifying nature of the risk and the socially responsible nature of the investment allowed the IBRD Capital at Risk Series 111 and Series 112 Notes to appeal to a broad range of investors.

Class A Notes Class B Notes

Tranche Size: USD 225m USD 95mCovered Perils: Outbreaks/epidemics/

pandemics caused by pandemic influenza and coronaviruses

Outbreaks/epidemics/pandemics caused by filoviruses, coronaviruses, Lassa fever, Rift Valley fever, and Crimean Congo hemorrhagic fever

Annual Expected Loss 3.57% 7.74%Spread: [6M Libor – 40bps] + 690 bps [6M Libor – 40bps] + 1150 bps

The hope is this successful transaction can validate the capital market’s ability to further support spinoff transactions (such as local or regional coverages for sovereigns, as well as transactions for corporates) for this type of risk. This transaction also demonstrates the capital market’s ability to address some of society’s largest risks, and highlights the ability of the World Bank to act as an effective intermediary and champion for sovereign-risk transfer.


Sector data



ParametricIndustry IndexIndemnity

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Figure 8Current trigger breakdown for 2017 new issuance (as of June 30, 2017)

Figure 9Outstanding cat bonds, by peril (as of June 30, 2017)


Source: Swiss Re Capital Markets; Swiss Re Capital Markets pricing indications only; underlying data for Barclays US High Yield is Barclays US Ba High Yield Index via Barclays Live website; underlying data for S&P 500 Total Return is S&P 500 Total Return Index via Bloomberg website.

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Figure 10Comparative Index Returns (as of June 30, 2017)


For more information

Specialists throughout Swiss Re Capital Markets are available for consultation on bespoke ILS solutions, and they invite a dialogue on the subject with sponsors and investors alike. For more information, please contact any of the individuals listed below.

Distribution and Trading – New YorkJudy Klugman Swiss Re Capital Markets Corp+1 212 317 [email protected]

Liran NehushtanSwiss Re Capital Markets Corp+1 212 317 [email protected]

Origination and Structuring Jean Louis Monnier – LondonSwiss Re Capital Markets Ltd+44 20 7933 [email protected]

Andy Palmer – LondonSwiss Re Capital Markets Ltd+44 20 7933 4151 [email protected]

Philippe Kremer – New YorkSwiss Re Capital Markets Corp+1 917 368 [email protected]


Risk factors

An investment in Insurance-Linked Securities involves potentially significant risks for an investor. In summary, these risks include (but aren’t limited to): ̤ Investors may lose all or a portion of their investment in Insurance-Linked

Securities if a natural catastrophe or other event triggers a payment by the issuer of the Insurance-Linked Securities under the underlying risk-transfer agreement to which the Insurance-Linked Securities relate.

̤ The maturity of the Insurance-Linked Securities may be extended without the prior consent of the investor.

̤ The Insurance-Linked Securities may be redeemed before their maturity date (including before any extension of such maturity date by the issuer).

̤ If the Insurance-Linked Securities are redeemed before maturity, the interest rate payable to you under the Insurance-Linked Securities will be reduced.

̤ Investors have limited recourse to assets of the issuer of the Insurance-Linked Securities and no recourse to assets of the counterparties to the underlying risk-transfer agreements to which the Insurance-Linked Securities relate.

̤ If the issuer of the Insurance-Linked Securities becomes insolvent, investors may lose some or all of their investment.

̤ Investors may be required to consolidate the issuer for accounting purposes under certain circumstances.

̤ An investment in the Insurance-Linked Securities may have adverse tax consequences for investors.

̤ Any claim you have against the issuer in the event of the issuer’s insolvency will rank below any claim a counterparty to the underlying risk-transfer agreements, to which the Insurance-Linked Securities relate, has against the issuer.

̤ Enforcement of security interest granted to a Trustee for the benefit of the investors may be limited.

̤ The Insurance-Linked Securities may not have a secondary market or the secondary market for the Insurance-Linked Securities may have limited liquidity and the market and market price of the Insurance-Linked Securities in the secondary market may be highly volatile.

̤ The Rating Agenc(y)(ies) (if any) may change any rating assigned to the Insurance-Linked Securities. Any credit rating given in respect of the Insurance-Linked Securities may not reflect the potential impact of all risks related to the Insurance-Linked Securities. A credit rating is not a recommendation to buy, sell or hold the Insurance-Linked Securities and may be revised or withdrawn by the rating agency at any time.

The risk factors relating to an investment in Insurance-Linked Securities are set out in detail in the offering circular for the relevant Insurance-Linked Securities. You should consult this information when considering any investment activity.


DisclaimerThe information herein (collectively, the “Information”) is provided by Swiss Re Capital MarketsCorporation (“SRCM Corp”) and Swiss Re Capital Markets Limited (“SRCML”, and together with SRCM Corp, Swiss Re Capital Markets (“SRCM”)). SRCM Corp. is a member of Financial Industry Regulatory Authority (“FINRA”) and the Securities Investor Protection Corporation (“SIPC”), and is regulated by the FINRA. SRCML (FCA register number 187863, VAT Registration Number244797524) of 30 St. Mary Axe, London EC3A 8EP, is a company authorized and regulated inthe conduct of its investment business in the United Kingdom by the Financial Conduct Authority(‘‘FCA’’) and is entered in the FCA’s register. The FCA’s website (http://www.fca.org.uk/) containsa wide range of information of specific relevance to United Kingdom investors and providesaccess to the FCA register. The information found on such website is not a part of this presentation,and any reference to such website is intended to be a textual reference only and is not intendedto create any hyperlink text. This information is not intended for retail clients. Persons dealing withSRCML outside the United Kingdom are not covered by all the rules and regulations made for the protection of investors in the United Kingdom and may not have the right to claim through theUnited Kingdom’s Financial Services Compensation Scheme.

The Information is provided for informational purposes only. None of the Information is intendedas an offer or solicitation, or as the basis for any contract for the purchase of any security or otherinstrument, nor as a promotion or recommendation of any security, financial product or otherinvestment vehicle of any trading strategy. None of SRCM or its affiliates endorses, approves orotherwise expresses any opinion regarding any issuer, securities, financial products or instrumentsor trading strategies. None of the Information is intended to constitute investment advice or arecommendation to make (or refrain from making) any kind of investment decisions and may notbe relied on as such. Unless otherwise agreed in writing, SRCM is not acting as your financialadviser or fiduciary.

Except where attributed to third parties, the Information is the property of SRCM, and is protectedby trademark and other intellectual property laws and may not be reproduced in any way withoutprior permission of SRCM. The Information may not be used to verify or correct other data, to create indices, risk models or analytics, or in connection with issuing, offering, sponsoring, managing or marketing any securities, portfolios, financial products or other investment vehicles based on, linked to, tracking or otherwise derived from the Information, without a separate written license agreement with SRCM.

The user of the Information assumes the entire risk of any use it may make or permit to be made ofthe Information. SRCM MAKES NO EXPRESS OR IMPLIED WARRANTIES OR REPRESENTATIONSWITH RESPECT TO THE INFORMATION (OR ANY RESULTS TO BE OBTAINED BY THE USETHEREOF), AND TO THE MAXIMUM EXTENT PERMITTED BY LAW, SRCM HEREBY EXPRESSLYDISCLAIMS ALL IMPLIED WARRANTIES (INCLUDING, WITHOUT LIMITATION, ANY IMPLIED WARRANTIES OF ORIGINALITY, ACCURACY, TIMELINESS, NON-INFRINGEMENT,COMPLETENESS, MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE) WITHRESPECT TO THE INFORMATION. Without limiting any of the foregoing and to the maximumextent permitted by law, in no event shall SRCM have any liability regarding any of the Informationfor any direct, indirect, special, punitive, consequential (including lost profits) or any otherdamages even if notified of the possibility of such damages.

While certain information herein has been obtained from sources believed to be reliable, we donot represent it to be accurate or complete. The Information includes illustrations, estimates andprojections and involves significant elements of subjective judgment, assumptions and analysis.Any views or opinions (including illustrations, estimates, statements or forecasts) constitute ourjudgment as of the date indicated and are subject to change without notice. No representation is made as to the accuracy of such illustrations, estimates or projections or that all assumptions relating to them have been considered or stated or that such projections or returns will be realized. The returns or performance results may be lower than estimated herein; past performance is not indicative of future results. The Information does not purport to contain all of the information that may be required to evaluate such instruments and you are encouraged to conduct independent analysis of the data referred to herein. We do not undertake to update this document.

One or more of the companies in the Swiss Re group may have sponsored, or may trade for their own account(s) in products discussed herein, including but not limited to securities, or options or other derivatives based on securities, of companies mentioned in these materials.


© 2017 Swiss Re. All rights reserved.

Title: Insurance-Linked Securities market update August 2017

Contributors: Liran Nehushtan Edward Barton Liam Martens

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