Introduction aux Insurance Linked Securities par Diego Wauters CEO Coriolis Capital - Conférence AssurFinance|2013

1. An Introduction to ILS
Confidential
March 2013

2. Disclaimer
The information contained herein, including any expression of opinion, has been obtained from or is based upon sources believed to be reliable but is not
guaranteed as to accuracy or completeness, although Coriolis Capital Limited and its affiliated companies (“CCL”) believe it to be fair and not misleading. CCL is
not, and will not be, responsible for providing advice to you as to whether you should enter into the transaction or on the documentation to be used for the
transaction or on the merits of purchasing any investment or otherwise. You must make your own assessment of the transaction and the risks and benefits
associated with it and of all the matters referred to in the preceding sentence. CCL does not accept any obligation of a fiduciary nature. CCL recommends you
enter into transactions only after having considered, with the assistance of external advisors, without reliance upon CCL, the specific risks of any transaction,
including but not exclusively, the legal, tax and accounting implications. This presentation was prepared exclusively for your benefit and your internal use.
Neither the presentation nor any of its contents may be disclosed to, reproduced or used or relied upon by, any other person or used for any other purpose
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customers and may have acted upon or made use of the information in this document prior to its publication. This presentation does not constitute an offer to
sell or a solicitation to buy securities. The terms and conditions in this document are purely indicative and are subject to the final expression of the terms of a
specific transaction as detailed in a definitive agreement. Any investments or investment services mentioned herein are not available for private customers. Past
performance is not necessarily a guide to future performance. You should remember that the value of investments can go down as well as up and is not
guaranteed. This document is issued by Coriolis Capital Ltd which is authorised and regulated by the Financial Services Authority. The Coriolis funds (the
“funds”) are defined as “Unregulated Collective Investment Schemes” (“UCIS”) and the promotion of a UCIS either within the UK or from the UK is severely
restricted by statute. Consequently, this document is only made available to Professional Clients and Eligible Counterparties as defined by the FSA and to
persons falling within the Financial Services and Markets Act 2000 (Promotion of Collective Investment Schemes) (Exemptions) Order 2001. Units in the
Coriolis funds should only be purchased by persons with professional experience of participating in unregulated schemes and any other person who receives this
document should not rely upon it. None of the funds described are suitable for investment by US investors with the exception of Catmosphere and Mistral
Feeder, and these funds are only available for certain US taxable investors that are sophisticated institutional investors that meet certain eligibility criteria. Further
details are available on request. No securities have been registered with the SEC under the US Securities Act of 1933, as amended (the “1933 act”), or under the
securities laws of any states, in reliance upon exemptions from the registration requirements of the 1933 act and such state laws. All investors are required to be
“Accredited Investors” as defined in Regulation D under the 1933 Act. No Partnerships have registered as an “investment company” under the US Investment
Company Act of 1940, as amended (the “Investment Company Act”) in reliance upon the exemption afforded by section 3(c)(7) thereunder. In addition, all
investors are required to be “Qualified Purchasers” as defined in section 2(a)(51) of the Investment Company Act.
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3. Insurance Linked Securities (ILS)
Originated in 1990s
Bonds, Options and Reinsurance Contracts
No correlation to the financial markets
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4. Convergence
Financial Markets Reinsurance
5 risks Dozens of risks
$trillions $500billion
• Looking for diversification • Looking for cover of tail risk
• Looking for cover of non-tail risk
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5. Convergence (2)
Financial Markets Reinsurance
Rate on line*
• Looking for return for fixed amount of risk
Cat bonds Cat bonds
/ILWs / ILWs
Time
Reinsurance/retrocession prices Sidecars
*Premium level
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6. ILS Strategy
Diversification into:
Core portfolio of: +
Reinsurance &
Retrocession1
Cat Bonds
and
ILWs
Weather
Derivatives / Other
1 Depending on the reinsurance cycle
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7. ILS Strategy (2)
Return
- Liquidity
Diversification
+Liquidity Risk
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8. Coriolis Background
30 years expertise
• Primary equity (1980s); Mergers & Acquisitions (1980s & 1990s); Reinsurance Structuring
– first ILS (1996 & 1997); ILS Prop desk (1998); ILS funds (since 1999)
Stable Team
• Shareholders; co-investors; scientific and mathematical backgrounds
Good Performance
• LIBOR +5-15%; Volatility 3-10%
Whole Range of Products
• Cat Bonds; Cat Options (ILWs); Reinsurance/Retrocession; Cat/Non Cat/Mortality;
Weather Derivatives
Independent / SG Hambros
Based in London, UK
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