Insurance-linked securities market update

Transcription

1 Insurance-linked securities market update Table of Contents Page Introduction 1 New Issuance 1 Catastrophe Bond Triggers 5 Cat Bond Modeling Firms 6 Secondary Market Trading Commentary from SRCM s Trading Desk 7 Swiss Re Global Cat Bond Total Return Index (SRGLTRR) 9 Deal Focus: Combine Re Limited 10 More Information 12 Sector Data as of 1 July Introduction The first half of 2012 was the most active first half for Insurance-Linked Securities ( ILS ) issuance since With new issue volume of approximately USD 3.6 bn, insurers, reinsurers, and investors have all shown their commitment to the ILS market. Since the end of the 2011 hurricane season, the ILS market has seen a flurry of issuance. New and repeat sponsors have been attracted by the diversifying capacity source, as well as by price levels that are increasingly competitive with traditional reinsurance. Capital continues to flow into the sector, with ILS fund mandates from large US and international pension funds becoming a recurring theme. Primary insurance companies have increasingly used indemnity triggers in their catastrophe bonds and have seen that investors are comfortable evaluating these deals on their merits. All of these factors, combined with a hardening market for traditional reinsurance, have led many companies to the ILS market. New Issuance The first half of 2012 saw familiar cat bond sponsors accessing the capital markets. Repeat sponsors Aetna, Allianz, Assurant, the California Earthquake Authority (CEA), Chubb, Liberty Mutual, Mitsui Sumitomo Insurance (MSI), Munich Re, Swiss Re, Travelers, USAA, and Zenkyoren came to market, showing their commitment to the sector. New sponsors included Florida Citizens, which issued the largest single tranche in the history of the ILS market (USD 750mm), as well as Louisiana Citizens, COUNTRY Mutual, and the North Carolina Farm Bureau (NCFB). COUNTRY Mutual and NCFB (with Swiss Re acting as a transformer) came to market with an innovative transaction called Combine Re, providing the two companies with separate limits in a shared transaction collateralized by the capital markets. Further details on the Combine Re transaction can be found on page 10 of this update. Volume XVIII July 2012

2 Figure 1: Nat Cat and Life New Issuance 1 January June 2012 Deal Name Settlement Date Notional (m) Peril 1 Successor X Class V-D3 Jan 26, 2012 USD 40 USWD Successor X Class V-AA3 Jan 26, 2012 USD 23 USWD/EUWD Vitality Re III Class A Jan 27, 2012 USD 105 Health MBR Vitality Re III Class B Jan 27, 2012 USD 45 Health MBR Ibis Re II Class A Jan 30, 2012 USD 100 USWD Ibis Re II Class B Jan 30, 2012 USD 30 USWD Kibou Feb 6, 2012 USD 300 JPEQ Embarcadero Re 2012-I Feb 6, 2012 USD 150 CAEQ Queen Street V Re Feb 27, 2012 USD 75 USWD/EUWD Mystic Re III Class A Mar 5, 2012 USD 100 USWD/USEQ Mystic Re III Class B Mar 5, 2012 USD 175 USWD/USEQ East Lane Re V 2012 Class A Mar 9, 2012 USD 75 USWD/ USTS East Lane Re V 2012 Class B Mar 9, 2012 USD 75 USWD/ USTS Combine Re Class A Mar 23, 2012 USD 100 USWD/USEQ/USTS/USWS Combine Re Class B Mar 23, 2012 USD 50 USWD/USEQ/USTS/USWS Combine Re Class C Mar 23, 2012 USD 50 USWD/USEQ/USTS/USWS Blue Danube Class A Apr 3, 2012 USD 120 USWD/USEQ/CANEQ/MXHU/Caribbean HU Blue Danube Class B Apr 3, 2012 USD 120 USWD/USEQ/CANEQ/MXHU/Caribbean HU Pelican Re Apr 4, 2012 USD 125 USWD Akibare II Class A Apr 5, 2012 USD 130 JPWD Everglades Re Class A Apr 30, 2012 USD 750 FLWD Mythen Class A May 3, 2012 USD 50 USWD Mythen Class E May 3, 2012 USD 100 USWD Mythen Class H May 3, 2012 USD 250 USWD/EUWD Residential Re Class 3 May 31, 2012 USD 50 USWD/USEQ/USTS/USWS Residential Re Class 5 May 31, 2012 USD 110 USWD/USEQ/USTS/USWS Residential Re Class 7 May 31, 2012 USD 40 USWD/USEQ/USTS/USWS Long Point Re III Class A Jun 6, 2012 USD 250 Northeast Wind 1 USWD = United States Wind, E Wind = European Wind, Health MBR = Medical Benefit Ratio, JPEQ = Japan Earthquake, CAEQ = California Earthquake, USTS = United States Severe Thunderstorm, USWS = United States Winterstorm, USEQ = United States Earthquake, CANEQ = Canada Earthquake, MXHU = Mexican Hurricane, Carribean HU = Carribean Hurricane, FLWD = Florida Wind 2 Insurance-linked securities market update, July 2012

3 With approximately USD 3.6 bn across 16 transactions and 28 tranches, the first half of 2012 was only USD 237mm short of 2007 s first-half record. The issuance in the first half of 2012 was also approximately double that of the first half of 2011 (USD 1.8bn). Any way the numbers are spun, the first half of 2012 was a thoroughly impressive one for the ILS market. Among the cat bonds issued, US hurricane risk was by far the most common peril, covered in 23 out of 28 tranches. However, the market also saw significant non-peak peril issuance including: Japanese earthquake, Japanese typhoon, California earthquake, and extreme morbidity. Historically, sponsors had primarily waited until the second quarter, the period directly preceding the North Atlantic hurricane season, to access the capital markets. However, sponsors have recently seen improved execution in the first quarter and have increasingly sought to bring deals to market earlier in the calendar year. This year had a record USD 1.5 bn issuance in Q1, along with USD 2.1 bn in Q2 issuance, the second highest Q2 on record. Figure 2: Historical Q1 and Q2 catastrophe bond issuance in USD mm Q1 Issuance Q2 Issuance Overall notional outstanding in the ILS market had decreased each year from , as large maturities from bonds issued during the peak years of 2006 and 2007 outpaced new issuance. Since the financial crisis, much of the new issuance has come from renewals of bonds that had matured. This limited the absolute growth of the market will likely mark the first year since 2007 with overall growth in notional outstanding, a very positive outcome for the market. At the end of 1H 2012 the total outstanding amount of catastrophe bonds was USD 14.7 bn, an increase from 2011 s year end total of USD 13.7 bn. The signs of growth are clear for the ILS market. Insurance-linked securities market update, July

4 Figure 3: Cat bonds outstanding in USD mm Issued Outstanding from previous years 2012 figures are as of 1 July Over USD 2.4 bn of cat bonds matured in the first half of No bonds are scheduled to mature in Q3, while nine bonds totaling approximately USD 1.1 bn are scheduled to mature in the fourth quarter. Figure 4: Upcoming cat bond maturities 1 July December 2012 Issuer Maturity Size (mm) Peril MultiCat Mexico 2009 Class A USD 140 MEX EQ MultiCat Mexico 2009 Class B USD 50 Pacific Wind MultiCat Mexico 2009 Class C USD 50 Pacific Wind MultiCat Mexico 2009 Class D USD 50 Atlantic Wind Midori USD 260 JP EQ Montana Re Class A USD 100 USWD Montana Re Class B USD 75 USWD/USEQ Longpoint Re II Class A USD 250 Northeast Wind Loma Re Series Class A USD 100 USWD/USEQ/EUWD/JPEQ Total: USD We remain optimistic regarding new issuance for It remains clear that sponsors view the ILS market as an important part of their risk management programs, and as a source of multi-year collateralized reinsurance protection. The broad investor base sees value in a diversifying and non-correlated asset class. Due to these factors, the ILS market is likely to continue to grow in the future. 4 Insurance-linked securities market update, July 2012

5 Catastrophe Bond Triggers The first half of 2012 has seen a large increase in the amount of bonds issued using indemnity triggers. Whereas in the past many primary insurers were willing to take a certain level of basis risk, currently several insurance companies have looked to obtain protection from the capital markets that closely matches their traditional reinsurance placement. In the first half of 2012 Liberty Mutual and Travelers came to market with indemnity based catastrophe bonds, though each had previously issued bonds based on industry loss triggers. An interesting comparison to make regarding triggers is the amount of each trigger issued in 2012 (the second largest first half in the history of the ILS market) against 2007 (the largest first half). The charts in Figure 5 show the percentage of notional using each trigger type: Figure 5: 2007 and 2012 First Half Cat Bond Triggers 2007 Cat Bond Triggers 2012 Cat Bond Triggers Indemnity 30% Industry Index 43% Parametric Index 15% Modeled Loss 12% Indemnity 57% Industry Index 25% Parametric Index 8% Modeled Loss 4% Hybrid 6% In 2007 the most popular trigger for cat bonds was industry index, with 43%, followed by indemnity at 30%. However, in 2012 indemnity is the most used trigger with 57%. Insurance-linked securities market update, July

6 Cat Bond Modeling Firms Since the release of Risk Management Solutions ( RMS ) version 11 of their US Hurricane model on 28 February 2011, there has been approximately USD 7.1 bn in natural catastrophe bond issuance across 55 separate tranches. Of the 55 tranches issued, 51 were modeled by AIR Worldwide, representing USD 6.5 bn (91% of the total by notional). EQECAT modeled 3 tranches, for USD 443 mm (6% of the total by notional). RMS modeled 1 tranche, for USD 200 mm (3% of the issuance). Since the release of RMS v11,the ILS market has focused on using AIR as the primary independent modeling firm for new natural catastrophe bonds. This trend has continued in 2012, as every natural catastrophe bond issued was modeled by AIR. So while investors might have preferred more diversification in modeling firms, they have accepted the predominant use of the AIR model. It is clear that the market is functioning at a high level while using one modeler. Figure 6: Percentage of issuance modeled by AIR, RMS, and EQECAT by notional Nat-Cat Bonds Modeled since Feb AIR 91% EQECAT 6% RMS 3% 6 Insurance-linked securities market update, July 2012

7 Secondary Market Trading Commentary from SRCM s Trading Desk Secondary trading in the first half of 2012 has had its ups and downs. The first quarter kicked off as a buyer s market but turned sharply into a seller s market well into Q2. After a relatively quiet fourth quarter in 2011, trading came back to life early in Q1 with most of the trades occurring around or below the bid side of SRCM s pricing sheet. Some of the secondary trades were executed to free up cash to buy new issuance, while others tried to fill up on diversifying non-peaks. Spreads in Q1 followed the widening trend that began in Q4 2011, as secondary trade levels converged to the wider new issuance levels. Despite the very strong start, overall volumes in Q1 were a bit sluggish as investors saw better value in new issuance than in the secondary market. With a strong new issuance pipeline, a perceived shortage in capacity, and sponsors wanting/willing to upsize deals, investors had the ability to push spreads to the wide end of the guidance or higher. In contrast, there were only a limited amount of bonds available at cheap levels in the secondary market. The Mw 7.4 Earthquake hitting Mexico on March 20 nearly caused a full payout of USD 140mm of Multicat Class A which uses a pure parametric trigger. The initial epicenter estimate by the USGS placed the earthquake in the Mexico City box exceeding the Magnitude threshold (Mw 7.4). The revised epicenter moved slightly falling into the Oaxaca box which triggers at a higher magnitude threshold (Mw 8.0). We heard of only one trade in the secondary market at a slightly discounted level. Leading into Q2, some were questioning the breadth of the market, as clearing pricing and capacity levels were harder to predict. The market seemed to reach a turning point with the placement of the Everglades deal, sponsored by Florida Citizens a long awaited sponsor in the market. Investors placed large orders pushing the size from an initial USD 200mm guidance to a USD 750mm deal. The success of this transaction highlighted that there was plenty of capital flowing into the sector. These conclusions were reinforced after the successful placement of the Mythen and Long Point III deals which closed out Q2 new issuance. With record setting new issuance to begin the year, secondary trading took a back-seat as investors focus was strictly on the primary market. Secondary trading in Q2 started off quietly, but took a sharp turn in the middle of Q2. Following on the new found strength in the market post the Res Re/Everglades/Mythen/Long Point deals, the secondary market quickly started to see bids from various funds seeking to fill up their portfolios. Usually we would expect very strong bids for non-peak bonds, as diversification helps to leverage the exposure to US Wind; however, we saw bids across peak and non-peak exposures as the low yield of non-peak bonds were not attractive investments for many funds with high return targets. A number of investors who had extra capital or anticipated capital inflows were already taking advantage of wide spreads in the secondary market towards the end of Q1 and start of Q2 as they saw the opportunity to buy cheap bonds before the rest of the market caught up. Once a few buyers started bidding on bonds, offer prices quickly increased. Many buyers, after securing those fresh capital inflows, were willing to play along and showed aggressive levels in order to secure the bonds and put the cash to work vintage bonds have since traded at a premium in spite of seasonality which naturally puts downward pressure on prices as the wind season approaches. Insurance-linked securities market update, July

8 Figure 7 below shows a few examples of spread tightening since new issuance for this vintage of bonds. The spreads displayed do not adjust for seasonality. Spreads tightened across all perils up to about 15% and the minimum spread for nat cat bonds broke through the 200 bps threshold in a few Merna II trades exposed to Central US earthquake. Figure 7: Individual bond spread movement by percentage for selected 2012 vintage bonds 5% 0% 5% 10% 15% 20% Kibou Embarcadero 2012 East Lane V A East Lane V B Combine C Blue Danube Class A Blue Danube Class B Long Point III Pelican Everglades Mythen Class H Some may recall a similar tightening trend occurred in Q2 2009, following the issuance of bonds early in that year at record spreads in the wake of the financial crisis. Although recent new issuance spreads did not reach the levels of 2009, the 2012 vintage is already in high demand and trading at a premium. It s not obvious that this tightening trend is sustainable in the long run, though many funds have been the beneficiaries of new capital inflows and demand for bonds is still very high. Leading up to the close of Q2 we have seen additional tightening each week. It will be interesting to see how this plays out; whether new sponsors come to market and attempt to take advantage of this capital availability, and whether that will quench investors demand for more bonds. In contrast to the cat bond market, the ILW market has been extremely quiet this year, despite a strong start early in the year. Even though demand for ILW capacity is much lower than supply, offer levels have not dropped significantly and the bid/ask spread is still fairly wide. One of the factors contributing to this lack of demand for ILW protection comes from disappointing allocations in the traditional market, leaving many market players with gaps in their portfolios, rather than peak exposures to hedge. Some of the new startups in the sector which are not involved in cat bonds, but provide capacity in collateralized reinsurance may have contributed to diluting allocations across the markets. Looking forward, we think the past few months have brought a new found confidence to the market that will likely result in more stability in the coming months. While we don t anticipate the recent tightening to continue forever, we also don t see new issuance reverting to the wide levels of earlier this year. 8 Insurance-linked securities market update, July 2012

9 Swiss Re Global Cat Bond Total Return Index (SRGLTRR) The Swiss Re Global Cat Bond Index Total Return rose 3.51% from 30 December 2011 until 22 June 2012, with a 0.57% return in Q1 and a 2.92% return in Q2. Q1 s low return was in relation to a widening of spreads in the secondary market. From the beginning of the year until 11 May, the return of the price portion of the Global Index (SRGL- PRC) dropped -1.92%, weighing heavily on the index. However, from 11 May until 22 June, the price return increased 1.16%, making back some of the drop. The coupon portion of the index (SRGLCPN) increased 4.33% in the first half of the year, reflecting the steady nature of cat bond coupons. Figure 8: Swiss Re Global Cat Bond Total Return Index with its Price and Coupon Components (indexed to December 30, 2011) Coupon Return Total Return Price Return Insurance-linked securities market update, July

10 Deal Focus: Combine Re Limited* Figure 9: Combine Re deal outline ISSUER: Offering: Reinsured: Format: Covered Perils: Trigger: Modeling Firm: Size: Sole Structuring Agent & Bookrunner: Transformer: Combine Re Limited Class A, Class B, and Class C Notes COUNTRY Mutual Insurance Company ( COUNTRY Mutual ) and North Carolina Farm Bureau Insurance Company Inc. ( NCFB and collectively the Reinsured ) 144A only, Principal at-risk Variable Rate Notes US Hurricane, Earthquake, Severe Thunderstorm, and Winter Storm Indemnity (all classes) AIR Worldwide USD 200,000,000 Total Swiss Re Capital Markets Swiss Reinsurance America Corporation Combine Re, issued in March 2012, is the first catastrophe bond to be issued on behalf of two reinsured parties. COUNTRY Mutual Insurance Company ( COUNTRY ) and the North Carolina Farm Bureau Mutual Insurance Company, Inc. ( NCFB ) each received USD 100m of limit from Swiss Re America, which retroceded the risk into the Combine Re vehicle. Through Combine Re, COUNTRY and NCFB each received USD 100m of aggregate coverage for the US perils of hurricane, earthquake, thunderstorm and winter storm. This innovative structure combined the risk from the two companies to create a broad range of risk and return profiles in three classes of notes. The junior Class C Notes will absorb the first USD 50m of combined loss from COUNTRY and NCFB; the Class B Notes will absorb the next USD 50m of combined loss; and the senior Class A Notes require both companies to have losses in their aggregate structures during the risk period in order to trigger. Due to the geographic diversification between the two companies, the Class A notes received an investment grade rating from Moody s ( Baa1 (sf) ). By producing this range of risk profiles, the structure allowed Combine Re to appeal to a broad range of investors. * Please see the Risk Factors at the end of this publication 10 Insurance-linked securities market update, July 2012

11 Figure 10: Combine Re deal structure COUNTRY Mutual USD 100m NCFB USD 100m Reinsurance Agreement Reinsurance Agreement Swiss Reinsurance America Corporation COUNTRY Retrocession Agreement NCFB Retrocession Agreement Combine Re Ltd. Class A Noteholders USD 100m, rated Baa1 (sf) ¹ Proceeds Proceeds US Treasury Money Market Funds Permitted Investments Yield COUNTRY NCFB Mutual Reg 114 Trust Reg 114 Account Trust Account USD 100m USD 100m Permitted Investments Yield + Interest Spread Class B Noteholders USD 50m, rated Ba3 (sf) ¹ Class C Noteholders USD 50 m, no rating Figure 11: Combine Re deal terms Class A Notes Class B Notes Class C Notes Tranche Size: USD 100,000,000 USD 50,000,000 USD 50,000,000 Trigger Type: Annual Aggregate Annual Aggregate Annual Aggregate Rating 1 : Baa1 (sf) Ba3 (sf) Not Rated 1 Ratings by Moody s The combined cat bond structure allowed COUNTRY and NCFB to reduce their transaction expenses and their premium payments relative to a single-reinsured structure. This type of structure has the potential to allow other regional insurers to affordably access the capital markets. Insurance-linked securities market update, July

12 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 New York: Judy Klugman Swiss Re Capital Markets Corp [email protected] Distribution and Origination London: Jean Louis Monnier Swiss Re Capital Markets Ltd [email protected] Origination New York: Markus Schmutz Swiss Re Capital Markets Corp [email protected] 12 Insurance-linked securities market update, July 2012

13 Sector Data as of 1 July Figure 12: ILS Lead Managers Year to Date Swiss Re Capital Markets Goldman Sachs Guy Carpenter Aon Deutsche Bank USD mm Figure 13: Current capacity provided by the capital markets US Wind 30% CA EQ 18% Central US EQ 14% PNW EQ 8% Euro Wind 8% US Tornado, Wind, Hail 7% US Winterstorm 5% Japanese EQ 3% Extreme Mortality 2% Other 5% Figure 14: Collateral solutions used by outstanding cat bond transactions Treasury MM Fund 69% Structured Notes 16% Tri-Party Repo 10% Total Return Swap 5% Figure 15: Outstanding cat bonds by trigger Industry Index 40% Indemnity 35% Parametric Index 13% Modeled Loss 6% Pure Parametric 4% MITT 3% 1 Percentages may not add to 100 due to rounding Insurance-linked securities market update, July

14 Contributors (alphabetical): Mariagiovanna Guatteri James Intermont Mitchell Mintz Vincent Myers Liran Nehushtan Richard Pennay Risk Factors An investment in Insurance Linked Securities involves potentially significant risks for an investor. In summary, these risks include (but are not 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 that the Insurance Linked Securities relate to. The maturity of 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 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. Enforceability of the 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; the 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 materials for the relevant Insurance Linked Securities. Before entering into any financial transaction, you should ensure that you fully understand the terms, have evaluated the risks and determined that the transaction is appropriate for you in all respects. 14 Insurance-linked securities market update, July 2012

15 Disclaimer The information herein (collectively, the Information ) is provided by Swiss Re Capital Markets Corporation ( SRCM Corp ) and Swiss Re Capital Markets Limited ( SRCML, and together with SRCM Corp, Swiss Re Capital Markets Corporation ( 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 (FSA register number , VAT Registration Number ) of 30 St. Mary Axe, London EC3A 8EP, is a company authorized and regulated in the conduct of its investment business in the United Kingdom by the Financial Services Authority ( FSA ) and is entered in the FSA s register. The FSA s website ( uk/) contains a wide range of information of specific relevance to United Kingdom investors and provides access to the FSA 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 intended to create any hyperlink text. This information is not intended for retail clients. Persons dealing with SRCML 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 the United Kingdom s Financial Services Compensation Scheme. The 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. None of SRCM or its affiliates endorses, approves or otherwise expresses any opinion regarding any issuer, securities, financial products or instruments or trading strategies. None of the Information is intended to constitute investment advice or a recommendation to make (or refrain from making) any kind of investment decisions and may not be relied on as such. Unless otherwise agreed in writing, SRCM is not acting as your financial adviser or fiduciary. Except where attributed to third parties, the Information is the property of SRCM, and is protected by trademark and other intellectual property laws and may not be reproduced in any way without prior 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 of the Information. SRCM MAKES NO EXPRESS OR IMPLIED WARRANTIES OR REPRESENTATIONS WITH RESPECT TO THE INFORMATION (OR ANY RESULTS TO BE OBTAINED BY THE USE THEREOF), AND TO THE MAXIMUM EXTENT PERMITTED BY LAW, SRCM HEREBY EXPRESSLY DISCLAIMS ALL IMPLIED WARRANTIES (INCLUDING, WITHOUT LIMITATION, ANY IMPLIED WARRANTIES OF ORIGINALITY, ACCURACY, TIMELINESS, NON-INFRINGEMENT, COMPLETE- NESS, MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE) WITH RESPECT TO THE INFORMATION. Without limiting any of the foregoing and to the maximum extent permitted by law, in no event shall SRCM have any liability regarding any of the Information for any direct, indirect, special, punitive, consequential (including lost profits) or any other damages even if notified of the possibility of such damages Swiss Re. All rights reserved. Graphic design and production: Swiss Re Logistics/Media production Swiss Re 55 East 52nd Street New York, NY Visit us at While certain information herein has been obtained from sources believed to be reliable, we do not represent it to be accurate or complete. The Information includes illustrations, estimates and projections and involves significant elements of subjective judgment, assumptions and analysis. Any views or opinions (including illustrations, estimates, statements or forecasts) constitute our judgment 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. Insurance-linked securities market update, July