Investment Policy
Investment Objective

The Company will seek to achieve its investment objective by continuing to invest substantially all of its assets in the Master Fund.

The investment objective of the Master Fund is to give its Shareholders the opportunity to participate in the returns from investments linked to catastrophe reinsurance risks principally by investing in traditional reinsurance contracts accessed by investments in preferred shares of the Reinsurer but also via a variety of insurance-based instruments, including insurance-linked swaps and industry loss warranties and insurance-linked securities, as well as other financial instruments (together “Insurance-Linked Instruments”).

Collateralised Reinsurance Agreements

The Master Fund intends to continue to seek to achieve its objective by participating in traditional reinsurance by continuing to expose a substantial portion of its capital to fully collateralised Reinsurance Agreements. Under this type of reinsurance contract, the reinsurer will typically receive reinsurance premiums in exchange for agreeing to make reimbursement payments for losses occurring on an indemnity basis as a result of certain events.

Insurance-Linked Instruments

The Master Fund may, at the discretion of the Investment Manager, also invest in Insurance-Linked Instruments other than fully collateralised reinsurance contracts without notice to the Master Fund Shareholders. Such investments may include:

  1. insurance-linked swaps and industry loss warranties (“ILWs”), which offer a defined premium payment in exchange for payment for losses upon the occurrence of a defined catastrophe or extreme mortality events; and
  2. insurance-linked securities (“ILSs”), which include:
    1. catastrophe-linked securities (commonly referred to as “Cat Bonds”), a class of fixed income assets offering investors a defined return in exchange for the acceptance of risk linked to the occurrence of a specified catastrophe or extreme mortality event; and
    2. equity or debt investments in “sidecars”, which are similar to Cat Bonds, but the risk transferred is typically the risk of “first dollar loss” on a pro rata basis, rather than the risk after a certain level of loss is reached.
Insurance-linked security derivatives

In addition, the Master Fund may (but is not obliged to) utilise insurance-linked security derivatives or other types of derivative instruments for a variety of reasons, including hedging purposes and other risk management purposes in order to: (a) protect against possible changes in the market value of the Master Fund’s investment portfolio resulting from fluctuations in the securities markets and changes in interest rates; (b) protect the Master Fund’s unrealised gains; (c) hedge the interest rate or currency exchange rate on the Master Fund’s liabilities or assets; or (d) protect against any increase in the price of any securities that the Master Fund anticipates purchasing at a later date.

Each class of Shares will have the same investment policy, save in respect of particular Side Pocket Investments and associated classes of SP Shares issued by the Master Fund.