Cat Bond Quarterly Conference Call 27. Oktober 2016

Transcription

1 Cat Bond Quarterly Conference Call 27. Oktober 2016 For professional/qualified investors use only

2 Inhalt Portfolio Review Hurricane Season 2016 Impact of Matthew on Cat Bonds Market Outlook Twelve Capital 2

3 NAV per share monthly return, % Portfolio Review Twelve Falcon ILS Fund 130 monthly return, % NAV per share 6.0% % % 0.0% -2.0% Performance since inception, p.a. 4.26% -4.0% -6.0% Twelve Falcon ILS Fund (UCITS) Monthly Return Share Class: USD I Fund Size: USD m Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year % 0.35% % 0.26% -4.49% -0.63% -0.04% 0.67% 0.49% 0.02% 2.11% 0.77% -0.03% 0.49% -0.14% % -0.20% 0.19% 0.13% 0.59% 1.36% 0.51% 1.13% 1.10% 0.61% -0.41% 0.77% 6.20% % 0.53% 0.94% 0.48% 0.60% 0.31% 0.33% 0.82% 0.86% 0.53% 0.41% 0.43% 6.74% % 0.30% 0.29% 0.14% -0.10% 0.12% 0.26% 0.81% 0.93% 0.60% 0.18% 0.02% 3.92% % 0.19% 0.20% 0.06% 0.19% -0.03% 0.39% 0.39% 0.99% 0.56% 0.21% 0.08% 3.48% % 0.20% 0.46% 0.49% 0.34% 0.37% 0.51% 0.64% 1.26% 4.41% As at 30 September 2016, performance of institutional accumulating USD share class, net of all fees; annualisation based on monthly periods. Performance figures are net of fees and costs. Note: Past performance is not indicative of future returns. 3

4 Portfolio Review Twelve Falcon ILS Fund Asset allocation Top-ten sponsors weight Rating Liquidity, 6.9% Sovereigns, 4.5% Cat Bond, 79.8% Private Cat Bond, 8.8% Everest Reinsurance Company 9.0% NR Hannover Rueckversicherung 5.3% NR Garrison Property & Casualty Insurance Comp. 4.2% AA+ Citizens Property Insurance Corp. 3.5% BBB At issuance Spread at issuance 6.37% Expected loss at issuance 2.48% Excess spread at issuance 3.88% Current Discount margin 4.45% Average cat bond price Average time to maturity* 1.39 Effective duration, in y* 0.10 Performance* MTD ( ) 0.19% MTD ( ) 1.26% Asset allocation Market value, % of NAV 88.6% Number of issues 81 Number of sponsors 42 Amlin Re Europe Property 3.4% AA- Heritage Property & Casualty Insurance Company and Zephyr 3.2% AA California Earthquake Authority 3.2% NR Hannover Rueckversicherung 3.2% A+ Catlin Indemnity Company 3.1% A+ American International Group 2.9% A Total 41.1% As at 30 September 2016, performance of institutional accumulating USD share class, net of all fees; annualisation based on monthly periods. *% of NAV/overall portfolio. Note: Past performance is not indicative of future returns. 4

5 Portfolio Review Twelve Falcon ILS Fund 60% 50% 40% 30% 20% 10% 0% Single Peril Exposure. Top 20 perils Event order 1 Event order 2 Perils Trigger type AP 2 EP 3 Event order Elemental 84% Life & Health 4% Man-Made - Total 88.6% Indemnity 62.9% Industry Index 22.9% Parametric 0.9% Modelled Loss 1.9% 0-1% 13.6% 25.9% 1-2% 17.7% 19.3% 2-3% 15.9% 19.9% 3-5% 21.7% 10.6% first 83.0% secon d 4.9% subsequent 0.8% Total 88.6% Multitrigger - >5% 17.1% 9.5% Total 88.6% 86.0% 85.2% As at 30 September 2016, performance of institutional accumulating USD share class, net of all fees; annualisation based on monthly periods. 2 Attachment probability; 3 Exhaustion probability. Note: Past performance is not indicative of future returns. 5

6 NAV per share monthly return, % Portfolio Review Twelve Falcon Insurance Opp. Fund 127 monthly return, % NAV per share 3.0% % Performance since inception, p.a. 8.01% 1.0% 0.0% -1.0% -2.0% -3.0% Twelve Falcon Insurance Opp. Fund (UCITS) Monthly Return Share Class: USD I Fund Size: USD 96.75m Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year % 0.02% % 0.62% 0.63% 0.46% 0.05% 0.46% 0.59% 1.67% 1.77% 1.44% 0.27% 0.03% 9.10% % 0.31% 0.47% 0.05% 0.51% 0.07% 0.73% 0.80% 1.61% 1.08% 0.18% 0.35% 6.72% % 0.40% 0.72% 0.64% 0.50% 0.69% 0.95% 1.21% 2.13% 7.67% As at 30 September 2016, performance of institutional accumulating USD share class, net of all fees; annualisation based on monthly periods. Performance figures are net of fees and costs. Note: Past performance is not indicative of future returns. 6

7 Portfolio Review Twelve Falcon Insurance Opp. Fund Asset allocation Top-ten sponsors weight Rating Liquidity, 11.2% Sovereigns, 2.1% Cat Bond, 77.2% Private Cat Bond, 9.5% Garrison Property & Casualty Insurance Comp. 11.0% NR Everest Reinsurance Company 9.0% NR Argo Re 6.8% AA+ Allianz Risk Transfer (Bermuda) Ltd 6.4% BBB At issuance Spread at issuance 9.34% Expected loss at issuance 4.30% Excess spread at issuance 5.04% Current Discount margin 6.77% Average cat bond price Average time to maturity* 1.44 Effective duration, in y* 0.11 Performance* MTD ( ) -0.06% MTD ( ) 2.13% Asset allocation Market value, % of NAV 86.6% Number of issues 46 Number of sponsors 25 Munich Re 4.9% AA- Heritage Property & Casualty Insurance Company and Zephyr 4.4% AA American International Group 3.6% NR Amlin Re Europe Property 3.3% A+ Catlin Insurance Company Limited 3.3% A+ United Property & Casualty Insurance Company Total 55.8% 3.1% A As at 30 September 2016, performance of institutional accumulating USD share class, net of all fees; annualisation based on monthly periods. *% of NAV/overall portfolio. Note: Past performance is not indicative of future returns. 7

8 Portfolio Review Twelve Falcon Insurance Opp. Fund 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% Single Peril Exposure. Top 20 perils Event order 1 Event order 2 Perils Trigger type AP 2 EP 3 Event order Elemental 84% Life & Health - Man-Made - Total 83.8% Indemnity 63.0% Industry Index 23.6% Parametric - Modelled Loss - 0-1% 2.8% 4.5% 1-2% 6.2% 18.3% 2-3% 8.4% 12.2% 3-5% 25.6% 19.7% first 81.1% second 5.5% subsequent - Total 86.6% Multitrigger - >5% 40.6% 23.6% Total 86.6% 83.5% 78.3% As at 30 September 2016, performance of institutional accumulating USD share class, net of all fees; annualisation based on monthly periods. 2 Attachment probability; 3 Exhaustion probability. Note: Past performance is not indicative of future returns. 8

9 Inhalt Portfolio Review Hurricane Season 2016 Impact of Matthew on Cat Bonds Market Outlook Twelve Capital 9

10 Hurricane Season Atlantic Map Overview Data Source: National Hurricane Center (NHC/NOAA) Map by Twelve Capital 10

11 Hurricane Season Atlantic Storm Counts until 25 October Data Source: National Hurricane Center (NHC/NOAA) Figure by Twelve Capital 11

12 Hurricane Season Atlantic Accumulated Cyclone Energy (ACE) until 25 October Data Source: National Hurricane Center (NHC/NOAA). Figure by Twelve Capital Accumulated Cyclone Energy (ACE): sum of 6-hourly maximum wind speed values of tropical storm intensity and higher 12

13 Hurricane Season East Pacific Map Overview Data Source: National Hurricane Center (NHC/NOAA) Map by Twelve Capital 13

14 Hurricane Season East Pacific Storm Counts until 25 October Data Source: National Hurricane Center (NHC/NOAA) Figure by Twelve Capital 14

15 Hurricane Season East Pacific Accumulated Cyclone Energy (ACE) until 25 October Data Source: National Hurricane Center (NHC/NOAA). Figure by Twelve Capital Accumulated Cyclone Energy (ACE): sum of 6-hourly maximum wind speed values of tropical storm intensity and higher 15

16 Hurricane Season East Pacific and Atlantic SST Anomalies August and September 2016 Data Source: National Centers for Environmental Information (NCEI/NOAA), Map by Twelve Capital 16

17 Hurricane Season SST Anomalies in the Main Development Region (MDR) Monthly data since 1982 Data Source: National Centers for Environmental Information (NCEI/NOAA), Figure by Twelve Capital 17

18 Hurricane Season Hurricane Matthew Forecasts Data Source: National Hurricane Center (NHC/NOAA), Map by Twelve Capital 18

19 Hurricane Season Hurricane Matthew Forecasts Data Source: National Hurricane Center (NHC/NOAA), Map by Twelve Capital 19

20 Hurricane Season Hurricane Matthew Forecasts Data Source: National Hurricane Center (NHC/NOAA), Map by Twelve Capital 20

21 Hurricane Season Hurricane Matthew Final Track and Wind Swath Data Source: National Hurricane Center (NHC/NOAA), Map by Twelve Capital 21

22 Hurricane Season Hurricane Nicole Comparison of Hurricanes having hit Bermuda Data Source: National Hurricane Center (NHC/NOAA), Map by Twelve Capital 22

23 Inhalt Portfolio Review Hurricane Season 2016 Impact of Matthew on Cat Bonds Market Outlook Twelve Capital 23

24 Impact of Matthew on Cat Bonds Cat Bonds during Matthew Security Security Name CPN EL AP EP week Security Symbol Symbol Security Name CPN EL AP EP week los US50585LAC54 LAETERE RE LTD 0.000% 06/06/17 SR: % 11.3% 15.1% 7.6% % US31970LAA26 FIRST COAST RE 2016 LTD FLT 06/07/19 4.3% 1.2% 1.2% 1.1% % US095538AB08 BLUE HALO RE LTD FLT 06/21/ % 11.5% 15.1% 0.0% % US095538AA25 BLUE HALO RE LTD FLT 06/21/19 SR: % 7.2% 8.7% 0.0% % US76117PAC86 RESIDENTIAL RE 2013 LTD FLT 12/06/ % 13.1% 21.4% 8.1% % US50585LAA98 LAETERE RE LTD 0.000% 06/06/17 SR:14 0.0% 2.3% 3.1% 1.7% % US177510AC88 CITRUS RE LTD FLT 04/09/18 SR:144A 5.5% 1.2% 1.3% 1.1% % US50585LAB71 LAETERE RE LTD 0.000% 06/06/17 SR:14 0.0% 5.0% 7.6% 3.1% % US095538AC80 BLUE HALO RE LTD FLT 07/26/19 SR: % 4.0% 4.3% 0.0% % US177510AD61 CITRUS RE LTD FLT 04/09/18 SR:144a 7.3% 2.4% 4.0% 1.4% % US177510AF10 CITRUS RE LTD FLT 02/25/19 7.8% 3.0% 4.2% 2.2% % US177510AG92 CITRUS RE LTD FLT 02/25/19 SR:144a 10.8% 5.8% 8.1% 4.2% % US177510AE45 CITRUS RE LTD FLT 04/09/18 SR:144@ 9.4% 5.1% 6.2% 1.0% % XS MANATEE RE LTD FLT 03/13/19 SR:144a 16.6% 10.3% 14.3% 7.6% % US562013AA02 MANATEE RE LTD FLT 12/22/17 SR:144A 5.3% 1.0% 1.4% 0.7% % 24

25 Impact of Matthew on Cat Bonds Cat Bonds during Matthew LAETERE RE LTD 0.000% 06/06/17 SR:14A4 FIRST COAST RE 2016 LTD FLT 06/07/19 BLUE HALO RE LTD FLT 06/21/19 BLUE HALO RE LTD FLT 06/21/19 SR:144A RESIDENTIAL RE 2013 LTD FLT 12/06/17 SR:144A LAETERE RE LTD 0.000% 06/06/17 SR:144A CITRUS RE LTD FLT 04/09/18 SR:144A LAETERE RE LTD 0.000% 06/06/17 SR:144a BLUE HALO RE LTD FLT 07/26/19 SR:144A CITRUS RE LTD FLT 04/09/18 SR:144a 25

26 Impact of Matthew on Cat Bonds Cat Bonds during Matthew Source: First Coast Re Ltd. 26

27 Inhalt Portfolio Review Hurricane Season 2016 Impact of Matthew on Cat Bonds Market Outlook Twelve Capital 27

28 Market Outlook Market growth Total new Cat Bonds and ILS issuance in Q reached USD 4.926bn Total market capacity outstanding at the end of September 2016 amounted to >USD 25.44bn USD m Q4 Q3 Q2 Q1 Source: Twelve Capital, Aon Benfield Securities, Inc., Artemis (Q Catastrophe Bond & ILS Market Report). 28

29 Market Outlook Sourcing and structuring: Twelve Capital Dodeka series Perils covered Spread Expected loss Features Dodeka I-2015 All natural perils, US 11.13% 6.54% High spread, transparency, short duration Dodeka II Frequency cover, Second Loss, Hurricane, US 8.50% 3.45% High spread, attractive multiple, second event Dodeka III Frequency cover, Third Loss, Hurricane, US 8.00% 3.27% High spread, third event, not available in the market Dodeka IV Occurrence Losses, 2 tranches: 60% Hurricane US Southeast 40% Hurricane US Gulf of Mexico 10.50% 4.90% High spread, partial exposure US Southeast/Gulf of Mexico Dodeka V Hurricanes in Florida 7.25% 3.68% Restricted territory, attractive pricing Source: As at October

30 Market Outlook Sourcing and structuring: Twelve Capital Dodeka series Perils covered Spread Expected loss Features Dodeka V-2016 Hurricanes in Florida 13.37% 7.58% Restricted territory, attractive pricing Dodeka VI Windstorm, US North East 4.90% 2.32% Restricted territory, attractive return Dodeka VII Frequency Cover, Second Loss, All natural perils, US 5.92% 2.54% Transparency, short duration, second event Dodeka VIII second event; Hurricanes in Florida 5.50% 2.40% Frequency cover, Second Loss, restricted territory Dodeka IX Hurricane US Gulf of Mexico 3.73% 1.19% Exposure to GoM; attractive pricing Dodeka X US ANP; second event 6.41% 3.18% Transparency, short duration, second event Source: As at October

31 Inhalt Portfolio Review Hurricane Season 2016 Impact of Matthew on Cat Bonds Market Outlook Twelve Capital 31

32 Twelve Capital History and founding idea Founding idea: the insurance industry provides attractive and persistent investment opportunities for institutional clients AuM * USD 120m approx. USD 300m approx. USD 1bn approx. USD 2bn approx. USD 3bn approx. USD 3.5bn approx. USD 3.5bn approx. Employees 7 employees 7 employees 16 employees 24 employees 44 employees 44 employees 42 employees Investment Strategy launches Insurance Bonds Catastrophe Bonds Private ILS Private Debt Multi-Asset Illiquid Credit Multi-Asset Liquid Best Ideas Insurance Equity Investment news Insurance Bond fund launched ILS fund launched JSS launches Insurance Bond fund managed by Twelve Capital PKA appoints Twelve Capital to manage a Private ILS mandate JSS launches Cat Bond fund managed by Twelve Capital Responsible for investment management of Falcon Private Bank ILS funds Insurance Private Debt fund launched JSS launches global Insurance Bond fund managed by Twelve Capital Private ILS fund launched Best Ideas fund launched Equity Certificate launched Swiss Pension Fund appoints Twelve Capital to manage Equity Mandate Corporate news Twelve Capital spins off from Horizon21 Twelve Capital AG becomes FINMA regulated Twelve Capital (UK) Ltd. authorised by the FCA as a MiFID investment firm London office established Investment execution, trading & operations evaluated by external organisations, notably Mercer Sentinel Twelve Capital (UK) Ltd. is registered by CFTC in the USA Twelve Capital (UK) Ltd. authorised by the SEC as an investment advisor *Includes committed capital. 32

33 Twelve Capital Vision Twelve Capital is a specialised insurance investment manager. It takes advantage of structural market inefficiencies in a sector that is relatively small, strictly regulated and subject to highly specific accounting rules. Insurer s balance sheet Cash Financing method Capabilities across the entire balance sheet Best Ideas Bonds Technical reserves Reinsurance/ILS Cat Bonds Private ILS Equities Real estate Debt Senior Debt/ Subordinated Debt Insurance Bonds Private Debt Reinsurance receivables Other receivables Equity Equities Insurance Equity 33

34 Twelve Capital Philosophy Investment focus Independent asset manager for institutional clients Specialising on investment opportunities within the insurance sector Founded in 2010 with offices in Zurich and London History & growth Currently over 40 experienced professionals Currently favourably fostered to actively build a client base across and outside Europe A robust operational/investment infrastructure and a significant proportion of private investments which are already being sourced outside Europe Breadth/ innovation of offering Insurance focus gives a depth of expertise to look at investment opportunities across the entire balance sheet of insurance companies - equity, debt, ILS plus Best Ideas strategies on a multi-asset basis Continuing to search for new sources of return e.g. Private Cat Bonds in 2014 Responsible investment The insurance sector possesses naturally strong ESG criteria Twelve Capital recognises the further role it can play in tailored solutions that reflect its clients wishes Ownership and alignment Privately owned: all partners have a significant proportion of their wealth invested in the firm Partnership structure essential to attracting, motivating and retaining key staff & succession planning Promoting a sound stewardship of clients assets through attention to capacity management, investment opportunities and risk management 34

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