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Event Payment (Index/ Parametric/ Indemnity Trigger)

Traditional Cat Bond — Structure. Reinsurance Agreement. Return Outstanding Principal at Maturity. Insurer or Reinsurer. SPV Reinsurer. Event Payment (Index/ Parametric/ Indemnity Trigger). Investors. LIBOR + Interest Spread. Reinsurance Trust Account. Proceeds. Premiums (Interest

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Event Payment (Index/ Parametric/ Indemnity Trigger)

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  1. Traditional Cat Bond — Structure Reinsurance Agreement Return OutstandingPrincipal at Maturity Insurer or Reinsurer SPV Reinsurer Event Payment (Index/ Parametric/ Indemnity Trigger) Investors LIBOR + Interest Spread ReinsuranceTrust Account Proceeds Premiums (Interest Spread + Swap Spread) Investment Income Libor - Spread Swap Counterparty Note: Actual flow of funds may be different from that indicated by the arrows in this diagram.

  2. Regulation XXX Securitisation – Structure SPV SPV Issuer Issuer Securities Capital Contribution or Surplus Note Purchase Financial Financial Dividends or P&I Guarantee Guarantee Proceeds Premium U.S. Insurer or Reinsurer U.S. Insurer SPV SPV Investors Investors or Reinsurer Reinsurer Reinsurer Reinsurance Agreement Investment Income Proceeds Reinsurance Reinsurance Trust Trust

  3. Embedded Value Securitisations - Structure Noteholders Proceeds of Notes Note interest and principal Principal and Interest Issuer (Irish SPV Reinsurer) Liquidity Provider Liquidity Advances (Floating) Swap Provider (Fixed) Surplus Amounts Reinsurance Agreement Insurer

  4. Motor Risk Securitisations - Structure Noteholders Proceeds of Notes and Units Principal and Interest on Notes and Units Issuer (French SPV) Purchase price of Reinsurance Receivable Transfer of Reinsurance Receivable Secured Deposits Reinsurer (Ireland) Reinsurance Agreement Premium Set-off for Reinsurance Claims Insurer (AXA-IARD)

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