Securis I

Fund

Fund Investment Objectives

SECURIS invests in ILS (insurance linked securities); specifically the liquid and private Non-life markets, and on the life side in mortality swaps, extreme mortality, and embedded value transactions.In general, ILS are securities issued by an insurance/reinsurance company or other insurance risk aggregator, and purchased by capital market investors, such as the Fund. As a result, insurance risks of various types (e.g. mortality, longevity, windstorm, earthquake, etc.) can be transferred from the issuer to the owner of the security. The process of issuing such securities is commonly referred to as insurance securitization. By owning an ILS, the Fund will own the right to future cash flows. The expected returns from these securities will mainly depend on the occurrence and severity of insurance events, as well as, to some extent, general capital market movements. So far, most ILS issues have taken the form of bonds. The investors in these bonds will have an expectation of a regular coupon payment as well as repayment of principal. However, depending upon the occurrence and severity of certain insurance events, both the coupons and the principal may be at risk. The coupon is expected to reflect such risks over and above the traditional credit risks involved. The investment strategy is predominately to own insurance risks, diversified by type of risk, geography, structure and duration. SECURIS will seek to identify the optimal risk/reward trade-off in the asset class, then use leverage to achieve a higher nominal return should that be required, subject to acceptable overall volatility. (Max Leverage since inception: 172%, Average Leverage since inception: 147%) SECURIS will pursue two principal strategies, namely liquid ILS and illiquid ILS. The main strategy is to build a diversified portfolio of illiquid ILS where investments are privately negotiated with the vendor. The liquid ILS should complement this strategy and provide a more frequent flow of investment opportunities at reasonably attractive risk return profiles, with reasonable liquidity and diversification benefits.