Question 5 [15 marks) Simphiwe is the CRO of TigerRE Ltd (TigerRE), a reinsurer registered in South Africa TigerRE has an underwriting exposure of R850m to a motor insurance pool and of R600m to a commercial insurance pool A consultant indicates that TigerRE will be able to increase its income if the company is prepared to secuntise a component of its underwriting risk The consultant further states that there is currently significant capacity for securitisation transactions and that the spread is closely correlated with the R186 When Simphiwe discusses the idea at the Asset and Liability Management Committee (ALCO) meeting, the Chair instructs him to explain the concept of securitisation to the members at the next Board Risk Committee meeting Illustrate the securitisation structure of the motor insurance pool by means of a diagram and explain the role of each participant in the structure You can make the following assumptions The motor pool is divided 40/60 between Insurer A and Insurer B TigerRE will be able to securitise its underwriting risk successfully Question 5 [15 marks) Simphiwe is the CRO of TigerRE Ltd (TigerRE), a reinsurer registered in South Africa TigerRE has an underwriting exposure of R850m to a motor insurance pool and of R600m to a commercial insurance pool A consultant indicates that TigerRE will be able to increase its income if the company is prepared to secuntise a component of its underwriting risk The consultant further states that there is currently significant capacity for securitisation transactions and that the spread is closely correlated with the R186 When Simphiwe discusses the idea at the Asset and Liability Management Committee (ALCO) meeting, the Chair instructs him to explain the concept of securitisation to the members at the next Board Risk Committee meeting Illustrate the securitisation structure of the motor insurance pool by means of a diagram and explain the role of each participant in the structure You can make the following assumptions The motor pool is divided 40/60 between Insurer A and Insurer B TigerRE will be able to securitise its underwriting risk successfully