Sep 9, 2015 - capability to provide distinctive analytics, modeling, rating agency, and other ..... Further evidence of
Aon Benfield
Insurance-Linked Securities Alternative Markets Adapt to Competitive Landscape September 2015
Risk. Reinsurance. Human Resources.
Aon Securities Inc. and Aon Securities Limited (collectively, “Aon Securities”) provide insurance and reinsurance clients with a full suite of insurance-linked securities products, including catastrophe bonds, contingent capital, sidecars, collateralized reinsurance, industry loss warranties, and derivative products. As one of the most experienced investment banking firms in this market, Aon Securities offers expert underwriting and placement of new debt and equity issues, financial and strategic advisory services, as well as a leading secondary trading desk. Aon Securities’ integration with Aon Benfield’s reinsurance operation expands its capability to provide distinctive analytics, modeling, rating agency, and other consultative services. Aon Benfield Inc., Aon Securities Inc. and Aon Securities Limited are all wholly-owned subsidiaries of Aon plc. Securities advice, products and services described within this report are offered solely through Aon Securities Inc. and/or Aon Securities Limited.
Foreword It is my pleasure to bring to you the eighth edition of Aon Securities’ annual Insurance-Linked Securities report. The study aims to offer an authoritative review and analysis of the ILS asset class, and an overview of mergers and acquisitions activity, which represent two key areas of focus of our team. Along with our quarterly ILS Updates, the report is intended to be an important and useful reference document, both for ILS market participants and those with an active interest in the sector. Unless otherwise stated, its analyses cover the 12-month period ending June 30, 2015, during which time substantial progress was made in the ILS market and, as per the prior year, records were established. During the period under review, $7.0 billion of catastrophe bond issuance was secured—a decrease on the record-breaking prior year ($9.4 billion), yet the third highest annual issuance in the sector’s history. By June 30, 2015, catastrophe bonds on-risk had reached an all-time high, as of any June 30, of $23.5 billion, an impressive figure especially given that around $6 billion of bonds matured over the 12 months. During this period, sponsors continued to extend coverage on catastrophe bond transactions, bringing to market larger deal sizes, and offering investment opportunities in new territories and perils. The 2015 edition of this annual ILS report, Alternative Markets Adapt to Competitive Landscape, covers a wide range of topics in the ILS market, including: § § Aon Securities’ comprehensive review of the catastrophe bond market and its key drivers; § § A review of ILS investor activity; § § Our exclusive Aon ILS Indices; § § A summary of mergers and acquisitions (re)insurer activity; § § An overview of ILS-related markets, including trends in ILW, sidecars, actively managed vehicles, surplus notes, and subordinated debt; § § A review of North America, Europe, and Asia Pacific activity; § § A dedicated section on the Life and Health sector; and § § In-depth discussions with our ILS investor panel.
In all, the catastrophe bond market has seen over $67 billion of cumulative issuance since 1996, demonstrating its importance as a strategic and efficient risk management tool for insurers and reinsurers. Even amid an environment of reduced spreads and increased competition from traditional (re)insurers that characterized the period under review, ILS continues to strengthen its position within the (re)insurance industry. We hope you will find this document useful and informative, and if you have any questions relating to the data herein, or any queries regarding any aspect of the ILS sector, please contact me or my colleagues.
Paul Schultz, Chief Executive Officer, Aon Securities Inc.
Contents Aon Securities’ Annual Review of the Catastrophe Bond Market . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 ILS Investor Activity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9 The Aon ILS Indices. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13 Mergers and Acquisitions (Re)insurer Activity . . . . . . . . . . . . . . . . . . . . . . 15 ILS-Related Markets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16 North America Perils . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22 Europe Perils . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25 Asia Pacific Perils . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27 Life and Health Perils . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29 A Market Discussion with ILS Investors . . . . . . . . . . . . . . . . . . . . . . . . . . . 31 Appendix I . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41 Catastrophe Bond Issuance Statistics
Appendix II . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 47 Property Catastrophe Bonds—Transaction Summary
Appendix III . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 71 Life and Health Catastrophe Bonds—Transaction Summary
Appendix IV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 75 Summary of Sidecar Issuance
Contact . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 79
Aon Securities’ Annual Review of the Catastrophe Bond Market Overview The 12-month period ending June 30, 2015 was again notable
Momentum from 2014, however, carried the total volume of
for the insurance linked-securities (ILS) market. The period
catastrophe bonds on-risk to a new all-time period high of
was characterized by enhanced coverage, an active mergers
$23.5 billion (Figure 2), representing a $1 billion year-on-year
and acquisitions environment and reactive traditional markets.
increase. Maturities for the year ending June 30, 2015 totaled
Annual catastrophe bond issuance totaled $7.0 billion
$5.9 billion, and Aon Securities remains bullish that market
(Figure 1) and was the third highest of any year in market
growth will continue to outpace redemptions.
history1. However, issuance was ultimately down 26 percent over the prior record 12-month period, in part due to the reaction of both traditional and collateralized reinsurance players to the heightened competition from the catastrophe bond market. The reduction in new catastrophe bond issuance compared to 2014 was offset by a sizeable increase in collateralized reinsurance participation.
Figure 1: Catastrophe bond issuance by year, 2006 to 2015 (years ending June 30)
Figure 2: Outstanding and cumulative catastrophe bond volume, 2006 to 2015 (years ending June 30)
Property issuance
Life and Health issuance
Property outstanding
Total cumulative bonds
Cumulative property issuance
Life and Health outstanding
70,000
10,000
67,083
9,400
60,000
8,145
60,102
6,431
6,981
6,665
USD millions
USD millions
8,000
5,914
6,000
4,736 4,382
4,000
50,702
50,000 44,037
40,000
37,605 33,223 28,487
30,000
26,782 22,422
3,279
20,000
2,000
1,705
13,174 13,167
12,911
23,467
17,788
16,155 12,723
10,000
15,123 11,504
6,558
0 15 20 14 20 13 20 12 20 11 20 10 20
09
08
20
07
20
20
06
15
14
20
13
20
20
12
11
20
10
20
20
09
08
20
07
20
06
20
20 Source: Aon Securities Inc.
20
0
1
20,867
Source: Aon Securities Inc.
Figures exclude private securitization
Aon Benfield
1
Key market drivers Enhanced coverage
Interestingly, these same public entities have also turned to
Sponsors continued to expand coverage on catastrophe
private reinsurance capacity. Florida Citizens, a consistent
bond transactions. This took the form of more aggregate and
purchaser of reinsurance since 2011 is the largest beneficiary
variable reset transactions, longer terms, larger transaction
of catastrophe bonds through its Everglades Re Ltd. and
sizes and new covered areas and perils, as discussed
Everglades Re II Ltd. programs based on outstanding notional
throughout this report.
volume, as of June 30, 2015. It is also notable that the FHCF
Supply and demand The prevailing low yield environment motivated investors to continue seeking returns in the ILS market, due to its
elected to secure its first private market purchase of reinsurance coverage, including collateralized reinsurance, for the 2015 hurricane season since the inception of the FHCF in 1994.
low correlation with the dynamics of the global economy.
Below average catastrophe losses3
In the 12 months ending June 30, 2015, there were moderate
Global natural disasters in the calendar year 2014 combined to
capital inflows in aggregate across the ILS sector from
cause economic losses of $132 billion—37 percent below the ten-
both existing and new investors. Growth in assets under
year average of $211 billion. In the same period, insured losses
management (AUM) from some of the larger ILS managers,
reached $39 billion—38 percent below the ten-year average of
such as Stone Ridge Asset Management, LLC and Elementum
$63 billion and the lowest insured loss total since 2009. This trend
Advisors, LLC, was softened by reductions in AUM from
continued through the first half of 2015. The year 2014 was the
other investors, such as Nephila Capital Ltd., Aeolus Capital
second consecutive calendar year with below average losses,
Management, Ltd., and Fermat Capital Management, LLC.
following 2013 losses that were 22 percent below the trailing
Overall, alternative capital increased modestly in Q2 2015 at
ten-year average.
$68.4 billion2 deployed across all alternative market products.
Active mergers and acquisitions environment
The pause in rate decreases for some alternative markets allowed
Given the organic pressure facing the P&C (re)insurance industry,
traditional reinsurers to recapture some business. In the soft
a number of companies turned to M&A to address their strategic
market environment, characterized by record levels of industry
goals. Diversification, scale, and increased effectiveness of
capital, insurers’ and traditional reinsurers’ operating results
capital utilization has been an important factor in recent M&A
have been under pressure. This has motivated some reinsurers to
transactions. With a number of (re)insurers focused on M&A,
consider further decreases in rates, while others have maintained
some concluded it was untimely to dedicate resources to new
discipline in terms of price and/or coverage expansion.
catastrophe bond issuances. Recent well-publicized mergers and
Privatization of risk in peak catastrophe-exposed regions
acquisitions in the reinsurance industry are listed on page 15— “Mergers and Acquisitions (Re)insurer Activity.”
Overall reinsurance demand in peak regions increased materially for the second consecutive year. This was particularly notable in Florida and other U.S. coastal areas, given the attractive risk transfer margins offered in both the alternative and traditional markets. As a result, a number of insurers reduced participation in government risk transfer programs—such as the Florida Hurricane Catastrophe Fund (FHCF)—and utilized reinsurance capacity to depopulate policies from Citizens Property Insurance Corporation (Florida Citizens)—a government entity that provides insurance protection to Florida policyholders who are entitled to, but are unable to find property insurance coverage in the private market.
2 3
2
Source: Aon Securities Inc. Aon Benfield Impact Forecasting, “Global Catastrophe Recap: First Half of 2015”, dated July 2015 and “2014 Annual Global Climate and Catastrophe Report”, dated January 2015
Insurance-Linked Securities
Transaction review Twenty-five transactions (including one with life and one with
resulting in their increased confidence to accept indemnity risks.
health exposures) closed during the 12-month period ending
Additionally, the soft market has also allowed other sponsors
June 30, 2015. This represented a decrease of 29 percent from
to push the market in terms of indemnity coverage. With the
the prior year, in which 35 issuances closed. However, average
increasing prevalence of indemnity triggers, Aon Securities has
transaction size increased to $279 million—a new record for any
witnessed a growing sponsor comfort with catastrophe bond
12-month period ending June 30.
subject business and expert risk analysis report disclosures and, in
U.S. exposures continued to dominate the catastrophe bond market, with 22 of the 25 transactions comprising U.S. risk in
turn, investor sophistication to interpret more robust information under an underwriter’s lens.
some capacity. From a modeled view (allocating total annual
Competitive market conditions for insurance risks also
limit by contribution to expected loss across covered regions),
manifested in the coverage period lengths sponsors secured
North American perils represented a substantial 84 percent
for transactions. The weighted average property catastrophe
of the total property issuance—a trend that is somewhat
bond risk period in a given issuance year climbed to 3.4 years
unsurprising given that the U.S. is the world’s largest property
in 2015 from 3.3 in 2014, 3.2 in 2013, and 3.0 in 2012. Looking
casualty insurance market, with an approximate 40 percent
specifically at transactions over four years, this shift is even
share of global P&C written premium . Outside of the U.S.,
more apparent as 19 percent of property catastrophe bond
dedicated Japan risk was covered in two transactions, and
limit placed in the 12-month period under review was issued
stand-alone Europe risk in one transaction. As other regions
with a scheduled redemption date more than four years away.
continue to develop economically and insurance penetration
This figure was only 5 percent for the same period in 2014.
increases, the alternative market is well-positioned to provide
Although longer tenured bonds are not novel developments in
catastrophe coverage and further its diversification. Indeed,
our market, they have re-emerged in the property catastrophe
in July 2015 the first catastrophe bond to benefit a China (re)
sector since the financial crisis. Structural innovations such as
insurer was issued, Panda Re Ltd. Series 2015-1, on behalf of
variable resets, which grant further flexibility over a bond’s
China Property and Casualty Reinsurance Company.
layer, provide more comfort to sponsors seeking a longer term;
4
Hurricane risk continues to be the main risk ceded to the alternative market, with the contribution to expected loss from North America hurricane for new property catastrophe
additionally, the ability to lock-in multi-year known pricing in a historically favorable rate environment may also be a factor in the increase in weighted average term issuance.
issuances at 52 percent for the year ending June 30, 2015.
In all, 23 different sponsors utilized catastrophe bonds in
However, this figure is less than the 60 percent observed in
the annual period under review, two of which, American
the prior year period due to a doubling in North America
International Group, Inc. and United Services Automobile
earthquake coverage, which represented 30 percent of the
Association, did so across multiple transactions. Of note,
issuance for the period, based on contribution to expected
issuance from government pools and trusts increased on a
loss. Japan’s ILS share was flat at 10 percent relative to last year,
notional basis to 32 percent of the total property catastrophe
while Europe’s share decreased from 13 to 5 percent. North
issuance for the 12 months ending June 30, 2015—up from 21
America other perils, which includes severe thunderstorm,
percent last year. This growth is particularly impressive given
winter storm, and wildfire, accounted for two percent of total
the $1.5 billion Florida Citizens transaction that closed in 2014
issuance, while the rest of the world totaled one percent.
and its relatively smaller 2015 transaction of $300 million.
In terms of recovery mechanisms, 70 percent of annual property catastrophe bond deals utilized indemnity triggers. On a notional limit basis this trend has steadily progressed from less than 50 percent of annual issuance in 2012, to 72 percent today— an impressive increase over a short period of time. Aon Securities views this trend as the result of investors’ deepening relationships with those sponsors that have come to market year-after-year, 4
Other government-affiliated sponsors, such as the California Earthquake Authority and the Texas Windstorm Insurance Association, have also found value in alternative capital as evidenced by their return to the market to utilize greater capacity. As a result, in the period under review annual issuance from governmental sponsors surpassed the $2 billion threshold for the first time in market history and remains a key source of growth for the market going forward.
Aon Benfield, Insurance Risk Study “Growth, profitability and opportunity”, ninth edition 2014, dated September 2014
Aon Benfield
3
Third quarter 2014 Coinciding with the middle of the Atlantic hurricane season
Golden State Re II Ltd. Series 2014-1 (Golden State Re II)
and falling between major reinsurance renewals dates, the
replaced the maturing Golden State Re Ltd. Series 2011-1
third quarter typically sees the least catastrophe bond issuance
transaction for the State Compensation Insurance Fund (SCIF).
volume over a year.
Golden State Re II provides SCIF coverage with an increased
In line with this trend, a single transaction closed during the historically quiet third quarter of 2014.
limit of $250 million and term of 4.3 years ($50 million and 1.2 years more than before). The bond’s trigger is again based on modeled losses to a notional insurance portfolio of workers’ compensation risks from the peril of earthquake. Although the covered area is nationwide, the contribution to expected loss from outside California is less than 0.01 percent. Pricing for the new issuance settled 40 percent below the prior transaction at 2.20 percent, demonstrating significant compression from the 2011 issuance.
Table 1: Third quarter 2014 catastrophe bond issuance Beneficiary
Issuer
State Compensation Insurance Fund
Golden State Re II Ltd.
Total Source: Aon Securities Inc.
4
Insurance-Linked Securities
Series
Class
Series 2014-1
Class A
Size (millions)
Covered perils
Trigger
Collateral
$250
U.S. EQ
Modeled loss
MMF
$250 Legend U.S. — United States EQ — Earthquake
Fourth quarter 2014 The California Earthquake Authority (CEA) return to the
Six transactions closed during the fourth quarter of 2014, totaling $2.1 billion—the largest property issuance of any fourth
catastrophe bond market via a new notes program, Ursa
quarter to date. All sponsors were returners to the catastrophe
Re Ltd. The latest transaction for the CEA is its largest by
bond market, three for the second time that calendar year.
$100 million and provides California earthquake indemnity coverage on an annual aggregate basis. Further evidence
A selection of transactions issued in the fourth quarter of
of rate compression is seen in comparison between past
2014 includes:
Embarcadero Reinsurance Ltd. (Embarcadero Re) transactions and the latest Ursa Re Ltd. issuances. Specifically, the multiple
Everest Reinsurance Company’s (Everest Re) Kilimanjaro
of expected loss (interest spread over expected loss) dropped
Re Limited Series 2014-2 Class C, which was the sponsor’s
from 3.3x in Embarcadero Re Series 2012-I Class A to 2.0x
second time in the market during calendar year 2014. The
in Ursa Re Ltd. Series 2014-1 Class B—both tranches having
notes provide Everest Re with $500 million of earthquake
similar levels of expected loss; and
coverage in the U.S. and Canada, representing the largest transaction with a term of five years, to exclusively cover
Nakama Re Ltd.’s Series 2014-2 issuance, which provides
earthquakes, and equal to the largest transaction for a reinsurer since the inception of the catastrophe bond market;
National Mutual Insurance Federation of Agricultural Cooperatives (Zenkyoren) $375 million in coverage split between a four-year per occurrence and five-year with floating three-year term aggregate structure. The Class 2 notes are the market’s first Japan term aggregate tranche and the first five-year tranche for Zenkyoren.
Table 2: Fourth quarter 2014 catastrophe bond issuance Beneficiary
Issuer
Everest Reinsurance Company
Kilimanjaro Re Limited
California Earthquake Authority
Ursa Re Ltd.
Series
Class
Size (millions)
Covered perils
Trigger
Collateral
Series 2014-2
Class C
$500
NA EQ
Industry index
MMF
Class A
$200 CAL EQ
Indemnity
MMF
Class B
$200
Series 2014-1
United Services Automobile Association
Residential Reinsurance 2014 Limited
Series 2014-II
Class 4
$100
U.S. HU, EQ, ST, WS, WF, VE, MI
Indemnity
MMF
Amlin AG
Tramline Re II Ltd.
Series 2014-1
Class A
$200
U.S. HU, EQ & EU Wind
Industry index
MMF
Class 1-B
$100
Class 3-A
$100
Indemnity
MMF
Class 3-B
$300
NA/MEX/CB/ Gulf HU & NA/ MEX/CB EQ
JP EQ
Indemnity
MMF
American International Group, Inc.
National Mutual Insurance Federation of Agricultural Cooperatives Total Source: Aon Securities Inc.
Tradewynd Re Ltd.
Nakama Re Ltd.
Series 2014-1
Class 1
$175
Class 2
$200
Series 2014-2 $2,075
Legend CAL — California CB — Caribbean EU — Europe JP — Japan MEX — Mexico NA — North America U.S. — United States
EQ — Earthquake HU — Hurricane MI — Meteorite Impact ST — Severe Thunderstorm VE — Volcanic Eruption WF — Wildfire WS — Winter Storm
Aon Benfield
5
First quarter 2015 Catastrophe bond issuance for the calendar year 2015 began
level than the 2014 issuance. With an expected loss of 0.018
with an active first quarter. Eight transactions resulted in a
percent, the notes are rated “BBB-” by S&P, and for the first
combined $1.7 billion of coverage—the most of any first quarter
time for the insurer are denominated in Japanese yen. This is
in the market’s history. Additionally, $3.9 billion of bonds came
the largest Japanese yen transaction for the catastrophe bond
off-risk during the period, which is also a record for the most
market to date;
maturities in any quarter.
New sponsor, Safe Point Insurance Company, entering the
A selection of transactions issued in the first quarter of
market in March with the first Florida-only hurricane bond of
2015 includes:
2015—a region which represented approximately a third of the total issuance of calendar year 2014 on a contribution to
Atlas IX Capital Limited, which provides SCOR P&C SE
expected loss basis. The transaction, Manatee Re Ltd. Series
(SCOR) with $150 million in industry index coverage for
2015-1 provides $100 million in coverage on an indemnity
U.S. hurricane and North America earthquake coverage,
basis; and
with Canada earthquake risk being a new addition. The
State Farm Fire and Casualty Company (State Farm) raising
annual aggregate transaction utilizes European Bank of Reconstruction Development Medium term notes as
$300 million of New Madrid earthquake indemnity coverage
collateral. The transaction closed at the low end of
for the third consecutive year. This brings State Farm’s New
marketed spread guidance;
Madrid coverage to a total of $900 million. The latest issuance from State Farm includes an innovative extension event,
Tokio Marine & Nichido Fire Insurance Co., Ltd. (Tokio Marine) again issuing under its Kizuna Re II Ltd. program in the first quarter. The transaction provides ¥35.0 billion ($294 million) in Japan earthquake coverage at a more remote
which allows a reduced extension interest spread of ten basis points if the loss estimate is within the reinsured layer or a loss payment has been made. This feature subsequently appeared in a number of transactions in the second quarter.
Table 3: First quarter 2015 catastrophe bond issuance Beneficiary Aetna Life Insurance Company
Issuer Vitality Re VI Limited
Class
Size (millions)
Class A
$140
Class B
$60
Series 2015-1
Covered perils
Trigger
Collateral
U.S. Medical Benefits Ratio
Indemnity
MMF
Catlin Insurance Company Ltd.
Galileo Re Ltd.
Series 2015-1
Class A
$300
U.S. HU, NA EQ, EU Wind
Industry index
MMF
SCOR Global P&C SE
Atlas IX Capital Limited
Series 2015-1
Class A
$150
U.S. HU, NA EQ
Industry index
EBRD
Chubb Group of Insurance Companies
East Lane Re VI Ltd.
Series 2015-1
Class A
$250
Northeast HU, EQ, ST, WS, WF, VE, MI
Indemnity
MMF
Tokio Marine & Nichido Fire Insurance Co., Ltd.
Kizuna Re II Ltd.
Series 2015-1
Class A
¥35,000 ($294)*
JP EQ
Indemnity
MMF
Safepoint Insurance Company
Manatee Re Ltd.
Series 2015-1
Class A
$100
FL HU
Indemnity
MMF
$100
U.S. HU, AUS CY
Industry index; modeled loss
MMF
$300
New Madrid EQ
Indemnity
MMF
Münchener RückversicherungsGesellschaft Aktiengesellschaft
Queen Street X Re Limited
State Farm Fire and Casualty Company
Merna Re Ltd.
Total Source: Aon Securities Inc. *converted at 1¥ = $0.0084 as of March 26, 2015
6
Series
Insurance-Linked Securities
Series 2015-1
Class A
$1,694 Legend AUS — Australia EU — Europe FL — Florida JP — Japan NA — North America U.S. — United States
CY — Cyclone EQ — Earthquake HU — Hurricane MI — Meteorite Impact ST — Severe Thunderstorm VE — Volcanic Eruption WF — Wildfire WS — Winter Storm
Second quarter 2015 The second quarter of 2015 saw $3.0 billion of catastrophe
AXA’s France, Japan, and U.S. extreme mortality transaction
bond issuance through ten transactions and the entrance of
Benu Capital Limited, which provides €285 million ($310
first-time sponsor UnipolSai Assicurazioni S.p.A. Additionally, in
million) in coverage. This is AXA’s first extreme mortality
the second quarter life and health issuance for the first half of
catastrophe bond since 2006 and its fifth issuance overall.
the calendar year reached the highest level since 2007 with the
The trigger is mortality index-weighted by age and gender
issuance of AXA Global Life’s (AXA) extreme mortality bond.
over a five-year term; and The Texas Windstorm Insurance Association (TWIA) again
A selection of transactions issued in the second quarter of
returned to the catastrophe bond market with Alamo Re Ltd.
2015 includes: Heritage Property & Casualty Insurance Company’s (Heritage) third transaction under its Citrus Re Ltd. program, which again covers Florida hurricane risk on an indemnity basis. This time, however, newly introduced Class B and C notes are positioned relatively lower in the reinsurance tower to replace part of Heritage’s FHCF reinsurance cover. Overall, Heritage was able to reduce its reliance on the FHCF and secure competitive
The indemnity-triggered annual aggregate Texas hurricane transaction significantly increased in capacity compared to the prior year’s transaction, closing at $700 million in coverage across two classes and represents a 75 percent increase in limit from 2014. TWIA receives coverage via a reinsurance agreement with Hannover Rück SE, which in turn has a retrocession agreement with Alamo Re Ltd.
coverage through use of the alternative markets;
Table 4: Second quarter 2015 catastrophe bond issuance Beneficiary
Issuer
Heritage Property & Casualty Insurance Company
Citrus Re Ltd.
Louisiana Citizens Property Insurance Corporation
Pelican III Re Ltd.
AXA Global Life
Benu Capital Limited
Series
Series 2015-1
Series 2015-1
Class
Size (millions)
Class A
$150
Class B
$98
Class C
$30
Class A
$100
Class A
€135 ($147)*
Class B
€150 ($163)*
Covered perils
Trigger
Collateral
FL HU
Indemnity
MMF
LA HU
Indemnity
MMF
FR/JP/U.S. Mortality
Parametric index
EBRD
Massachusetts Property Insurance Underwriting Association
Cranberry Re Ltd.
Series 2015-1
Class A
$300
MA HU, ST, WS
Indemnity
MMF
Citizens Property Insurance Corporation
Everglades Re II Ltd.
Series 2015-1
Class A
$300
FL HU
Indemnity
MMF
Class A
$300 TX HU
Indemnity
MMF
Class B
$400
Class A
$300
Northeast HU, EQ, ST, WS
Indemnity
MMF
Class 10
$50
Indemnity
MMF
Class 11
$100
U.S. HU, EQ, ST, WS, WF, VE, MI
Class 1
$300
U.S. HU
Parametric index
MMF
Class A
€200 ($225)**
EU EQ
Indemnity
EBRD
Texas Windstorm Insurance Association
Alamo Re Ltd.
The Travelers Indemnity Company
Long Point Re III Ltd.
United Services Automobile Association
Residential Reinsurance 2015 Limited
American International Group, Inc.
Compass Re II Ltd.
UnipolSai Assicurazioni S.p.A
Azzurro Re I Limited
Total Source: Aon Securities Inc. *converted at €1 = $1.0873 as of April 24, 2015 **converted at €1 = $1.1244 as of June 17, 2015
Series 2015-1
Series 2015-1
Series 2015-I Series 2015-1
$2,962 Legend EU — Europe FL — Florida FR — France JP — Japan LA — Louisiana MA — Massachusetts TX — Texas U.S. — United States
EQ — Earthquake HU — Hurricane ST — Severe Thunderstorm VE — Volcanic Eruption MI — Meteorite Impact WF — Wildfire WS — Winter Storm
Aon Benfield
7
Outlook The traditional market responded to the recent progress of the
The lines drawn between traditional and alternative markets
alternative market by providing competitive pricing and multi-
have continued to blur as coverage converges. The efficiencies
year expanded coverage. As a result, some key catastrophe bond
of the capital markets to price risk have emerged as a driver of
sponsors elected to turn to the traditional and/or collateralized
the overall market. Sponsors have been the beneficiaries and we
markets. On the investor side, we see continued growth in
expect they will continue to benefit from this competition, while
allocations to collateralized reinsurance, driven by higher returns
investors are finding more ways to participate and develop long-
and access to broader risks. These trends are a strong sign of the
term relationships.
role for alternative capital within the broader risk transfer market.
Despite catastrophe bond issuance for the first half of 2015 trailing the record first half of 2014, the market made positive steps forward and is expected to end the calendar year 2015 with $6 to $7 billion in issuance. Current pricing trends are expected to continue in 2016 in the absence of substantial catastrophic events that disrupt the supply of capital.
Figure 3: Catastrophe bond issuance by half-year 2008 – 2015 January - June
9,000
July - December
8,000
2,325
7,000
6,000
USD millions
3,498 5,000
2,692
4,000
2,625 2,843
3,000
320 2,000
1,000
5,902
2,086 3,588
4,656
3,973
2,650
2,510
1,757
1,385
0 2008 Source: Aon Securities Inc.
8
Insurance-Linked Securities
2009
2010
2011
2012
2013
2014
2015
ILS Investor Activity Capacity providers5 Figure 4: Investor by category (years ending June 30) Catastrophe Fund
Institutional
Mutual Fund
Reinsurer
Hedge Fund
The source of capacity for ILS transactions was fairly stable year-on-year. Dedicated catastrophe funds remained the largest providers of capacity
2%
and increased their market share slightly to 6%
10%
5%
47 percent in the year ending June 30, 2015. The market share for institutional investors was also stable for the period. As expected, hedge fund
11%
9%
investors’ share decreased due to lower returns 46%
47%
expectations. Reinsurers slightly increased their share of the catastrophe bond market to 10 percent compared to 6 percent in the prior year
32%
period. Mutual funds decreased their market
32%
share, with some focused on setting-up, or growing interval fund structures, which allow mutual funds to invest in less-liquid transactions 2014
2015
such as industry loss warranties (ILW), collateralized reinsurance, and sidecars.
Source: Aon Securities Inc.
Capital origins6 Figure 5: Investor by country/region (years ending June 30) U.S.
UK
Bermuda
Switzerland
Other
The geographic mix of catastrophe bond investors in 2015 varied significantly from 2014. The U.S. continued to be the main source of
11%
13%
capital; however, its overall share decreased considerably from 47 percent to 34 percent yearon-year as a result of the reduced participation
34%
from hedge funds and mutual funds. Bermuda 26%
47%
28%
increased its participation in the 12 months under review, which is in line with the increase in participation from reinsurers and new
11% 14% 2015
catastrophe bond mandates from dedicated 7% 9% 2014
catastrophe funds domiciled on the island. Other regions with increased market share in 2015 included the UK and Germany, while participation from Asia decreased.
Source: Aon Securities Inc.
5
Aon Securities’ analysis of investor category includes only those transactions in which the firm participated
6
Aon Securities’ analysis of geographic attributes includes only those transactions in which the firm participated
Aon Benfield
9
General market trends Third quarter 2014
reduction to the MultiCat Mexico Limited Series 2012-I
On June 30, 2014 the Financial Industry Regulatory Authority
Class C notes. There was a lot of discussion around trading
(FINRA) began publicly disseminating trading activity of
the notes, with many investors reflecting on bids and offers.
Rule 144A transactions, of which most catastrophe bonds
Ultimately, however, trading was limited as the bid/ask spread
are a subset. Although secondary market catastrophe bond
remained fairly wide. The market learned in the fourth quarter
traders working for U.S. broker dealers had been required to
that the notes would not suffer any loss of principal when
report trades for many years, this information had previously
the National Hurricane Center’s Best Track data showed the
never been disseminated to market participants. According to
storm did not cross the covered area boundary at the required
FINRA, Rule 144A transactions comprised nearly 20 percent
barometric threshold to trigger the bond. As a result, pricing
of the average daily volume in the corporate debt market as
quickly recovered.
a whole. Steven Joachim, FINRA’s Executive Vice President, Transparency Services commented: “We’re excited to increase transparency in this opaque market. The information will help professional investors and contribute to more efficient pricing of these securities, as well as inform valuation for mark-to-market purposes.”7 Although the new rule covers only U.S. broker dealers and issuances with CUSIPs, and trade volume disclosures are capped at $1 million for high yield securities or $5 million for investment grade securities, this is no doubt a step in the right
Demand from investors for new issuance in the catastrophe bond market remained strong as 2014 came to a close. Investors secured $2.3 billion in the second half of 2014 via the primary market. With a record amount of bonds outstanding in the catastrophe bond market and $5.47 billion maturing in the first half of 2015, investors sought to make room for new deals in their portfolios by selling short-dated positions in
direction for the market in terms of transparency.
the secondary market. The active secondary market enabled
In contrast to the third quarter of 2013—the most active issuance
support in the primary market.
for a third quarter on record—the third quarter of 2014 was relatively quiet. One catastrophe bond, Golden State Re II, closed in the quarter. Given the lack of primary issuances, most investors employed a “buy and hold” strategy, reflected by the low trading volumes in the secondary market. Buyers far outnumbered sellers in the period and Aon Securities’ trading desk received relatively strong bids for most bonds on risk. However, investors as a whole were not inclined to sell given the general lack of opportunity to replace bonds in the portfolio with new issues. During the third quarter of 2014, Aon Securities estimates $1.0 to $1.4 billion of catastrophe bonds were traded. The quarter saw a healthy level of interest from new investors entering the ILS market on a direct basis. One new Japanese investor opened a trading account with Aon Securities and participated in its first catastrophe bond trade during the quarter. Additionally, five new investors worked to establish
investors to access more product and ultimately increased
After the U.S. hurricane season came to a close, most trading throughout the quarter involved hurricane transactions with less than six months until maturity. Specifically, institutional investors sought to purchase these securities to achieve yields higher than would be realized by holding cash or cash-like instruments. Sellers used the liquidity provided to invest via the new issue market and extend portfolio duration. The liquidity witnessed for short-dated transactions in the quarter did not translate across the entire secondary market. Trading of longer-dated and low yielding transactions was somewhat tepid. This reflected the lack of higher-yielding primary issuance that closed over the prior 24 months. Investors were able to source remote risks in the primary market, and as a result had less demand to purchase similar risks in the secondary market. As a result, investors looking to rebalance portfolios
a trading relationship with Aon Securities.
away from remote risks had difficulty finding attractive bids. The
Hurricane Odile struck the Baja California Peninsula in
allowed sponsors to upsize primary issuances, such as Amlin
September. The storm became the strongest tropical cyclone to
AG upsizing its Tramline Re II Ltd. Series 2014-1 issuance below
make landfall on the peninsula since 1967’s Hurricane Olivia. The
initial interest guidance.
market speculated the event could cause a 50 percent principal
7
10
Fourth quarter 2014
FINRA press release dated June 30, 2014
Insurance-Linked Securities
lack of supply for higher-yielding deals in the secondary market
Strong demand from investors resulted in many sponsors
First quarter 2015
increasing the size of primary issuances from marketed
Given recent high volumes of transactions with low coupons,
guidance. Despite no new sponsors accessing the market during
investors were pleased to see two bonds with relatively high
the fourth quarter, a number of returning sponsors brought
coupons kick-start the year’s issuance. As a result of investor
perils and terms not seen in their previous transactions. For
demand for high yielding deals, both Galileo Re Ltd. Series 2015-1
instance, Everest Re’s North America earthquake transaction,
A and Atlas IX Capital Limited closed at the low end of guidance.
Kilimanjaro Re Limited Series 2014-2 Class C, followed the successful placement of its Southeast named storm transaction
Secondary markets continued to be active in the first quarter of
and North America multi-peril transaction earlier in 2014. As
2015 as investors had excess capital to deploy from $3.9 billion
another example, Zenkyoren utilized a rolling term aggregate
of catastrophe bond maturities throughout the quarter. Similar
structure to cover Japan earthquake exposures. Sponsors
to Q3, short-dated bonds were especially active as investors
maximized capacity by pursuing different coverages from their
sought to reallocate capital to primary issuances. A marked
previous transactions.
decrease in demand for low yielding bonds was evident as spreads for bonds with attachment probabilities less than 1.5
During the quarter, investors became concerned about a
percent widened by an average of 20 basis points in the quarter.
potential loss on American Strategic Insurance Group’s Gator
Demand for Florida risks also decreased as a number of primary
Re Ltd. Series 2014-1 transaction. Estimated losses began
issuances were marketed later in the quarter with the stand-
to approach the attachment level during the quarter. On
alone risk. Europe windstorm transactions saw strong demand,
December 19, $20 million in aggregate, (10 percent of the
due to a relatively limited supply of the risk in the market.
limit), traded at a price level of 80.00. By the end of the quarter, however, the price began to rebound following the risk period
In late March, AQR Capital Management announced it
reset at year-end.
was closing the doors on its reinsurance platform, AQR Re Management, due to concerns over the ability to deliver the
Several ILS investors were active in launching new vehicles.
desired returns while participating in quality business. AQR
Pioneer Investments launched its Pioneer ILS Interval Fund,
Re’s website stated that “While the diversification benefits and
allowing them to participate in more illiquid reinsurance
relative returns of reinsurance as an asset class remain attractive,
investments such as collateralized reinsurance and sidecars,
we have come to the conclusion that consolidating market
in addition to catastrophe bonds. Interval funds have become
dynamics will make it increasingly difficult to put larger amounts
increasingly popular vehicles for mutual funds investing in
of capital to work and achieve attractive risk-adjusted returns
alternative assets. These funds offer redemptions only at specific
for our investors”. AQR Re ceased writing new and renewal
time frames (usually quarterly). Stone Ridge Asset Management
business after April 1, 2015.
was the first ILS manager to set up this type of investment vehicle. In contrast to Pioneer Investment’s launch targeting illiquid investments, AlphaCat Managers Ltd. launched its BetaCat Fund Ltd.—a low-cost, passive fund strategy which invests in all new property catastrophe bond issuances. Credit Suisse Asset Management became the first ILS asset manager with a rated vehicle, with the launch of Kelvin Re Limited (Guernsey). The $600 million carrier, which has a financial strength rating of “A-” by A.M. Best, is funded by the Abu Dhabi Investment Council. The carrier is targeting a lower expense ratio compared to the industry in order to manage profitability. Setting up a rated vehicle seems to be a natural evolution for ILS investors seeking lines on traditional reinsurance programs. A rated carrier provides flexibility for an asset manager to offer both
Second quarter 2015 In the primary market, investors sourced a variety of U.S. regional risks and other diversifiers. Investors welcomed these deals into portfolios, and the majority of transactions upsized during the quarter. Regional catastrophe bonds enabled investors to construct a diversified portfolio with more granular risk profiles than investing in broadly exposed bonds. With the primary issuance cycle focused in regional transactions during the quarter, investors utilized the secondary market to rebalance portfolios. U.S. multi-peril bonds were offered by funds looking to redeploy their capital into new primary catastrophe bond issuances and collateralized reinsurance transactions. U.S. multiperil bonds’ seasonally-adjusted spreads widened by 25 basis points as a result of selling pressure during the quarter.
collateralized and rated options to cedants. This in turn provides the manager with the ability to source broader risk opportunities. Aon Benfield
11
Florida-exposed transactions were under pressure in the
Outlook
secondary market early in the quarter as investors anticipated
Secondary bid spreads closed slightly up for the period under
primary Florida-based transactions Everglades Re Ltd. Series
review, driven primarily by increases in spreads for low yielding
2014-1, in particular, traded an estimated $250 million in the
transactions. Of note, 70 percent of the primary market volume
month as investors looked to diversify their holdings away
for this 12-month period was issued with an interest spread of 5
from this widely held bond (which at quarter-end represented
percent or below. Aon Securities believes pricing for remote risks
6 percent of the catastrophe bond market). However, after
has stabilized. However, investors are signaling that they would
the initial interest spread guidance of the Everglades Re II Ltd.
like to see more risk in the market. Investors increasingly value the
Series 2015-1 bond failed to attract investor interest, the 2014
ability to enhance portfolio yield and construct more granular risk
transaction showed an increase in demand driving its yield lower.
profiles. Further, we expect demand for regional risks to continue,
Trading in the 2014 issuance represented approximately
following the large volume of wind pools accessing the market
10 percent of trading volume in the secondary market—estimated
during the first half of 2015.
between $2.4 billion and $2.6 billion during the quarter. Institutional capital continues to enter the market particularly via Aon Securities continued to see a general selling of remote
managed sidecar funds and hedge fund reinsurance strategies.
risk transactions as investors sought to boost portfolio
While some ILS funds that focus on collateralized reinsurance
returns. Investors with lower return hurdles and/or well-
and catastrophe bonds have returned capital to investors,
diversified portfolios were large buyers of these lower yielding
other funds advisors continue to attract assets signaling that
transactions. In the quarter, there were strong bids for life-
institutional investors find value in the low correlated returns that
related transactions, with $70 million of mortality bonds
ILS strategies provide.
ultimately trading. After the issuance of Benu Capital Limited, demand reduced slightly.
Traditional reinsurance markets reported moderately decreasing rates that seem to be stabilizing at the U.S. wind renewal season in June/July 2015. Catastrophe bond issuance volumes may be impacted if there is a decoupling of rates between the competing markets.
12
Insurance-Linked Securities
The Aon ILS Indices The Aon ILS Indices are calculated by Bloomberg using month-end price data provided by Aon Securities Inc. During the 12-month period under review, the Aon ILS Indices
The annual returns for all Aon ILS Indices underperformed the
posted positive results. The All Bond and BB-rated Bond
prior one year returns as keeping pace with the historic average
Indices were positive for the year with gains of 2.80 percent
annual returns remains challenging given the current market
and 1.29 percent, respectively. The U.S. Hurricane and U.S.
environment. However, the 10-year average annual return of
Earthquake posted positive results for the year of 5.61 percent
the Aon All Bond ILS Index was 8.23 percent—again producing
and 2.60 percent. The Aon All Bond Index outperformed
superior returns relative to the other benchmarks. This
relative to comparable fixed income benchmarks. However,
demonstrates the value a diversified book of pure insurance
the Aon ILS Indices underperformed the S&P 500 index
risks can bring long term to investors’ portfolios.
during the past year.
Table 5: Aon ILS Indices8 Index title Aon ILS Indices
Return for annual period ended June 30
5 yr average annual return
10 yr average annual return
2015
2014
2010-2015
2005-2015
All Bond Bloomberg Ticker (AONCILS)
2.80%
8.27%
7.57%
8.23%
BB-rated Bond Bloomberg Ticker (AONCBB)
1.29%
5.79%
5.57%
6.54%
US Hurricane Bond Bloomberg Ticker (AONCUSHU)
5.61%
8.74%
8.95%
9.73%
US Earthquake Bond Bloomberg Ticker (AONCUSEQ)
2.60%
4.28%
5.13%
6.33%
3-5 Year U.S. Treasury Notes Index
2.05%
1.75%
2.25%
3.98%
3-5 Year BB Cash Pay U.S. High Yield Index
2.18%
10.11%
7.70%
7.15%
S&P 500
5.25%
22.04%
14.88%
5.64%
ABS 3-5 Year, Fixed Rate Index
2.36%
3.91%
4.00%
3.57%
CMBS 3-5 Year, Fixed Rate Index
2.21%
4.26%
5.66%
6.44%
Benchmarks
8
The 3-5 Year U.S. Treasury Note Index is calculated by Bloomberg and simulates the performance of U.S. Treasury notes with maturities ranging from three to five years. The 3-5 Year BB Cash Pay U.S. High Yield Index is calculated by Bank of America Merrill Lynch (BAML) and tracks the performance of U.S. dollar denominated corporate bonds with a remaining term to final maturity ranging from three to five years and are rated BB1 through BB3. Qualifying securities must have a rating of BB1 through BB3, a remaining term to final maturity ranging from three to five years, fixed coupon schedule and a minimum amount outstanding of $100 million. Fixed-to-floating rate securities are included provided they are callable within the fixed rate period and are at least one year from the last call prior to the date the bond transactions from a fixed to a floating rate security. The S&P 500 is Standard & Poor’s broad-based equity index representing the performance of a broad sample of 500 leading companies in leading industries. The S&P 500 Index represents price performance only, and does not include dividend reinvestments or advisory and trading costs. The ABS 3-5 Year, Fixed Rate Index is calculated by BAML and tracks the performance of U.S. dollar denominated investment grade fixed rate asset backed securities publicly issued in the U.S. domestic market with terms ranging from three to five years. Qualifying securities must have an investment grade rating, a fixed rate coupon, at least one year remaining term to final stated maturity, a fixed coupon schedule and an original deal size for the collateral group of at least $250 million. The CMBS 3-5 Year, Fixed Rate Index is calculated by BAML and tracks the performance of U.S. dollar denominated investment grade fixed rate commercial mortgage backed securities publicly issued in the U.S. domestic market with terms ranging from three to five years. Qualifying securities must have an investment grade rating, at least one year remaining term to final maturity, a fixed coupon schedule and an original deal size for the collateral group of at least $250 million. The performance of an index will vary based on the characteristics of, and risks inherent in, each of the various securities that comprise the index. As such, the relative performance of an index is likely to vary, often substantially, over time. Investors cannot invest directly in indices. While the information in this document has been compiled from sources believed to be reliable, Aon Securities has made no attempts to verify the information or sources. This information is made available “as is” and Aon Securities makes no representation or warranty as to the accuracy, completeness, timeliness or sufficiency of such information, and as such the information should not be relied upon in making any business, investment or other decisions. Aon Securities undertakes no obligation to update or revise the information based on changes, new developments or otherwise, nor any obligation to correct any errors or inaccuracies in the information. Past performance is no guarantee of future results. This document is not and shall not be construed as (i) an offer to sell or a solicitation of an offer to buy any security or any other financial product or asset, or (ii) a statement of fact, advice or opinion by Aon Securities.
Aon Benfield
13
Maintaining the average annual returns realized over the past five and ten years is challenging given current market dynamics. As spreads have continued tightening, interest payments to investors are lower than those received in prior years. Additionally, price increases in the secondary market will be muted relative to the previous periods—the ability for spreads to continue tightening to the same degree is reduced. This situation, however, is not limited to the ILS sector: fixed income investors face similar situations as interest rates have tightened over the past several years.
Figure 6: Historical performance of Aon ILS Indices
Figure 7: Aon All Bond index versus financial benchmarks
Aon ILS U.S. Hurricane
Aon ILS Index Aon ILS U.S. EQ
Aon ILS BB Index
260%
260%
180%
180%
100%
100%
20%
20%
-60%
-60%
CMBS 3-5 Year, Fixed Rate Index 3-5 Year U.S. Treasury Notes Index
ne
Ju
ne
Ju
ne
Ju
ne
Ju
ne
Ju
ne
Ju
ne
15
14
20
13
20
20
12
11
20
10
20
09
20
20
08
07
20
06
20
05
20
20
15
20
14
13
20
12
20
20
11
10
20
09
20
08
20
20
Source: Aon Securities Inc., Bloomberg
3-5 Year BB Cash Pay U.S. High Yield Index
Ju
ne
Ju
ne
Ju
ne
Ju
ne
ne
Ju
Ju
ne
Ju
ne
Ju
ne
Ju
ne
Ju
ne
Ju
ne
07
06
20
05
20
20
Insurance-Linked Securities
Ju
ne
Ju
ne
Ju
ne
ne
Ju
Ju
Source: Aon Securities Inc., Bloomberg
14
Aon All Bond ILS Index ABS 3-5 Year, Fixed Rate Index S&P 500
Mergers and Acquisitions (Re)insurer Activity A significant amount of M&A activity was seen in the
Underwriters Holdings) and (iii) to achieve scale and stronger
(re)insurance space over the 12 months to June 30, 2015,
client relationships (XL Group/Catlin Group). Additionally, the
across non-life, life and health companies, and lines of
challenging organic environment caused by low interest rates,
businesses globally. According to Capital IQ, the global
excess capital, fierce competition from new alternative capital,
insurance sector M&A deal volume through the first seven
among others, is driving acquirers to become more efficient and
months of 2015 totaled $73.3 billion with 461 deals, compared
effective in utilizing existing capital. Finally, hedge funds continue
to $16.8 billion and 387 deals for the same period of 2014—
to assess opportunities to expand into the insurance sector. These
a deal value increase of 336 percent. As discussed earlier
asset managers’ unique investment expertise can mitigate the
in this report, the focus on this activity led some (re)insurers
risks associated with the current low interest rate environment.
to conclude it was not the right time to dedicate resources
Aon Securities believes that this acquisition motivation will
to a new catastrophe bond issuance.
continue into the near future.
The recent increase in M&A activity has been driven by the
Table 6 highlights recent selected activity in the (re)insurance
acquirers’ desire to expand (i) geographically (e.g. Tokio Marine
space, and includes transactions that extend beyond the primary
Holdings/HCC Insurance Holdings), (ii) into new products or
period under review.
distribution channels (e.g. RenaissanceRe Holdings/Platinum
Table 6: Select (re)insurance M&A activity Acquirer
Target
Rationale
RenaissanceRe Holdings
Platinum Underwriters Holdings
Broader client base. Accelerated U.S. platform growth.
Timing
Price (millions)
Closed March 2, 2015
$1,900
Closed May 1, 2015
$4,228
Closed July 31, 2015
$1,830
Expected close Q4 2015
$6,900
Expected close Q4 2015
$7,500
Expected close Q1 2016
$28,300
The agreed offer was struck at a price-to-book multiple of 1.1x and a 24% premium to the prevailing share price. XL Group
Catlin Group
XL Group plc is the ultimate parent, operating as ‘XL Catlin’. Establishes a premier specialty insurance platform.
Endurance Specialty Holdings
Montpelier Re
Increased scale and market presence, with new strategic capabilities added to Endurance (Lloyd’s and Blue Capital). Equated to 1.21x Montpelier fully converted book value per common share at December 31, 2014. Diversified platform across products and geographies.
Exor
PartnerRe
April 14: Italian investment manager EXOR made unsolicited all-cash offer to acquire 100% of PRE for $130 per share. EXOR is PRE’s largest shareholder (spent ~$600 million to acquire 9.9%). May 12: offer increased to $137.50 per share. July 7: enhanced terms including promise to pay PRE shareholders the value of $315 million AXS/PRE break-up fee (~$6.39 per share), 100 basis point increase on preferred share dividend and extension not to redeem until at least 2021, and “go-shop” provision. July 20: adds special dividend of $3.00 per share ($140.50 total offer). Aug 3: Definitive agreement.
Tokio Marine Holdings
ACE Ltd
HCC Insurance Holdings
Chubb Corp
Enhancement of Tokio Marine Holdings’ specialty P&C business in U.S. and internationally The purchase price represents a P/TBV multiple of 2.51x based on HCC Insurance Holdings’ Q1 2015 tangible book value Creating a global leader in commercial and personal P&C insurance. Balance sheet strength: combined total equity of almost $46bn and total assets of $150bn at the end of 2014. Total consideration of $28.3bn represents a ~30% premium to the share price at June 30 and values Chubb at 1.76x book value.
Source: Company press releases
9
Source: Bloomberg
Aon Benfield
15
Current market trends affecting M&A activity (Re)insurer stock price performance and valuation multiples
Increasing foreign (especially Asian) interest in the (re)insurance
continue to be positive. As summarized in the Aon Securities
market stemming from these companies’ desire to achieve
Weekly Public Market Recap, most global reinsurers’ and
diversification and augmented assets under management.
insurers’ stock prices and valuation multiples have continued
Increased competition and low global interest rates have
to appreciate. One reason for this positive performance is the
led foreign buyers to search for geographic and investment
continued strength in earnings from a benign catastrophe
diversification, as well as yield. This desire has driven them to
environment and stable loss reserve releases. Another
focus on (re)insurance companies in mature markets, such as
potential driver of the recent appreciation is investors’
Tokio Marine Holdings’ acquisition of HCC Insurance Holdings.
increased M&A expectations.
continue at historically high levels as companies seek to satisfy
additional M&A. Whether the pressure on earnings and
their strategic, diversifying and asset gathering objectives
returns is from new alternative capital market capacity or
through acquisition.
from traditional challenges (e.g. low interest rates, reduced favorable reserve development, excess capital, etc.), the need for improved capital utilization and operational efficiencies will increasingly stimulate buyers’ interest. Investors are accepting TBV dilution for transactions with compelling strategic rationale. Despite meaningful tangible book value dilution, investors have been very supportive of M&A transactions with meaningful strategic value.
16
Over the near term, Aon Securities expects M&A activity to
Continued pressure on underlying organic results will drive
Insurance-Linked Securities
ILS-Related Markets Figure 8: Alternative market development
Quota share sidecars Eight quota share sidecar transactions closed during the that disclosed sizes, as shown in Table 7. The majority of these
Sidecar Collateralized re and others
Catastrophe bonds ILW
80
12 months under review, totaling $955 million for the seven
68
70
64
transactions were renewals of existing sidecars, including the 60
expansion of Silverton Re Ltd. and Eden Re Ltd., which both USD billions
increased in size year-over-year. In addition to the renewal of Eden Re Ltd., Münchener Rückversicherungs-Gesellschaft Aktiengesellschaft (Munich Re) sponsored a second sidecar— Eden Re II Ltd. during the 12-month period under review. Validus Holdings, Ltd. returned for the fifth consecutive
50
50
44
40
28
30
22
year, securing $155 million for AlphaCat 2015, Ltd. The latest
20
17
24
22
19
sidecar is in addition to the $409 million in capital raised for its managed sidecar—AlphaCat ILS Funds. The renewals of these
10
sidecars demonstrate the strengthening partnership between
0
reinsurers and alternative markets. In addition, Brit PLC (Brit) re-joined the group of (re)insurance firms utilizing third-party capital through its Versutus Ltd. sidecar. The transaction
2006 2007 2008 2009 2010 2011 2012 2013 2014 1H2015
Source: Aon Securities Inc.
Figure 9: Global reinsurer capital
provides investors with access to Brit’s worldwide property
800
catastrophe reinsurance business. In 2007, Brit accessed alternative capital with its Fremantle Ltd. and Norton Re Ltd.
Traditional capital
Alternative capital
700
transactions. It is also worth noting that Hannover Re increased
600
includes non-proportional reinsurance treaties, aviation, marine USD billions
6%
500 400
18%
385
410
-17%
18%
11%
-3%
505
470
455
-2%
6%
7%
its quota share facility to $400 million. For 2015, K-Cessions and energy risks.
Global reinsurer capital
575
565
540
400 340
300 200
368
388
321
378
447
428
461
490
511
497
17
22
19
22
24
28
44
50
64
68
100 0
2006 2007 2008 2009 2010 2011 2012 2013 2014 1H2015
Source: Individual company reports, Aon Benfield Analytics, Aon Securities Inc.
Table 7: Quota share sidecars launched during 12 months to June 30, 2015 Sidecar
Date
Silverton Re Ltd. Series 2015-I
Dec-14
Eden Re II Ltd.
Dec-14
Eden Re Ltd. Series 2015-I
Dec-14
Principal sponsor/manager
Size (millions)
Subject business
Aspen Bermuda Limited
$85
Property catastrophe reinsurance
Munich Re
$290
Property catastrophe reinsurance
Munich Re
$75
Property catastrophe reinsurance
Versutus Ltd.
Jan-15
Brit PLC
$75
Property catastrophe reinsurance
AlphaCat 2015
Jan-15
Validus Holdings, Ltd.
$155
Property catastrophe reinsurance
Harambee Re 2015
Jan-15
Argo Group
undisclosed
Property reinsurance
Sector Re V Ltd.
Apr-15
Swiss Re
$191
Property catastrophe reinsurance
Lorenz Re Ltd.
Apr-15
PartnerRe
$84
Property catastrophe reinsurance
Total
$955
Source: Press releases, public filings
Aon Benfield
17
Actively managed sidecars and start-up reinsurance vehicles Capital growth deployed in sidecars was not limited to
Table 8: Growth of selected managed sidecars between January 2014 and January 2015
quota shares arrangements. Actively managed sidecars also experienced significant growth as of January 31, 2015. Using
Size (millions)
fund structures, dedicated portfolio managers, and underwriting teams, many reinsurers are now providing asset management
Selected reinsurermanaged sidecars
Sponsors
As of Jan 31, 2014
As of Jan 31, 2015
services. These structures are more permanent in nature
Upsilon RFO
RenRe
$474
$621
than quota share sidecars, which typically have a fixed term.
Mt Logan Re
Everest Re
$370
$690
These arrangements can provide a reliable premium source
Kiskadee
Hiscox
$110
$400
by providing market access and liquidity. These features have
Source: Company filings, press releases
allowed some vehicles to grow quickly in recent years. Table 8 highlights three select vehicles that in aggregate have grown by
Secondly, a start-up specialty reinsurer—Fidelis Insurance Holdings
more than $750 million between January 2014 and January 2015.
(Fidelis) was announced. Similar to Watford Re Ltd., high-net worth and private equity investors were a key source of capital.
The trend of complementing underwriting results with an asset
Fidelis is focused on property and short-tail specialty insurance
management strategy continued in the period under review. This
business through the open (re)insurance markets. The firm was
was demonstrated by the announcement of two vehicles. Firstly,
founded by former Lancashire executives Richard Brindle and Neil
ACE Limited (ACE) and BlackRock, Inc. (BlackRock) have partnered to form ABR Reinsurance Ltd. (ABR Re).
McConachie, who will serve as CEO and CFO, respectively. Private
ABR Re will initially act as an internal reinsurer for ACE and follow
and CVC Capital Partners. In contrast to recent hedge fund
terms set by the reinsurance market. It is possible that ABR Re
reinsurers, the vehicle’s assets will be allocated to a variety of asset
may write insurance for other cedants at a later date. BlackRock
managers. The structure has the ability to tactically shift its capital
is the exclusive investment manager of the vehicle. ABR Re is the
between insurance and investment strategies to maximize return
first of its kind to pursue this strategy without securing a financial
on equity across the market cycle. The start-up specialty reinsurer
strength rating. The insurer is still to determine the impact on ABR
received a financial strength rating of “A-” from A.M. Best.
equity investors include Crestview Partners, Pine Brook Partners,
Re from the expected Chubb acquisition.
Both ABR Re and Fidelis intend to pursue initial public offerings to provide liquidity to investors.
Table 9: Select reinsurance vehicles launched since July 2014 Principal sponsor/manager
Launch size (millions)
Targeted IPO timeline
Subject business
Jun-15
Private Equity and Goldman Sachs
$1,500
3 – 5 years
Property and short-tail specialty lines
Apr-15
ACE and BlackRock
$800
3 – 6 years
Broad selection of ACE’s reinsurance treaties
Reinsurer
Date
Fidelis ABR Re
Source: Company filings, press releases
18
Insurance-Linked Securities
Collateralized reinsurance market trends Collateralized reinsurance was the largest growing component of
CSAM’s special purpose syndicate with Barbican provides the
alternative capital during the 12-month period under review. As
manager with a whole-account quota share covering Barbican’s
discussed earlier, a number of mutual funds focused on setting-
underwriting divisions: property, specialty, marine, aviation, and
up, or growing interval fund structures, which allow mutual
transport. Securis Investment Partners LLP (Securis) meanwhile
funds to invest in less-liquid transactions, such as collateralized
established its Lloyd’s Capital Provision fund, providing investors
reinsurance. From investors’ perspective, it provides access to
access to the Lloyd’s platform. According to Securis, the strategy
risks that may not be available in the catastrophe bond market.
is a way to maintain its diversification, of which Rob Procter,
The illiquid product provides reinsurance capacity (typically on
CEO of Securis, stated “None of this is really targeting property
an indemnity basis, similar to traditional reinsurance), without
cat, it is more spread across typical Lloyd’s specialty business,
the need for a rating.
so helping Securis to reduce its reliance on property
A number of ILS managers have also developed partnerships
catastrophe risks.”10
with fronting companies to offer more flexible solutions (e.g.
Another innovation in the market is the partnership between
reinstatements, longer commutation periods) to clients. As a
Nephila and wholesale broker AmWINS Group (AmWINS).
result, a significant share of collateralized reinsurance capacity is
Through this collaboration Nephila receives a share of property
placed through fronting companies. Using fronting companies is
insurance contracts brokered by AmWINS and in return
less prevalent in the retrocession market, where high rate-on-line
follows terms set by lead underwriters. This allows Nephila
premiums make collateralizing the limit more viable. The Global
to access the primary insurance market and allows AmWINS
Re Specialty team of Aon U.K. Limited estimates that close to half
to provide more meaningful capacity to its clients. Nephila’s
of the market’s retrocession capacity is provided in collateralized
participation will be fronted through Allianz Risk Transfer.
form, the majority of which was deployed by Bermuda funds.
This partnership, similar to its fronting relationship with State
Over the past year, several ILS managers have found innovative ways to incorporate additional operational leverage into
National Companies, demonstrates Nephila’s continued focus on growing its MGA platform.
their business model. Examples include Credit Suisse Asset
Finally, another more recent trend in the collateralized
Management’s (CSAM) rated vehicle Kelvin Re Limited, which
reinsurance market is the emergence of catastrophe bond
allows the underwriter to target a broader set of risks than
platforms that streamline private securitizations. These platforms,
those typically covered by collateralized markets. The ILS
which include Aon’s CATstream®, Kane SAC Limited and Market
manager has indicated it will use the vehicle to write risk where
Re, among others, aim to lower frictional transaction costs with
claims development may take a longer time than the standard
particular focus on lowering barriers to alternative capital for
development period of collateralized contracts.
sponsors. Our firm views private platform securitizations as a
In order to expand their book beyond property catastrophe, over past year several ILS managers followed the footsteps of Nephila Capital (Nephila) by directly accessing Lloyd’s.
natural development of the alternative market as access to the capital markets notes capacity expands to the entire market for risk transfer.
10 Source: Securis press release dated January 13, 2015
Aon Benfield
19
Industry loss warranty review
Surplus notes and subordinated debt
Lloyd’s syndicates, London and Bermudian reinsurers, as well
With interest rates at historically low levels, a number of insurers
as ILS funds continue to be active in the ILW market. Existing
were able to secure long-term financing via the debt capital
capital providers were joined by some new entrants prior
markets. Surplus notes, subordinated long-term debt instruments
to the 2015 U.S. hurricane season and were able to offer
issued by U.S. insurance companies, represent an interesting
meaningful capacity. In conjunction with other market factors
opportunity for investors. In the 12 months under review,
such as an increase in demand Q2 2015, this allowed the
insurers have issued surplus notes both on an investment grade
ILW market to increase to an estimated $4.0 billion from
and on a private placement basis. Reasons for utilizing surplus
$3.5 billion during the 12-month period under review.
notes include supporting organic growth initiatives, financing
From a recovery perspective, binary triggers remain the most sought-after method of execution with multi-section and
M&A activity and opportuistic purchases in the current rate environment. Table 10 shows a selection of investment grade surplus notes issued by insurance companies in 2014.
corridor structures being popular with protection buyers.
In addition to investment grade transactions, some insurance
Although indemnity coverage remains the product of choice
companies placed surplus notes on a private basis. Table 11
for retrocession buyers, there has been a noticeable increase
shows a selection of surplus notes issued on a private basis.
in the demand for ILWs for U.S. hurricane events, specifically
Aon Securities anticipates more mutual and stock insurance
Florida, from both traditional reinsurers and ILS funds.
companies will follow this path.
Following an increase in demand for U.S. hurricane capacity at mid-year renewals, the market witnessed a noticeable uptick
With Solvency II scheduled to go live on January 1, 2016,
in ILW pricing during this timeframe.
EU (re)insurance carriers across Europe are increasingly sourcing capital solutions to ensure they remain solvent under the
Figure 10: ILW trade volume and U.S. ANP price movement $80 billion ANP
to comply with regulatory guidelines, and have capital to
$50 billion ANP
$30 billion ANP
150
1500 1200
120
900
90
600 60
300 0
Q2 2011
Q2 2012
Q2 2013
Q2 2014
30
Q2 2015
Price movement by quarter
Total U.S. trade volume
Total U.S. trade volume
new regulatory regime, have sufficient capital buffers in place
Legend ANP — All Natural Perils Source: The Global Re Specialty team of Aon U.K. Limited
20
Insurance-Linked Securities
underwrite opportunities that arise from potential disruptions in the market following its implementation. Firms have achieved or are looking to achieve these goals through a number of ways. In addition to reinsurance, which looks to reduce a carrier’s required underwriting solvency capital requirements, carriers are also raising Solvency II compliant Tier 1, Tier 2, and Tier 3 capital in the form of equity and debt that provides them with admissible capital to cover their total solvency capital requirement. Tables 12 and 13 show a select list of rated and unrated subordinated debt issuances.
Table 10: Select investment grade surplus notes Insurance Company
Issuance date
Pinnacol Assurance
Jun-14
Size (millions)
Term (years)
Coupon
Call date
Surplus note rating
$100
20
8.625% fixed
15 years
BBB- (S&P)
Mutual of Omaha Ins. Co.
Jul-14
$300
40
4.297% fixed
10 years
A (S&P)
Farmers Exchanges
Oct-14
$500
40
5.454% fixed (20 yrs) to floating
20 years
A- (S&P)
Source: Bloomberg, SNL and company filings
Table 11: Select private surplus notes issuances Insurance Company
Issuance date
Size (millions)
Term (years)
Coupon
Midwest Family Mutual Ins. Co.
Dec-14
$0.8
10
6.00% +10 yr. UST
Palomar Specialty Ins. Co.
Feb-15
$17.5
7
8.00% + LIBOR
Farmers Mutual Hail Ins. Co.
Mar-15
$60.0
30
7.375% fixed
Source: SNL, company filings
Table 12: Select investment grade subordinated debt Issuer name
Country
Allianz SE
Germany
Issuance date
Term (years)
Size (millions)
Coupon
Debt rating
Call date
Apr-15
30
€1500 ($1600)
2.241% for 10 years then floating
A+ (S&P)
10 years
SCOR SE
France
Jun-15
32
€250 ($278)
3.25% for 10 years, then reset
A- (S&P)
10 years
Society of Lloyd's
UK
Oct-14
10
£500 ($800)
4.75% fixed
A- (S&P)
N/A
Source: Bloomberg
Table 13: Select unrated subordinated debt Issuer name
Country
CIS General Insurance Ltd. (The Co-operative Insurance)
UK
Vardia Insurance Group ASA
Norway
Issuance date
Term (years)
Size (millions)
Coupon
Debt rating
Call date
May-15
10
£70 ($108)
12.00% for 5 years, then reset
Not rated
5 years
Jun-15
10
kr75 ($9.3)
6.70% + 3 month NIBOR*
Not rated
5 years
* Norway Interbank Offer Rate Source: Bloomberg
Aon Benfield
21
North America Perils Current market pricing conditions have generally stabilized
During the year, severe thunderstorm events eroded a large
around the lows first witnessed in 2014. As of year-end 2014,
portion of the retention below the bond and although
rates were almost universally down across all U.S. natural perils
ultimately not attaching, the secondary market pricing reflected
and risk levels compared to the prior year. However, during the
this near loss activity. The second transaction was MultiCat
second quarter of 2015 spreads surrounding lower risk profile
Mexico Limited Series 2012-I on behalf of FONDEN, Mexico’s
bonds began to tighten on the secondary market suggesting a
natural disaster fund. The bond’s parametric trigger, which
weakening in demand for such lower yielding bonds as discussed
is based on reported hurricane central pressure, was close to
in ILS Investor Activity—General Market Trends. Nevertheless,
activating when Hurricane Odile crossed the Class C notes’ zone
demand for U.S. property catastrophe bonds from both sponsors
perimeter in the Baja California Peninsula.
and investors remained strong over the period under review with more than $5.5 billion in U.S.-exposed property risk coverage
As the core of the catastrophe bond market, the U.S. property
secured through catastrophe bond capacity.
segment remains a central driver of ILS portfolio performance.
No trigger events occurred in the 12-month period ending June
of new property issuances, or 86 percent of the total notional
30, 2015 to impact the catastrophe bond market, continuing
limit, covered U.S. exposures. Six U.S. property transactions—
In fact, during the 12-month period under review 87 percent
the trend of benign loss activity since 2011. However, two
as shown in Table 14—closed in the second half of 2014 and all
transactions covering North America did come relatively close
were returning sponsors to the catastrophe bond market.
to attaching. The first was Gator Re Ltd. Series 2014-1 Class A, covering named storms and severe thunderstorms for American Strategic Insurance Group.
Tradewynd Re Ltd. Series 2014-1 provides American International Group, Inc. (AIG) with expanded indemnity coverage to now include named storms in Canada and Mexico, as well as earthquakes in Mexico. The $500 million transaction includes three classes of notes with maturities ranging from one to three years. The latest transaction brings the total from Tradewynd Re Ltd. to over $1 billion.
Table 14: Second half of 2014 property catastrophe bonds covering U.S. perils
Rating
Expected loss11
Initial interest spread
U.S. EQ
Modeled loss
BB+ (S&P)
0.25%
2.20%
NA EQ
Industry index
BB- (S&P)
1.46%
3.75%
1.18%
3.50%
CAL EQ
Indemnity
Not rated 2.55%
5.00%
Class
Size (millions)
Covered perils
Golden State Re II Ltd.
Series 2014-1
Class A
$250
Everest Reinsurance Company
Kilimanjaro Re Limited
Series 2014-2
Class C
$500
Class A
$200
California Earthquake Authority
Ursa Re Ltd.
Series 2014-1
Issuer
State Compensation Insurance Fund
Class B
$200
United Services Automobile Association
Residential Reinsurance 2014 Limited
Series 2014-II
Class 4
$100
U.S. HU, EQ, ST, WS, WF, VE, MI
Amlin AG
Tramline Re II Ltd.
Series 2014-1
Class A
$200
U.S. HU, EQ & EU Wind
Class 1-B
$100
Class 3-A
$100
Class 3-B
$300
American International Group, Inc.
Tradewynd Re Ltd.
Series 2014-1
Source: Aon Securities Inc.
11 Annualized modeled expected loss; sensitivity cases if U.S. hurricane is a covered peril.
22
Trigger
Series
Beneficiary
Insurance-Linked Securities
NA/MEX/ CB/Gulf HU & NA/MEX/ CB EQ
Legend CAL — California CB — Caribbean EU — Europe MEX — Mexico
Indemnity
Not rated
1.79%
4.80%
Industry index
Not rated
5.71%
9.75%
B (Fitch)
2.41%
6.75%
BB- (Fitch)
1.24%
5.00%
B (Fitch)
2.36%
7.00%
Indemnity
NA — North America U.S. — United States EQ — Earthquake HU — Hurricane ST — Severe Thunderstorm
MI — Meteorite Impact VE — Volcanic Eruption WF — Wildfire WS — Winter Storm
Sponsors secured coverage for a variety of U.S. perils in the first
AIG’s second transaction in the 12-month period under review,
half of 2015 as shown in Table 15.
Compass Re II Ltd., utilizes a parametric index trigger based on reported maximum sustained wind speed and radius of
East Lane VI Ltd. provides the Chubb Group of Insurance
windstorms crossing the boundary points of the covered area
Companies (Chubb) with $250 million of indemnity Northeast
over a six-month term. This is the first parametric U.S. hurricane
multi-peril coverage for personal and commercial lines. The
transaction since 2005 and delivers relative cost savings
transaction is Chubb’s ninth catastrophe bond, but the first
versus AIG’s indemnity Tradewynd Re Ltd. Series 2014-1 North
to provide coverage for the non-modeled perils of volcanic eruption and meteorite impact. In addition, the latest issuance provides coverage for Chubb for the longest term yet, with a
America multi-peril transaction that was issued in the second half of 2014. The two transactions exemplify the breadth of the catastrophe bond market to provide both complex commercial
scheduled maturity in five years.
indemnity coverage as well as efficiently priced parametric cover to the same sponsor.
Table 15: First half of 2015 property catastrophe bonds covering U.S. perils
Beneficiary
Issuer
Series
Class
Rating
Expected loss12
Initial interest spread
Industry index
Not rated
8.60%
13.50%
Size (millions)
Covered perils
Trigger
Catlin Insurance Company Ltd.
Galileo Re Ltd.
Series 2015-1
Class A
$300
U.S. HU, NA EQ, EU Wind
SCOR Global P&C SE
Atlas IX Capital Limited
Series 2015-1
Class A
$150
U.S. HU, NA EQ
Industry index
Not rated
3.76%
7.00%
Chubb Group of Insurance Companies
East Lane Re VI Ltd.
Series 2015-I
Class A
$250
NE HU, EQ, ST, WS, WF, VE, MI
Indemnity
BB (S&P)
1.34%
3.75%
Safepoint Insurance Company
Manatee Re Ltd.
Series 2015-1
Class A
$100
FL HU
Indemnity
Not rated
1.15%
5.00%
Münchener RückversicherungsGesellschaft Aktiengesellschaft
Queen Street X Re Limited
$100
U.S. HU, AUS CY
Industry index and modeled loss
Not rated
2.72%
5.75%
State Farm Fire and Casualty Company
Merna Re Ltd.
Series 2015-1
Class A
$300
New Madrid EQ
Indemnity
Not rated
0.41%
2.00%
Class A
$150
Not rated
1.41%
4.75%
Heritage Property & Casualty Insurance Company
Citrus Re Ltd.
Series 2015-1
Class B
$98
FL HU (Initially)
Indemnity
Not rated
2.79%
6.00%
Class C
$30
Not rated
5.64%
9.00%
Louisiana Citizens Property Insurance Corporation
Pelican III Re Ltd.
Series 2015-1
Class A
$100
LA HU
Indemnity
Not rated
3.51%
6.00%
Massachusetts Property Insurance Underwriting Association
Cranberry Re Ltd.
Series 2015-1
Class A
$300 MA HU, ST, WS
Indemnity
B (Fitch)
1.38%
3.80%
Citizens Property Insurance Corporation
Everglades Re II Ltd.
Series 2015-1
Class A
$300
FL HU
Indemnity
BB (S&P)
1.55%
5.15%
Texas Windstorm Insurance Association
Class A
$300
B+ (Fitch)
2.68%
5.90%
Alamo Re Ltd.
Series 2015-1
TX HU
Indemnity BB- (Fitch)
1.58%
4.60%
BB- (Fitch)
1.18%
3.75%
Not rated
7.28%
11.00%
Not rated
2.50%
6.00%
B+ (Fitch)
undisclosed
undisclosed
Class B
The Travelers Indemnity Company
Long Point Re III Ltd.
United Services Automobile Association
Residential Reinsurance 2015 Limited
American International Group, Inc.
Compass Re II Ltd.
Series 2015-1
$400
Class A
$300
Class 10
$50
Series 2015-I
Series 2015-1
Source: Aon Securities Inc.
Class 11
$100
Class 1
$300
NE HU, EQ, ST, WS
Indemnity
U.S. HU, EQ, ST, WS, WF, VE, MI
Indemnity
U.S. HU
Parametric index
Legend AUS — Australia FL — Florida LA — Louisiana NE — Northeast MA — Massachusetts
NA — North America TX — Texas U.S. — United States CY — Cyclone EQ — Earthquake
HU — Hurricane ST — Severe Thunderstorm MI — Meteorite Impact VE — Volcanic Eruption WF — Wildfire WS — Winter Storm
12 Annualized modeled expected loss; sensitivity cases if U.S. hurricane is a covered peril.
Aon Benfield
23
Model updates13,14 ILS modeling firms, Risk Management Solutions, Inc. (RMS)
In June 2015, AIR announced an updated hurricane model for
and AIR Worldwide Corporation (AIR), both introduced model
the United States. The latest view of risk from AIR features a
updates during the first half of 2015 covering North America
hydrodynamic location-specific storm surge module based
and specific to the peril of storm surge.
on storm parameters and elevation data. Inputs to the new
In March 2015, RMS released its latest view of North Atlantic hurricane risk. The new model along with software updates incorporates, in RMS’ view, the latest science and data on hurricane event rates, new insights to support wind-related underwriting, new capabilities to manage coastal flood risk, and a suite of vulnerability enhancements across several regions and lines of business. Specifically, new features include advances to
model include the U.S. Geological Survey (USGS) National Elevation Dataset (also used in the AIR Inland Flood Model) as well as the National Oceanic and Atmospheric Administration’s (NOAA) Sea, Lake, and Overland Surges from Hurricanes (SLOSH) model. Additionally, regional and seasonal data on tide heights, levees, seawalls, floodgates, pump systems, and other mitigating structures and equipment are also considered by AIR.
the storm surge model to improve loss modeling for flooded
Further model updates include the incorporation of the most
basements and high-value contents stored in basements. Such
recent North Atlantic hurricane database (HURDAT2) also from
updates include:
NOAA, reanalysis of data from 1930 to 1945, and the 2011
“Floors Occupied” field that captures the presence of basements at the location level enabled for the U.S., Caribbean, and Hawaii Hurricane Models; Ability to specify the percentage of total contents value
release of the USGS National Land Cover Database. Additionally, the vulnerability module incorporates the latest AIR view of observational data on the impact of square footage on wind losses for large, high-value homes and updates that reflect findings on the vulnerability of manufactured homes.
located at basement levels; and Expands the functionality of the model to include the ability to trigger business interruption based on content loss— not just damage to structures.
13 Risk Management Solutions, Inc. “North Atlantic Hurricane Models – Storm Surge Model Best Practices Version 15.0”, May 26, 2015 14 Verisk Analytics, Inc. Press Release—“AIR Worldwide Releases Updated Hurricane Model for the United States”, June 29, 2015
24
Insurance-Linked Securities
Europe Perils In the 12-month period ending June 30, 2015 the market for
UK ILS taskforce
catastrophe bond transactions covering Europe perils was
In the annual UK budget in March 2015, the UK Chancellor
relatively quiet with issuance limited to just three deals. A key
of the Exchequer George Osborne announced that the UK
challenge for the capital markets has been the resilience of the
government would develop a corporate and tax structure
traditional markets, which continue to offer competitive terms
that allows for issuers of insurance-linked securities, such as
on both price and coverage. Traditional pricing for top layer
catastrophe bonds, to be domiciled locally.
protections for many Europe primary programs has fallen below 2 percent—below the pricing floor we have observed in recent
In conjunction with the London Markets Group, an ILS task
catastrophe bond transactions.
force has been established with the aim of providing a working paper to the UK Treasury by the fall of this year. It will include a
In December 2014, Amlin returned to the market with its
recommendation on how to achieve the goal of encouraging ILS
second issuance from Tramline Re II Ltd. The transaction
business to London.
provides Amlin with per occurrence protection against U.S. named storms, U.S. earthquakes, and Europe windstorms
The view is that the London Market could offer the ILS market
over a four-year period. The industry index deal was upsized
significant benefits in terms of insurance infrastructure and a
to $200 million and closed below initial guidance, reinforcing
deep pool of capital and talent.
investors’ strong demand for higher yielding deals.
The UK faces competition from other European Union
In February 2015, Catlin returned to the capital markets with
jurisdictions, such as Malta and Gibraltar, that are competing
the second issuance from Galileo Re. Ltd. The transaction
for a share of the ILS market. The latter completed its first ILS
provides the sponsor with protection against U.S. named
transaction in April 2015, just 12 months after announcing its
storms, North America earthquake and Europe windstorms on
intention to become an ILS jurisdiction.
an annual aggregate basis. Finally in June 2015, Unipol-Sai Assicurazioni S.p.A. entered the catastrophe bond market for the first time with Azzurro Re I Limited. The transaction provides the insurer with per-occurrence coverage on an indemnity basis covering earthquakes occurring across western Europe. The transaction closed at the low end of guidance and was upsized to €200 million.
Table 16: Property catastrophe bond transactions covering Europe perils
Trigger
Rating
Expected loss
Initial interest spread
U.S. HU & EQ and EU Wind
Industry Index
Not rated
5.12%
9.75%
$300
U.S. HU, NA EQ, EU Wind
Industry Index
Not rated
7.93%
13.50%
€200
EU EQ
Indemnity
Not rated
0.31%
2.15%
Series
Class
Size (millions)
Covered perils
Tramline Re II Ltd.
Series 2014-1
Class A
$200
Catlin Insurance Company Ltd.
Galileo Re Ltd.
Series 2015-1
Class A
UnipolSai Assicurazioni S.p.A.
Azzurro Re I Limited
Series 2015-1
Class A
Beneficiary
Issuer
Amlin AG
Source: Aon Securities Inc.
Legend EU — Europe NA — North America U.S. — United States
EQ — Earthquake HU — Hurricane
Aon Benfield
25
Greek crisis
Model updates15,16
During 2015, we witnessed a resurgence in market volatility
Independent risk modeling firms, RMS and AIR, both introduced
across the global markets with investors’ confidence again
model updates during the first half of 2015 covering Europe.
being challenged. The drawn out uncertainty in Greece and a significant market sell-off in China contributed to a weaker
In April 2015, RMS released an updated Europe Windstorm
global economic outlook.
Model Version 15.0. Along with a new Europe windstorm
On August 11, Greece reached a third bailout deal with its
research from recent events.
international creditors. The arrangement provides up to
industry exposure database, the release incorporates data and
€86 billion in exchange for austerity measurements.
Revisions include:
Currently, the impact to the ILS market has been almost
Stochastic hazard model—the event set includes updates to
non-existent with the dedicated ILS managers relatively unconcerned by the situation. However, some underlying investors did contact their respective ILS fund to inquire about any embedded Greek exposure. Since the overhaul of cat bond collateral solutions a number of years ago, any exposure to Greece within collateral solutions has been mitigated. The ILS asset class has again demonstrated its inherently low correlation to the performance of the broader financial markets.
both frequency and severity of the events based on enhanced calibration and interpolation approaches, an improved correlation model and the addition of recent wind data. The calibration reflects the wind historical event set from 1972 to 2013 in an effort to better reflect low-frequency events; and Wind vulnerability module—vulnerability curves and occupancy relativities throughout Europe were updated. Revisions were also made to the industrial facilities model, and the post-event loss amplification model. In March 2015, AIR released its Inland Flood Model for Central Europe. AIR expanded the model beyond Germany to also include Austria, Czech Republic and Switzerland. Revisions include: Precipitation patterns’ topography, soil type, snowmelt, nonlinear dynamic soil saturation and the probabilistic modeling of man-made flood defenses; Expansion of the river network; Inclusion of secondary modifiers include the existence of a cellar (basement), the floor of interest, flood zoning and custom flood defenses; and Damage assessment for buildings (for all lines of businesses) using a component-based approach to determine damage to the building fabric, fixtures and fittings, and services.
15 Risk Management Solutions, Inc. “Executive Briefing #1 and 2: Europe Windstorm Model Version 15.0”, September 22, 2014 and February 11, 2015 16 AIR Worldwide, “Scope of Model and Software Updates: Touchstone Version 3.0 and CATRADER Version 17.0”, Summer 2015 Release
26
Insurance-Linked Securities
Asia Pacific Perils Two catastrophe bonds covering Japan earthquake risk came
In March 2015, Tokio Marine & Nichido Fire Insurance Co.
to market from repeat sponsors during the 12-month period
Ltd. (TMNF) sponsored its second earthquake indemnity
ending June 30, 2015. The seasoned sponsors have become
catastrophe bond via Kizuna Re II Ltd. The transaction is the
increasingly sophisticated in the use of catastrophe bonds—
second Japanese yen denominated catastrophe bond placement
utilizing alternative capital to optimize their overall risk transfer
and covers commercial as well as industrial exposures.
strategy. In addition, China Property and Casualty Reinsurance
The Series 2015-1 notes provide TMNF with ¥35 billion of
Company (China Re) tapped the market with its first catastrophe
earthquake coverage for four years in exchange for a 2.00
bond, covering its earthquake book of business.
percent interest spread. Investor demand allowed TMNF to
In December 2014, the National Mutual Insurance Federation of Agricultural Cooperatives (Zenkyoren) secured an additional $375 million in coverage via Nakama Re Ltd. Zenkyoren is one of the largest buyers of vertical catastrophe reinsurance protection
increase the marketed size by 40 percent. Designed to protect against remote events, the Series 2015-1 transaction secured an investment grade rating “BBB-” from S&P—the first for a property catastrophe bond since 2008.
in the world. The Series 2014-2 issuance followed on the heels of
In July 2015, China Re sponsored its first catastrophe bond.
the $300 million Series 2014-1 issuance in May. The placement
Panda Re Ltd. Series 2015-1 (Panda Re) provides the sponsor
included a per occurrence and aggregate tranche, with risk
with $50 million in coverage for earthquakes across the
periods of four and five years, respectively. Each class of notes,
mainland of the People’s Republic of China (Hong Kong and
originally marketed at $100 million, was subsequently upsized to
Macau are excluded). Panda Re, which provides indemnity
$175 million for the Class 1 notes and $200 million for the Class
protection, closed with 4.05 percent risk spread and represents
2 notes. The Class 2 notes provide unique coverage through the
continued evolution of the ILS market with this new peril.
innovative floating three-year term aggregate structure. With this latest transaction, the total issuance under the Nakama Re Ltd. program has reached $975 million.
Table 17: Property catastrophe bonds covering Asia Pacific perils
Beneficiary
Issuer
National Mutual Insurance Federation of Agricultural Cooperatives
Nakama Re Ltd.
Tokio Marine & Nichido Fire Insurance Co., Ltd.
Kizuna Re II Ltd.
Münchener RückversicherungsGesellschaft Aktiengesellschaft
Queen Street X Re Limited
Source: Aon Securities Inc.
Series
Class
Size (millions)
Class 1
$175
Series 2014-2
Series 2015-1
Covered perils
JP EQ
Trigger
Rating
Expected loss
Initial interest spread
Not rated
0.58%
2.13%
Not rated
0.70%
2.88%
Indemnity
Class 2
$200
Class A
¥35,000
JP EQ
Indemnity
BB- (S&P)
0.02%
2.00%
$100
U.S. HU, AUS CY
Industry index and modeled loss
Not rated
2.72%
5.75%
Legend AUS — Australia JP — Japan U.S. — United States
CY — Cyclone EQ — Earthquake HU — Hurricane
Aon Benfield
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Loss activity17 Overall economic and insured losses from natural disaster
Elsewhere, China endured Super Typhoon Rammasun which
activity in Asia Pacific were below average in 2014, which was a
was the costliest global tropical cyclone of the year. Damage
reversal from 2013 (slightly above the 10-year norm). The losses
was listed at $7.2 billion. In Australia, Cyclone Ita made landfall
in 2014 remain considerably lower than what was registered
in Queensland and caused $1.0 billion in damage. Most of
during the record-breaking year of 2011. One consistent
the sustained damage affected the agriculture industry. In the
story in Asia Pacific surrounds the large disparity between the
greater Brisbane metro region, a severe November hailstorm left
overall economic loss total and what percentage is covered
insured losses beyond $1.0 billion.
by insurance. The very high percentage of uninsured damage further highlights the low levels of insurance penetration in
April 1, 2015 reinsurance renewals
Asia Pacific, and particularly in regions that are often the most
Overall, the April 1 reinsurance renewal period concluded
vulnerable to significant natural catastrophes.
in line with expectations. The influx of alternative capital continued to play a role in the market’s softening. This was
The costliest insured event in Asia Pacific during 2014 occurred
witnessed on both earthquake and wind programs, despite the
in Japan. A series of powerful snowstorms left the heaviest
adverse development of the February 2014 winter weather loss.
accumulations in more than 45 years throughout several
In Japan, although it is currently limited, the use of collateralized
prefectures, including the greater Tokyo metropolitan region.
reinsurance continues to gradually increase.
The heavy weight of the snow and ice caused trees to snap and roofs to collapse, causing extensive damage to residential and commercial properties in addition to agricultural interests. Total insured losses were at least $2.5 billion, making this the fourthcostliest event in the Japanese insurance industry’s history.
Table 18: Top five most significant events in Asia Pacific in 2014 Date(s)
Event
September 2-15
Flooding
Location
Economic loss (billions)
Insured loss (millions)
India, Pakistan
$18
$700
October 12-14
Cyclone Hudhud
India
$11
$650
July 15-20
Super Typhoon Rammasun
China, Philippines, Vietnam
$7.2
$300
February 8-16
Winter Weather
Japan
$5.0
$2,500
August 3
Earthquake
China
$3.3
$150
Source: Impact Forecasting’s 2014 Annual Global Climate and Catastrophe Report
17
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Impact Forecasting’s 2014 Annual Global Climate and Catastrophe Report, dated January 2015
Insurance-Linked Securities
Life and Health Perils Extreme mortality and health catastrophe bonds
Embedded value securitizations
In the 12 months ending June 30, 2015, two non-property
In December 2014, Reinsurance Group of America (RGA)
catastrophe bonds came to market. ILS investors continue to
raised $300 million in an embedded value securitization via its
show strong demand for these types of diversifying risks. There
subsidiary Chesterfield Financial Holdings. The notes cover a
is currently over $1.5 billion in outstanding risk across health,
closed book of U.S. life insurance policies assumed by RGA Re
extreme mortality and longevity risks.
between 2006 and 2010, consisting of around 600 reinsurance
In January 2015, Aetna Life Insurance Company (Aetna) continued its trend of annual issuance with the latest Vitality Re offering. Vitality Re VI provides Aetna with $200 million in capital for three years. Similar to prior issuances, the transaction covers an increase in the medical benefit ratio (MBR) of certain commercial group health insurance policies. The notes
treaties covering over 100 separate life insurance groups. Investors received a fixed coupon of 4.50 percent for the notes, which secured an “A-” rating from S&P. The notes are expected to have an average life of 4.7 years based on independent modeling. Investors included a mixture of insurance companies and ILS funds18.
are issued via Aetna’s Vermont-based captive and provides
In January 2015, Aurigen Capital Limited (Aurigen) issued a
significant capital benefit to the cedant. Investors were again
CAD210 million embedded value securitization via Valins I
offered two classes of notes, with the more remote Class A
Limited. A portion of the proceeds was used to fully redeem
notes securing an investment grade rating of “BBB+” from S&P.
Aurigen’s Vecta I notes—issued in December 2011 for a coupon of
The $140 million Class A notes closed with a coupon of 1.75
8.00 percent. The latest notes, which are unrated, have a six-year
percent—the same coupon as a similar class issued in 2014. The
term and a coupon of three-month CDOR + 3.65 percent. The
$60 million Class B notes, which has an MBR attachment level
block of business includes 26 Canadian life reinsurance treaties
of 94 percent, closed with a coupon 2.10 percent. This reflects
written by Aurigen Reinsurance Limited between 2008 and 2013,
a decrease of 16 percent compared to the 2014 Class B notes,
covering business from 12 life insurers. According to Aurigen,
which were also more remote with an MBR attachment level of
the structure provides flexibility to add future new business and
96 percent.
continuous access to capital funding to support its growth19.
AXA Global Life returned to the life capital markets for the first
Longevity swaps / insurance
time since Osiris Capital plc in 2006. The new issuance, Benu
Defined benefit pension plans in the UK, parts of Western
Capital Limited, is the largest Euro-denominated ILS transaction
Europe, and now Canada continued to de-risk their liabilities
since the fourth quarter of 2013 and the second largest
by entering into longevity hedges. This involves passing on the
such on record. The extreme mortality transaction provides
risk that the firms’ pension plan population lives longer than
coverage across two tranches, each linked to France, Japan,
currently expected. The transfer can take place via a swap or in
and U.S. mortality. The five-year transaction utilized one-year
the form of (re)insurance via a captive or intermediary.
measurement periods, rather than the more typical two-year measurement periods seen in excess mortality transactions.
On the condition of the market, Martin Bird, senior partner and
The one-year measurement periods incorporate one-year
head of risk settlement at Aon Hewitt said: “The longevity swap
Attachment Levels. This was structured to ensure utility from the
market may well be perceived as having been rather stop-start.
final year which otherwise encourages exercising an early call.
But today, with over £50 billion of risk successfully transferred to the reinsurance market, the outlook is very different. The reinsurance market remains buoyant and is keen to capitalize on the investments made in terms of building capability and resource, in order to price, structure and execute deals. We see no shortage of capacity and can already see a deal flow of more than £20 billion during 2015.”
18 Press release from Reinsurance Group of America dated December 16, 2014 19 Press released from Aurigen Capital Limited dated January 15, 2015
Aon Benfield
29
He continued: “Innovation is also happening at the smaller end
Some investors are gathering assets in the fixed annuities
of the market. While there have been a number of ‘mega deals’,
business. Since costs for fixed annuities are generally fixed,
this may not be indicative of where the market is going next.
enhanced returns can be achieved from a wider spread between
After all, there are many more smaller-sized pension schemes
investment returns. In August 2014, Knighthead Annuity and Life
looking to de-risk and increase stability, so the significant
Assurance Company was launched by hedge fund Knighthead
interest for longevity risk from the reinsurance market is trickling
Capital Management, which specializes in distressed debt and
down into that territory. Deals of around £50 million are being
event-driven equity. The annuity company was capitalized with
priced and analyzed—a classic example of how smaller schemes
around $220 million in equity and received an A.M. Best rating of
can capitalize on the knowledge gained from the big deals.”
“B++” in March 2015.
Delta Lloyd entered into two longevity swaps over the past 12 months with Reinsurance Group of America to hedge €24 billion of underlying longevity reserves. Both swaps are structured as a derivative using Dutch population mortality results. The June 2015 swap has a duration of eight years, compared to six years for the August 2014 transaction. These swaps are part of an increase in the transfer of longevity risk by European companies in the wake of Solvency II.
In January 2015, Athene Holdings, a (re)insurer supported by Apollo Global Management, announced the acquisition of Delta Lloyd Deutschland AG. This added around €4.3 billion of assets onto its balance sheet. Nassau Reinsurance Group was launched in May 2015, supported by $750 million from Golden Gate Capital, a private equity firm. The group, which intends to seek a rating to meet its growth objectives, is focused on life, annuity, and long-term care sectors.
Table 19: Publicly disclosed longevity transactions since July 2014 Pension plan
Provider
Size
Date
Form
BT Pension Scheme
Prudential Insurance Company of America
£16bn
Jul-14
(Re)insurance20
AXA France
Hannover Re
Rothesay Life
Prudential Retirement Insurance and Annuity Company
€750mn
Aug-14
Swap
$1.7bn
Aug-14
Reinsurance
PGL Pension Scheme
Phoenix Life
£900m
Aug-14
Swap & Reinsurance21
Delta Lloyd Levensverzekering
RGA Re
€12bn
Aug-14
Swap
Legal & General Group
Prudential Retirement Insurance and Annuity Company
$2.2bn
Oct-14
Reinsurance
Rothesay Life
Pacific Life Re
£1bn+
Dec-14
Reinsurance
Merchant Navy Officers Pension Fund
Pacific Life Re
£1.5bn
Jan-15
(Re)insurance22
Rothesay Life
Prudential Retirement Insurance and Annuity Company
$450m
Jan-15
Reinsurance
ScottishPower U.K. Pension Scheme
Abbey Life Assurance Company
BCE (Bell Canada Pension Plan)
Sun Life Assurance Company of Canada
Pension Insurance Corporation
Prudential Insurance Company of America
Delta Lloyd Levensverzekering
~£2bn
Feb-15
Swap
CAD$5bn
Mar-15
(Re)insurance23
Undisclosed
Apr-15
Reinsurance
Reinsurance Group of America
€12bn
Jun-15
Swap
Pension Insurance Corporation
Prudential Insurance Company of America
£1.6bn
Jun-15
Reinsurance
AXA U.K. Group Pension Scheme
Reinsurance Group of America
£2.8bn
Jul-15
Swap
Source: Company press releases
20 21 22 23
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BT Pension scheme transferred longevity risk to a wholly owned company, which acts as an intermediary with reinsurer Prudential Insurance Company of America Phoenix Life Limited is owned by the sponsor, Phoenix Group, and will act as an intermediary between the scheme and reinsurers Structured as an insurance agreement between MNOPF and MNOPF IC Limited (a specially established Guernsey company), and a reinsurance agreement between MNOPF IC Limited and Pacific Life Re Sun Life will reinsure a portion of the longevity risk to RGA Canada and SCOR Global Life
Insurance-Linked Securities
A Market Discussion with ILS Investors A panel interview hosted by Aon Securities Aon Securities recently discussed a number of topics on the ILS market with five active investors. The conversation, transcribed in this section, provides insight into their views and aspirations for the market as a whole. Our panel included: John DeCaro—Founding Principal, Elementum Advisors Adolfo Pena—Principal, Nephila Capital Caleb Wong—Portfolio Manager, Oppenheimer Funds Inc., Global Asset Management Chin Liu—Vice President and Portfolio Manager, Pioneer Investments Dirk Lohmann—Chief Executive Officer and Managing Partner, Secquaero Advisors AC.
Aon Benfield
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John DeCaro—Elementum Advisors Founding Principal
1. Please provide an overview of your firm and your role I am a Founding Principal and lead portfolio manager for catastrophe bond investments at Elementum Advisors.
5. There’s been plenty of news coverage recently on Greece’s issues with debt and potential Eurozone exit. Do you see the financial markets impacting the ILS market?
Founded in 2009, Elementum is a leading investment
Definitely. During the third phase of Quantitative Easing by
manager in the collateralized reinsurance and catastrophe
the Fed (9/13/12 to 10/31/14), the catastrophe bond market
bond space.
grew by 48 percent while the market spread declined by 254 bps. We believe that the global decline in yields
2. Where are you finding alternative investment opportunities in today’s markets?
spurred incremental investments into the ILS market and drove risk spreads materially lower. We believe that while
We have identified several unique investment opportunities
meaningful capital is invested in ILS for diversification
within the past 18 months to provide meaningful capacity
reasons, the marginal investment is impacted by the returns
directly to selected counterparties facing specific needs
in other financial markets. Over the past few years, the ILS
resulting from regulatory or rating agency actions.
market looked attractive on a relative basis. This will not
These opportunities have been less sensitive to overall
always be the case.
market conditions.
3. How has your decision-making process for ILS investments impacted your AUM? We deliberately attempt to match our AUM growth with
We focus exclusively on natural catastrophe risks, so our
our ability to appropriately invest in accordance with client
hypothetical portfolio would consist largely of risks in peak
investment objectives. As we deepened our understanding
zones with significant capacity needs. We would consider
of client interests and found broader investment
blending in smaller positions in non-peak areas where robust
opportunities, we have been able to grow our AUM.
catastrophe models exist. We are generally indifferent to the
4. The ILS market has provided sponsors with broader coverage in the last couple of years (e.g. perils, types of risk, indemnity provisions). a. Do you think this is a natural evolution based on better understanding of the covered risks? To a certain extent, yes. We would posit that an equally meaningful driver has been the natural expansion of terms and conditions resulting from an excess of capital seeking yield. b. What new segments of (re)insurance will be supported by alternative capital next? That’s a very difficult question to answer. Given the abundance of capacity across virtually every line of reinsurance, we believe that it’s more likely that alternative capital will simply flow back into the markets most affected by the next major catastrophe loss event.
32
6. If you could put together a hypothetical portfolio, what types of risks, geographies and sponsors would you consider?
Insurance-Linked Securities
type of sponsor as long as there is sufficient transparency of the underlying portfolio of risks we are assuming and we feel like we can perform adequate counterparty due diligence.
7. Did you download the movie “The Interview”? How do the risk transfer markets cover a growing global epidemic of cyber attacks? I did not. The traditional reinsurance markets are best suited to be the primary providers of specialized, non-commodity types of insurance coverages such as cyber and terrorism risk.
Adolfo Pena—Nephila Capital Principal
1. Please provide an overview of your firm and your role Nephila Capital Ltd is a leading investment manager specializing in reinsurance risk, and is the largest institutional asset manager of investment funds dedicated to natural catastrophe and weather risk. Nephila offers a broad range of investment products focusing on instruments such as insurance-linked securities, catastrophe bonds, insurance swaps, and weather derivatives. Nephila has assets under management of approximately $9.5 billion as of June 30, 2015 and has been managing institutional assets in this space since it was founded in 1998. The firm has over 100 employees based in Bermuda (headquarters); San Francisco, CA; Nashville, TN; and London. My role within Nephila is the Chairman of the Investment and Allocations committee which is the equivalent to the Chief Underwriting Officer in a reinsurance company or the Chief Investment Officer in a hedge fund. I oversee risk pricing, portfolio construction and trading strategy on behalf of our investors.
2. Where are you finding alternative investment opportunities in today’s markets? Nephila’s investment strategy focuses exclusively on
4. The ILS market has provided sponsors with broader coverage in the last couple of years (e.g. perils, types of risk, indemnity provisions). a. Do you think this is a natural evolution based on better understanding of the covered risks? By ILS I assume we are talking about catastrophe bonds here. So yes, catastrophe bonds came to the market as an alternative to the traditional reinsurance product and it is just natural, as investors become more familiar with the asset class, that catastrophe bonds become more like reinsurance. The original parametric deals were issued as a way for the pioneer investors in the asset class to get comfortable with the risk and as they become more familiar with reinsurance the market has migrated to indemnity; that being said, the one type of coverage were indemnity is still not appropriate is retrocessional coverage: the opacity of the portfolios and information asymmetry between the issuer and the ultimate holder of the risk is too great to use an indemnity trigger, so we believe that that type of risk transfer is more safely assumed on a parametric basis. b. What new segments of (re)insurance will be supported by alternative capital next?
catastrophe and weather risk so we are a specialist in the
Hard to tell. We focus on catastrophe and weather risk that
space and we don’t look at other alternatives.
isn’t fully supported by the reinsurance market so to the extent that there is a shortage of capital to service a certain
3. How has your decision-making process for ILS investments impacted your AUM? Nephila had significant growth between 2008 and 2013 as the asset class gained acceptance with institutional investors. Nephila has remained for the most part closed to new investments since 2013 as we don’t see the need to bring
segment, you can expect alternative capital to fill the void.
5. There’s been plenty of news coverage recently on Greece’s issues with debt and potential Eurozone exit. Do you see the financial markets impacting the ILS market?
more capital into the current reinsurance market. We have
Not really. That being said, in our market as in any other
seen new investors come in while older investors reduce their
market, there are opportunistic players and long term players;
allocations to the space but overall our AUM has remained
to the extent that the Eurozone crisis creates more attractive
flat over the past 30 months and we intend to keep it this way
opportunities elsewhere you can expect some investors
until we can find new opportunities to deploy capital.
to redeploy the capital currently invested in ILS into these opportunities. Another unlikely scenario is that the crisis worsens to such extent that investors have to retrieve the capital deployed to ILS to cover shortfalls elsewhere; we lived this situation in 2008 and it just proved the non-correlation argument we had been making, prompting investors to allocate even more capital to ILS once the immediate shock of the crisis passed. Aon Benfield
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Caleb Wong—Oppenheimer Funds Inc. Global Asset Management Portfolio Manager
6. If you could put together a hypothetical portfolio, what types of risks, geographies a nd sponsors would you consider? At Nephila we believe that capital should go to where it’s needed. As such, there should be ways for societies in general to transfer risk to the market. At Nephila we talk a lot about the concept of unmet demand—where there is a lot of catastrophe risk that is being held by actors that would be better off transferring risk: property owners holding earthquake risk due to low insurance penetration rates in California; government entities insuring large segments of the population; state governments being implicitly dependent on the federal government for disaster recovery and reconstruction; sovereign governments assuming catastrophe and weather risk. All of the above are risks that we would like to put into a hypothetical portfolio. At Nephila we spend a significant amount of effort trying to devise solutions for all of the above and overall, we have been successful in helping shape such risk transfer mechanisms.
7. Did you download the movie “The Interview”? How do the risk transfer markets cover a growing global epidemic of cyber-attacks? No, I didn’t download the movie. As mentioned above at Nephila we focus on catastrophe risk. For now it seems like transfer of cyber risk is well handled by the market and there is no need for alternative forms of capital to step in. To the extent that there is an industry need and we develop clear ways to evaluate and price cyber risk we could consider offering that coverage.
1. Please provide an overview of your firm and your role OFI Global Asset Management is built upon the heritage of OppenheimerFunds, and over five decades of global investing. As of June 30, 2015, it has $234.4 billion in assets under management. The firm offers a full range of investment solutions across equity, fixed income and alternative asset classes. OFI Global Asset Management consists of OppenheimerFunds, Inc. and certain of its advisory subsidiaries, including OFI Global Asset Management, Inc., OFI Global Institutional, Inc., OFI SteelPath, Inc. and OFI Global Trust Company. I am responsible for OFI Global’s portfolio management capabilities in the insurance linked securities markets. We invest primarily in the 144a catastrophe bond market and have been active in this market since the asset class’s inception in the late 1990s. At OFI Global, we combine highly specialized quantitative portfolio management with intensive credit analysis to implement value added risk-return profile for our catastrophe bond investments.
2. Where are you finding alternative investment opportunities in today’s markets? We continue to believe that the insurance linked securities markets offer alternative investment opportunities for investors. There are three reasons: (1) the sector continues to exhibit low correlation properties with traditional and alternative asset classes, including equities, traditional fixed income, real estate, to name a few; (2) the return/risk reward is comparable to traditional fixed income securities with default features, including high yield; (3) the insurance linked market continues to grow as it reflects an ongoing transformation of the traditional reinsurance market.
3. How has your decision-making process for ILS investments impacted your AUM? We have deployed ILS investments within our mutual fund and institutional accounts. We believe that our investments have enabled us to highlight and provide value-added returns for our clients and further differentiate our product lines, thus leading to AUM growth.
34
Insurance-Linked Securities
4. The ILS market has provided sponsors with broader coverage in the last couple of years (e.g. perils, types of risk, indemnity provisions). a. Do you think this is a natural evolution based on better understanding of the covered risks?
6. If you could put together a hypothetical portfolio, what types of risks, geographies and sponsors would you consider? In our investment process, we deploy a quantitative portfolio construction process to manage the peril and geographical risks of the catastrophe bond market. As it is well known
ILS investors continue to have access to improved modeling
today, the ILS and catastrophe bond markets continue to be
technology and investors with traditional reinsurance
highly concentrated in peril-regions where there is structural
backgrounds are entering the asset management side. The
demand for insurance. Florida is the best example as home
two trends have allowed dedicated ILS funds to elevate their
owners are required by law to have homeowners insurance
capability such that they are able to evaluate and invest in
against hurricane events. At the same time, there are a
securities with varying forms of reinsurance risks.
great number of perils and regions where insurance and reinsurance are not well-developed for economic, political
b. What new segments of (re)insurance will be supported by alternative capital next? We believe that the capital markets will have a greater level of role in specialized reinsurance markets. Again, the evolution reflects the continued convergence of capital markets and traditional reinsurance.
5. There’s been plenty of news coverage recently on Greece’s issues with debt and potential Eurozone exit. Do you see the financial markets impacting the ILS market? I do not believe that the current Greek debt crisis and its possible impact to the European Union will have as much impact on the ILS market as it would with traditional asset markets. On the other hand, I believe that in a scenario where
and cultural reasons. An ideal portfolio would have exposure in peak perils such as U.S. windstorm and earthquake but also diversify into risks that impact other parts of the world yet to be introduced to the ILS marketplace.
7. Did you download the movie “The Interview”? How do the risk transfer markets cover a growing global epidemic of cyber attacks? I have not had the opportunity to see “The Interview” but I do recognize the growing demand for insurance against cyber-attack. I believe that the risk transfer markets will continue to service this growing market and that there will be efforts and investment toward measuring this risk so that the broad audience of capital providers in the insurance and reinsurance market place will be willing to take on this risk.
if Greece were to exit the European Union, it could impact the ILS and reinsurance market in a couple ways. First, if the exit were to negatively impact the Euro currency, then ILS securities denominated in that currency will be immediately affected. It is important to note that investors can remedy this risk by hedging the currency with their home currency. Second, ILS securities with collateral in European short-term investments, such as notes issued by the European Bank for Reconstruction and Development (EBRD), could face credit rating changes, triggering provisions requiring that the collateral be re-invested. While reinvestment would be a nonevent, I would foresee some modest pricing impact on the ILS securities as the market prices any uncertainty involving collateral conversion. Finally, there is the longer term impact of a Greek exit—especially one that triggers a collapse of the European Union—on insurance and reinsurance markets in Europe. It is unclear how it could unfold but we believe that the ILS market would benefit in outcomes where there is a greater demand for reinsurance that arises from the collapse of a currency union. Aon Benfield
35
Chin Liu—Pioneer Investments Vice President and Portfolio Manager
1. Please provide an overview of your firm and your role Pioneer Investments is a global asset manager with about €220bn under management. Charles Melchreit is a Senior Vice President, Director of Investment Grade Management, and Portfolio Manager. Chin Liu is a Vice President and Portfolio Manager. Together they are responsible for the management of Pioneer’s ILS positions. Supported by a team that includes analysts from Risk Modeling and Risk Management, Credit Research, and Equity Research, they determine ILS risk allocations and source new deals for all of Pioneer’s Boston-based portfolios.
2. Where are you finding alternative investment opportunities in today’s markets? In our mind, there are multiple approaches to alternative
4. The ILS market has provided sponsors with broader coverage in the last couple of years (e.g. perils, types of risk, indemnity provisions). a. Do you think this is a natural evolution based on better understanding of the covered risks? Yes, we think so. New infrastructure and technology help cedants gather portfolio information and aggregate risks much more efficiently. Catastrophe modeling firms have continuously improved their models, incorporating the latest research. It provides more transparent analytics for investors. Given the demand for more supply of diversifying assets and a better-educated investor base, it is a natural evolution. b. What new segments of (re)insurance will be supported by alternative capital next?
investing. One is alternative investment strategies that seek
The continued increase in knowledge of, and comfort with,
uncorrelated returns versus traditional asset classes, such as
insurance risk within the alternative capital community will
long-short fixed-income; another is alternative asset classes
drive a higher demand for diversifying elements in deals.
such as REITs, commodities and ILS. As valuation of the
Within the property space, investors may look to expand the
general financial market gets more and more expensive,
risk into the primary insurance lines or risk associated with
investors are looking to diversify their portfolios and seeking
developing countries. We may also observe increase support
non-correlated returns. ILS fits investors’ need very well. We
of non-property catastrophe risks, such as aviation, marine,
think ILS is a very attractive allocation within our multi-sector
and agriculture.
portfolios. Unlike many alternative asset classes or strategies, we find that the ILS sector is characterized by relatively transparent, measurable risks, and in contrast to financial market risks, these exhibit relative intertemporal stability.
3. How has your decision-making process for ILS investments impacted your AUM? Not applicable.
5. There’s been plenty of news coverage recently on Greece’s issues with debt and potential Eurozone exit. Do you see the financial markets impacting the ILS market? Not in the short term. We believe the ILS market is very much independent of financial markets. Current ILS investors are in the market for the long term. However, after a massive loss in the financial markets, there could be many attractive investment opportunities as financial risk reprices. Crossover investors may therefore demand higher return potential from the ILS market as their potential investment returns in other markets become more compelling.
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Insurance-Linked Securities
Dirk Lohmann—Secquaero Advisors AG Chief Executive Officer and Managing Partner
6. If you could put together a hypothetical portfolio, what types of risks, geographies and sponsors would you consider? The current ILS market is at a soft point during the reinsurance cycle. The risk curve has flattened. Investors are not being compensated by owning significant risks down the risk tower.
1. Please provide an overview of your firm and your role Secquaero Advisors Ltd. is a specialist advisory firm in the areas of Insurance Linked Securities and Risk Management for (re)insurers.
Therefore, this is a time to stay defensive and disciplined. We
As an Insurance Linked Securities (ILS) specialist, we provide
would be looking to reduce portfolio risks by taking more
investment solutions to clients seeking exposure to insurance
remote risks, improving portfolio diversification, providing
linked risk assets within their portfolio. We are the exclusive
coverage to larger cedants or seeking index-driven deals, and
ILS investment advisor to Schroder Investment Management
avoiding transactions with adverse selection.
(Switzerland) AG which acts as investment manager for a
7. Did you download the movie “The Interview”? How do the risk transfer markets cover a growing global epidemic of cyber-attacks? No, I did not download the movie. Actually, I have not watched the movie yet. However, I am aware of the incident. Cyber risks have been discussed quite a lot these days. At this moment, we are still waiting for a few developments before we can fully evaluate the risk. First, some legal and regulatory development is a prerequisite for insurers and investors to better specify the coverage and identify the potential liabilities and losses. Second, there needs to be a systematic
range of ILS funds and mandates that cover a spectrum from pure catastrophe bond mandates to all ILS solutions which can include life transactions or man-made risk. Secquaero is majority-owned by its founders and employees. Schroder International Holdings Ltd. holds an equity stake in Secquaero since June 2013. Through our cooperation with Schroder Investment Management, Secquaero is able to provide its clients with the regulatory, governance and compliance framework needed for an institutional product offering focused on alternative reinsurance business including collateralized reinsurance.
approach to model and analyze the potential losses, as we do
At Secquaero we have a team of 14 professionals stemming
not have much historical loss information in this area.
from the reinsurance industry, complemented by 8
Lastly, a demand surge from protection buyers creating
professionals at the Schroders ILS desk which, for all intents
attractive return profiles will be needed to motivate investors
and purposes, operates as one integrated team. My role
to invest in the required research before allocating capital.
as Chairman and CEO of Secquaero is primarily focused
Rather than cyber risk being another peril represented in the risk transfer markets alongside traditional risks, it seems more likely that we will see the emergence of a specialized engineering/insurance discipline evolve to
on product development and origination of underwriting opportunities for the funds that we advise.
2. Where are you finding alternative investment opportunities in today’s markets?
support this risk-taking. An analogy here might be the
The team at Secquaero bring decades of reinsurance industry
development of the steam boiler insurance industry in
experience to the table and have established relationships
the 1860s, where companies provided both engineering
with many market participants. As a consequence, generating
services to mitigate risk and insurance services to protect
deal flow per se is not that great a problem. Our ability to
against unavoidable risks.
look beyond simple catastrophe model outputs and to quote complex risks, structure and execute private or syndicated transactions developed entirely from a clean sheet to meet a sponsor’s needs generates opportunities outside of the narrowly defined property catastrophe field.
Aon Benfield
37
One area that we are looking to further develop is what I
community which was confirmed when the combined team
would classify as portfolio linked securitizations as opposed
won the ILS Investor of the Year award at this year’s Trading
to event driven securitizations. These could be in the area of
Risk Awards dinner.
financing the future profits of a block of in-force life insurance policies (Value of In-Force) or potentially in providing capital relief on broadly defined portfolios in a solvency or regulatory capital context.
3. How has your decision-making process for ILS investments impacted your AUM? Early in the company’s development it actually hindered our growth in assets. That was because our first fund was an unconstrained ILS fund that could entertain all classes of insurance risk, both on an event or a portfolio based securitization and including life as well as non-life catastrophe exposures. It turned out that this was perhaps a bit ahead of its time as most investors initially wanted a catastrophe only product. In the interim, we have broadened our range of fund offerings so that we can offer a full range of styles. Interestingly, now the unconstrained “All ILS” strategy is beginning to find more favor with investors, particularly those who have already been in the catastrophe space for a longer period of time and are now beginning to appreciate the appeal of being able to capture other opportunities outside of catastrophe risk, which has become an increasingly crowded space.
4. The ILS market has provided sponsors with broader coverage in the last couple of years (e.g. perils, types of risk, indemnity provisions). a. Do you think this is a natural evolution based on better understanding of the covered risks? I think that it is a development driven by the increasing importance of specialist managers in the space. Prior to 2009 the market from a capacity perspective was dominated by multi-strat hedge funds as opposed to dedicated ILS managers. The dedicated managers have drawn the bulk of their staff from the reinsurance industry and bring with them a far greater familiarity of the customs and practice in the reinsurance industry as well as the needs of the ceding insurers / sponsors. Having said that, I am also somewhat concerned when I see transactions offering the sponsor elements of optionality, such as variable resets or call features and early funding without any compensation to the investor for granting these. b. What new segments of (re)insurance will be supported by alternative capital next? Conceptually I think there are a number of areas where
38
I also am convinced that our decision to link up with
alternative capital might be employed. The key issue is
Schroders as a partner was critical to our growth in AUM.
that the structure and risks covered must be ones that
Before linking up with Schroders we faced an uphill battle
meet the needs of a collateralized market and support the
in winning mandates from larger institutional clients. As
fundamental value proposition supporting an allocation
a small boutique we ended up spending a lot of time
to this alternative asset. With respect to structure, the key
educating potential investors on the benefits of investing in
constraint is the need for certainty as to whether collateral
ILS only to see them allocate to a larger institutional branded
supporting a given transaction is impaired by losses or not.
peer. Through our alliance with Schroders we now offer a
The individual transactions are usually unlevered, unlike the
fully compliant framework that meets the needs of a large
balance sheet of a traditional reinsurer, so we can only earn
institutional client and this is what I think it takes given the
a risk premium when the collateral is unencumbered and
increasing regulatory requirements and growing involvement
free to be redeployed to support new risk once an existing
of institutional investors in this asset class. I would add
risk has expired. This gets tricky for longer tail insurance
that the link-up with Schroders has not had an impact on
classes and can only be resolved by agreeing some form
our assessment or decision making process on individual
of crystallization of incurred losses that allows for a quick
transactions. Rather, it has relieved Secquaero from much of
discovery of whether the collateral is impaired or not.
the “burden” associated with managing a fund in terms of
This makes liability exposures on a per risk or per event
compliance, mid/back-office, admin, trading and increased
basis challenging. On the other hand, one could consider
our ability to entertain new opportunities with a meaningful
protections on a portfolio basis using aggregate structures,
capacity to move the market forward. Together the combined
provided the both parties are willing to consider an accident
team has become a meaningful participant in the ILS
year basis for determining the performance.
Insurance-Linked Securities
With respect to my second point, that the risks covered
Interestingly, the Catastrophe Bond market has been
support the fundamental value proposition of allocating to
experiencing a modest degree of spread widening since
insurance risk as an asset class, I need to stress the point that
about mid-October last year when looking at movements
the key selling point of insurance risk is its low correlation to
in the secondary prices for outstanding bonds. This has had
other financial risk assets. This means that the line of insurance
a dampening impact on performance and AUM growth
subject to the transaction should not be influenced by, or
particularly during the latter part of the first half of 2015.
strongly correlate with, macro-economic trends or market
During the second quarter we have also witnessed a reversal
risk. In my opinion this rules out classes such as mortgage
in the trend for long term bond yields which began increasing
insurance, credit and surety, certain lines of professional
in early May. This shift has begun to make its mark in the
liability (i.e. Bankers E&O / D&O) and possibly also cyber and
investment returns of many reinsurers second quarter results
terror on a stand-alone basis. On cyber and terror I am just
and it will be interesting to see whether the drop in reported
not sure whether one can credibly argue that a major event
earnings in an environment of otherwise low catastrophe
that would potentially impact ILS investors would not also
losses will stiffen the resolve of reinsurance markets come the
have repercussions on financial markets. Another challenge
next renewal.
with these two exposures is that we also represent to our investor clients that we understand and can price the risk. Here I remain skeptical as to whether there is really sufficient data available to do this.
6. If you could put together a hypothetical portfolio, what types of risks, geographies and sponsors would you consider? My idea of an ideal portfolio would include a mix of
5. There’s been plenty of news coverage recently on Greece’s issues with debt and potential Eurozone exit. Do you see the financial markets impacting the ILS market?
catastrophe and non-catastrophe risks, which could also include portfolio based securitizations in addition to event driven transactions. Adding non-catastrophe and portfolio based transaction would add diversification and ameliorate
I think it is fair to say that fiscal policy (whether you call it QE
the inherent tail heavy risk contained in a catastrophe only
or financial repression) post 2008 and ensuing Euro Crisis has
portfolio. The portfolio based transactions could be on life
had an impact in that it has inflated the price of all financial
(Value of In-Force financing) and for non-life may include
assets and potentially pushed some investors into the space in
protections on movements in reserves to address capital /
the search for yield. Probably more important though was the
solvency related issues. The key challenge will be to get such
impact on traditional reinsurers; there unrealized capital gains
deals structured in a manner which allows a capital market
expanded as yields dropped resulting in a substantial increase
investor the ability to achieve certainty with respect to a
in available capital. The persistently low yields on high quality
potential impairment of his collateral, so that free collateral
government bonds (U.S. treasuries and German Bunds) have
can be redeployed quickly. On that catastrophe side, my wish
resulted in lower ROE hurdles for the reinsurers since these are
would be for more geographies, such as Latin America, Asia
typically expressed as a spread (i.e. 750 bps) over a reference
and even Europe to be included in the portfolio to diversify
risk free rate (rolling average of 5 year governments). This
against the peak U.S. exposures, but realistically I feel that
increase in capital, coupled with lower absolute return hurdles
chances for finding diversification at reasonable returns are
and a low level of catastrophe losses over the past several
greater in the non-catastrophe portfolio based transactions
years has put immense pressure on prices and has also been
than they are in non-peak catastrophe risk. Pricing today on
reflected in the ILS market where spreads have compressed
most non-peak catastrophe is simply too competitive to write
considerably from their peaks in 2009.
on a stand-alone basis and buying expensive non-peak risk simply for diversification doesn’t make sense.
Aon Benfield
39
7. Did you download the movie “The Interview”? How do the risk transfer markets cover a growing global epidemic of cyber attacks? No, I did not, but I did read about the attack on Sony Pictures Entertainment and the consequences it had with respect to how the film ultimately made its way to the public. The issue of cyber risk and the potential damage that these can unleash on the impacted entities or economies are truly concerning. It appears that this is one area where Hollywood’s fantasies can hardly stay ahead of reality. Only a few months ago I saw a documentary about the potential weaknesses in the cyber security of automobiles and now we read about Chrysler and other manufacturers having to recall their vehicles for a security patch. I’m a big fan of Bruce Willis and the “Die Hard” series, but what is scary is that many of the scenes in Die Hard 4.0 are probably not all that far from the truth. The so-called internet of things has resulted in an interconnected world where the potential for wide spread contagion and resulting damage is huge. As I stated previously, I question whether there is sufficient data available to properly price this risk today.
40
Insurance-Linked Securities
Appendix I Catastrophe Bond Issuance Statistics As of June 30, 2015 Source: Aon Securities Inc.
Aon Benfield
41
Figure 1: Catastrophe bond issuance by year, 2006 to 2015 (years ending June 30) Property issuance
Life and Health issuance
10,000
9,400 8,145
USD millions
8,000
6,431
6,981
6,665
5,914
6,000
4,736
4,382
4,000
3,279
1,705
2,000
0
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
Source: Aon Securities Inc.
Figure 2: Outstanding and cumulative catastrophe bond volume, 2006 to 2015 (years ending June 30) Property outstanding
Cumulative property issuance
Life and Health outstanding
Total cumulative bonds
70,000
67,083 60,102
60,000
USD millions
50,702
50,000 44,037 37,605
40,000 33,223
30,000
26,782
28,487
20,867
20,000 12,723
10,000
16,155 12,911
13,174
13,167
2009
2010
15,123
22,422
23,467
2014
2015
17,788
11,504
6,558
0 2006 Source: Aon Securities Inc.
42
Insurance-Linked Securities
2007
2008
2011
2012
2013
Figure 3: Catastrophe bond issuance by half-year 2008 – 2015 January - June
9,000
July - December
8,000 2,325
USD millions
7,000 6,000
3,498
5,000
2,692
4,000 3,000
2,625 2,843 320
5,902
2,086
1,000 0
4,656
3,973
3,588
2,000 2,650
2,510
1,757
1,385
2008
2009
2010
2011
2012
2013
2014
2015
Source: Aon Securities Inc.
Figure 4: Investor by category (years ending June 30)5 Catastrophe Fund
Institutional
Mutual Fund
Reinsurer
Hedge Fund
2% 5% 10%
6%
11%
9% 47%
46%
32%
32%
2015
2014
Source: Aon Securities Inc.
5
Aon Securities’ analysis of investor category includes only those transactions in which the firm participated
Aon Benfield
43
Figure 5: Investor by country/region (years ending June 30)6 U.S.
UK
Bermuda
Switzerland
Other
11%
13%
34% 26%
47%
28%
11%
7%
14%
9% 2014
2015 Source: Aon Securities Inc.
Figure 6: Historical performance of Aon ILS Indices Aon ILS Index
260%
Aon ILS BB Index
Aon ILS U.S. EQ
Aon ILS U.S. Hurricane
180%
100%
20%
-60% Jun 2005
Jun 2006
Jun 2007
Jun 2008
Jun 2009
Jun 2010
Jun 2011
Jun 2012
Source: Aon Securities Inc., Bloomberg
6
44
Aon Securities’ analysis of investor geographic attributes includes only those transactions in which the firm participated
Insurance-Linked Securities
Jun 2013
Jun 2014
Jun 2015
Figure 7: Aon All Bond ILS index versus financial benchmarks
260%
Aon All Bond ILS Index
3-5 Year BB Cash Pay U.S. High Yield Index
ABS 3-5 Year, Fixed Rate Index
CMBS 3-5 Year, Fixed Rate Index
S&P 500
3-5 Year U.S. Treasury Notes Index
180%
100%
20%
-60% Jun 2005
Jun 2006
Jun 2007
Jun 2008
Jun 2009
Jun 2010
Jun 2011
Jun 2012
Jun 2013
Jun 2014
Jun 2015
Source: Aon Securities Inc., Bloomberg
Figure 8: Alternative market development Catastrophe bonds
80
Sidecar
ILW
Collateralized re and others 68
70 64
USD millions
60 50
50
44
40 28
30 22
20
17
22
24
19
10 0
2006
2007
2008
2009
2010
2011
2012
2013
2014
1H2015
Source: Aon Securities Inc.
Aon Benfield
45
Figure 9: Global reinsurer capital 800
Traditional capital
Alternative capital
Global reinsurer capital
700
USD billions
600 500
18%
6% 410
-17%
18%
385
400
470
540
11%
-3%
-2%
6%
7%
575
565
505
455
400
340
300 200
368
388
321
378
447
428
461
490
511
497
17
22
19
22
24
28
44
50
64
68
2006
2007
2008
2009
2010
2011
2012
2013
2014
1H2015
100 0
Source: Individual company reports, Aon Benfield Analytics, Aon Securities
Figure 10: ILW trade volume and U.S. ANP price movement Total U.S. trade volume
$80 billion ANP
$50 billion ANP
$30 billion ANP
150
1200
120
900 90 600 60
300
Price movement by quarter
Total U.S. trade volume
1500
30
0 Q2 2011
Q2 2012
Q2 2013
Q2 2014
Q2 2015 Legend ANP — All Natural Perils
Source: The Global Re Specialty team of Aon U.K. Limited
46
Insurance-Linked Securities
Appendix II Property Catastrophe Bonds—Transaction Summary As of June 30, 2015 Source: Aon Securities Inc.
Aon Benfield
47
Summary of catastrophe bonds — December 1996 through June 2015 Issuance Date
Beneficiary
Dec-96
St Paul Re UK
Dec-96
St Paul Re UK*
Jun-97
United Services Automobile Association
Residential Reinsurance Limited
Jun-97
United Services Automobile Association
Oct-97
Series
Class
Size (thousands)
Perils
Trigger
Collateral
George Town Re, Ltd.
Worldwide All Perils incl. Marine & Aviation
Indemnity
TRS
$44,500
George Town Re, Ltd.
Worldwide All Perils incl. Marine & Aviation
Indemnity
TRS
$24,000
Aaa
AAA
Class A-1
US HU
Indemnity
TRS
$163,800
Aaa
AAA
Residential Reinsurance Limited
Class A-2
US HU
Indemnity
TRS
$313,180
Ba2
BB
Swiss Reinsurance Company Ltd.
SR Earthquake Fund, Ltd.
Class A-1
US EQ
Industry Index
TRS
$42,000
Baa3
BBB-
Oct-97
Swiss Reinsurance Company Ltd.*
SR Earthquake Fund, Ltd.
Class A-2
US EQ
Industry Index
TRS
$20,000
Baa3
BBB-
Oct-97
Swiss Reinsurance Company Ltd.
SR Earthquake Fund, Ltd.
Class B
US EQ
Industry Index
TRS
$60,300
Ba1
BB
Oct-97
Swiss Reinsurance Company Ltd.
SR Earthquake Fund, Ltd.
Class C
US EQ
Industry Index
TRS
$14,700
Ba3
B
Nov-97
Tokio Marine & Nichido Fire Insurance Co., Ltd.
Parametric Re, Ltd.
JP EQ
Parametric
TRS
$80,000
Ba2
Nov-97
Tokio Marine & Nichido Fire Insurance Co., Ltd.
Parametric Re, Ltd.
JP EQ
Parametric
TRS
$20,000
Baa3
Mar-98
Centre Solutions (Bermuda) Limited (Zurich Group)
Trinity Re, Ltd.
Class A-1
US HU
Indemnity
TRS
$10,467
Aaa
AAA
Mar-98
Centre Solutions (Bermuda) Limited (Zurich Group)
Trinity Re, Ltd.
Class A-2
US HU
Indemnity
TRS
$61,533
Ba3
BB
Jun-98
United Services Automobile Association
Residential Reinsurance Limited
US HU
Indemnity
TRS
$450,000
Ba2
Jun-98
The Yasuda Fire and Marine Insurance Company Limited
Pacific Re, Ltd.
JP TY
Indemnity
TRS
$80,000
Ba3
BB-
Jul-98
United States Fidelity and Guaranty Company
Mosaic Re, Ltd.
Class A
US HU, EQ, ST
Indemnity
TRS
$24,000
Jul-98
United States Fidelity and Guaranty Company
Mosaic Re, Ltd.
Class B
US HU, EQ, ST
Indemnity
TRS
$21,000
Jul-98
United States Fidelity and Guaranty Company
Mosaic Re, Ltd.
US HU, EQ, ST
Indemnity
TRS
$9,000
Dec-98
Centre Solutions (Bermuda) Limited (Zurich Group)
Trinity Re 1999, Ltd.
Class A-1
US HU
Indemnity
TRS
$2,385
Aaa
AAA
Dec-98
Centre Solutions (Bermuda) Limited (Zurich Group)
Trinity Re 1999, Ltd.
Class A-2
US HU
Indemnity
TRS
$51,615
Ba3
BB
Feb-99
United States Fidelity and Guaranty Company
Mosaic Re II, Ltd.
Class A
US HU, EQ, ST
Indemnity
TRS
$25,000
Feb-99
United States Fidelity and Guaranty Company
Mosaic Re II, Ltd.
Class B
US HU, EQ, ST
Indemnity
TRS
$20,000
Mar-99
Kemper
Domestic, Inc.
US EQ
Indemnity
TRS
$80,000
Mar-99
Kemper*
Domestic, Inc.
US EQ
Indemnity
TRS
$20,000
Apr-99
Sorema S..A
Halyard Re B.V.
EU, JP EQ, TY
Indemnity
TRS
$17,000
May-99
Oriental Land Co., Ltd.
JP EQ
Parametric
TRS
$100,000
*Equity
48
Issuer
Insurance-Linked Securities
Concentric, Ltd.
Series 1999
Moody’s
S&P
BB
Ba2
BB+
Ba1
BB+
Fitch
BB
BB
Issuance Date
Beneficiary
Issuer
Series
Class
Perils
Trigger
Collateral
Size (thousands)
Moody’s
Ba2
S&P
Fitch
Jun-99
United Services Automobile Association
Residential Reinsurance Limited
US HU
Indemnity
TRS
$200,000
Jun-99
Gerling-Konzern Globale RückversicherungsAktienfesellschaft
Juno Re, Ltd.
US HU
Indemnity
TRS
$80,000
Nov-99
American Re
Gold Eagle Capital Limited
Class A
US HU, EQ
Modeled Loss
TRS
$50,000
Baa3
BBB-
Nov-99
American Re
Gold Eagle Capital Limited
Class B
US HU, EQ
Modeled Loss
TRS
$126,600
Ba2
BB
Nov-99
American Re*
Gold Eagle Capital Limited
US HU, EQ
Modeled Loss
TRS
$5,500
Ba1
BB+
Nov-99
American Re*
Gold Eagle Capital Limited
US HU, EQ
Modeled Loss
TRS
$3,600
BB+
Nov-99
Gerling-Konzern Globale RückversicherungsAktienfesellschaft
Namazu Re, Ltd.
JP EQ
Modeled Loss
TRS
$100,000
BB
Mar-00
Lehman Re Ltd.
Seismic Limited
US EQ
Mar-00
Lehman Re Ltd.*
Seismic Limited
Mar-00
SCOR
Atlas Reinsurance p.l.c.
Class A
Mar-00
SCOR
Atlas Reinsurance p.l.c.
Mar-00
SCOR
Atlas Reinsurance p.l.c.
Apr-00
Sorema SA
May-00
State Farm Companies
May-00
BB
BB
Industry Index
TRS
$145,500
Industry Index
TRS
$4,500
EU Wind, CA/JP EQ
Indemnity
TRS
$70,000
BBB+
BBB+
Class B
EU Wind, CA/JP EQ
Indemnity
TRS
$30,000
BBB-
BBB-
Class C
EU Wind, CA/JP EQ
Indemnity
TRS
$100,000
B-
B-
EU/JP Wind, JP EQ
Indemnity
TRS
$17,000
Alpha Wind 2000-A Ltd.
US HU
Indemnity
TRS
$52,500
BB+
State Farm Companies*
Alpha Wind 2000-A Ltd.
US HU
Indemnity
TRS
$37,500
BB
Jun-00
United Services Automobile Association
Residential Reinsurance 2000 Limited
US HU
Indemnity
TRS
$200,000
Ba2
Jul-00
Vesta Fire Insurance Corporation
NeHi, Inc.
US HU
Modeled Loss
TRS
$41,500
Ba3
Jul-00
Vesta Fire Insurance Corporation*
NeHi, Inc.
US HU
Modeled Loss
TRS
$8,500
Nov-00
Assurances Generales de France I.A.R.T.
Mediterranean Re p.l.c.
Class A
EU Wind, EQ
Modeled Loss
TRS
$41,000
Baa3
BBB+
BBB
Nov-00
Assurances Generales de France I.A.R.T.
Mediterranean Re p.l.c.
Class B
EU Wind, EQ
Modeled Loss
TRS
$88,000
Ba3
BB+
BB+
Dec-00
Munich Re
PRIME Capital CalQuake & EuroWind Ltd.
US EQ, EU Wind
Parametric Index
TRS
$129,000
Ba3
BB+
BB
Dec-00
Munich Re*
PRIME Capital CalQuake & EuroWind Ltd.
US EQ, EU Wind
Parametric Index
TRS
$6,000
Dec-00
Munich Re
PRIME Capital Hurricane Ltd.
US HU
Parametric Index
TRS
$159,000
Ba3
BB+
BB
Dec-00
Munich Re*
PRIME Capital Hurricane Ltd.
US HU
Parametric Index
TRS
$6,000
Feb-01
Swiss Reinsurance Company Ltd.
US EQ
Industry Index
TRS
$97,000
Ba2
BB+
Halyard Re B.V.
Western Capital Limited
Series 2000
Class B
Class B
Ba2
BB+
BB+
BB+
BB
*Equity
Aon Benfield
49
Issuance Date
Beneficiary
Series
Class
Size (thousands)
Perils
Trigger
Collateral
Western Capital Limited
US EQ
Industry Index
TRS
$3,000
Gold Eagle Capital 2001 Limited
US HU, EQ
Modeled Loss
TRS
$116,400
Halyard Re B.V.
EU Wind, JP EQ, TY
Indemnity
TRS
$17,000
Moody’s
S&P
Fitch
Feb-01
Swiss Reinsurance Company Ltd.*
Mar-01
American Re
Apr-01
Sorema SA
May-01
Swiss Reinsurance Company Ltd.*
SR Wind Ltd.
Class B-1
US HU, EU Wind
Parametric Index
TRS
$1,800
BB
BB
May-01
Swiss Reinsurance Company Ltd.*
SR Wind Ltd.
Class B-2
US HU, EU Wind
Parametric Index
TRS
$1,800
BB
BB
May-01
Swiss Reinsurance Company Ltd.
SR Wind Ltd.
Class A-1
US HU, EU Wind
Parametric Index
TRS
$58,200
BB+
BB+
May-01
Swiss Reinsurance Company Ltd.
SR Wind Ltd.
Class A-2
US HU, EU Wind
Parametric Index
TRS
$58,200
BB+
BB+
Jun-01
United Services Automobile Association
Residential Reinsurance 2001 Limited
US HU
Indemnity
TRS
$150,000
Ba2
BB+
Jun-01
Zurich Insurance Company*
Trinom Ltd.
US HU, EQ, EU Wind
Modeled Loss
TRS
$4,856
B2
B+
Jun-01
Zurich Insurance Company
Trinom Ltd.
Class A-1
US HU, EQ, EU Wind
Modeled Loss
TRS
$60,000
Ba2
BB
BB-
Jun-01
Zurich Insurance Company
Trinom Ltd.
Class A-2
US HU, EQ, EU Wind
Modeled Loss
TRS
$97,000
Ba1
BB+
BB
Dec-01
SCOR
Atlas Reinsurance II p.l.c.
Class A
EU Wind, CA/JP EQ
Parametric/ Parametric Index
TRS
$50,000
A3
A
Dec-01
SCOR
Atlas Reinsurance II p.l.c.
Class B
EU Wind, CA/JP EQ
Parametric/ Parametric Index
TRS
$100,000
Ba2
BB+
Dec-01
Lehman Re Ltd.
Redwood Capital I, Ltd.
US EQ
Industry Index
TRS
$160,050
Ba2
BB+
Dec-01
Lehman Re Ltd.*
Redwood Capital I, Ltd.
US EQ
Industry Index
TRS
$4,950
Mar-02
Lehman Re Ltd.
Redwood Capital II, Ltd
US EQ
Industry Index
TRS
$194,000
Baa3
BBB-
Mar-02
Lehman Re Ltd.*
Redwood Capital II, Ltd
US EQ
Industry Index
TRS
$6,000
Ba1
BBB-
Apr-02
Lloyd's Syndicate 33 (Hiscox) St. Agatha Re Ltd.
US EQ
Modeled Loss
Bank Deposit
$33,000
BB+
May-02
Nissay Dowa General Insurance Co., Ltd.
Fujiyama Ltd.
JP EQ
Parametric
TRS
$67,900
BB+
May-02
Nissay Dowa General Insurance Co., Ltd.*
Fujiyama Ltd.
JP EQ
Parametric
TRS
$2,100
BB
May-02
United Services Automobile Association
Residential Reinsurance 2002 Limited
US HU
Indemnity
TRS
$125,000
Ba3
BB+
Jun-02
Swiss Reinsurance Company Ltd.
PIONEER 2002 Ltd.
Series 2002-1
Class A
US HU
Parametric Index
TRS
$85,000
Ba3
BB+
Jun-02
Swiss Reinsurance Company Ltd.
PIONEER 2002 Ltd.
Series 2002-1
Class B
EU Wind
Parametric Index
TRS
$50,000
Ba3
BB+
Jun-02
Swiss Reinsurance Company Ltd.
PIONEER 2002 Ltd.
Series 2002-1
Class C
US EQ
Parametric Index
TRS
$30,000
Ba3
BB+
Jun-02
Swiss Reinsurance Company Ltd.
PIONEER 2002 Ltd.
Series 2002-1
Class D
US EQ
Parametric Index
TRS
$40,000
Baa3
BBB-
*Equity
50
Issuer
Insurance-Linked Securities
Ba2
BB+
Issuance Date
Beneficiary
Issuer
Series
Class
Perils
Trigger
Collateral
Size (thousands)
Moody’s
S&P
Jun-02
Swiss Reinsurance Company Ltd.
PIONEER 2002 Ltd.
Series 2002-1
Class E
JP EQ
Parametric Index
TRS
$25,000
Ba3
BB+
Jun-02
Swiss Reinsurance Company Ltd.
PIONEER 2002 Ltd.
Series 2002-1
Class F
US/EU Wind, US/JP EQ
Parametric Index
TRS
$25,000
Ba3
BB+
Sep-02
Swiss Reinsurance Company Ltd.
PIONEER 2002 Ltd.
Series 2002-2
Class B
EU Wind
Parametric Index
TRS
$5,000
Ba3
BB+
Sep-02
Swiss Reinsurance Company Ltd.
PIONEER 2002 Ltd.
Series 2002-2
Class C
US EQ
Parametric Index
TRS
$20,500
Ba3
BB+
Sep-02
Swiss Reinsurance Company Ltd.
PIONEER 2002 Ltd.
Series 2002-2
Class D
US EQ
Parametric Index
TRS
$1,750
Baa3
BBB-
Dec-02
Swiss Reinsurance Company Ltd.
PIONEER 2002 Ltd.
Series 2002-3
Class A
US HU
Parametric Index
TRS
$8,500
Ba3
BB+
Dec-02
Swiss Reinsurance Company Ltd.
PIONEER 2002 Ltd.
Series 2002-3
Class B
EU Wind
Parametric Index
TRS
$21,000
Ba3
BB+
Dec-02
Swiss Reinsurance Company Ltd.
PIONEER 2002 Ltd.
Series 2002-3
Class C
US EQ
Parametric Index
TRS
$15,700
Ba3
BB+
Dec-02
Swiss Reinsurance Company Ltd.
PIONEER 2002 Ltd.
Series 2002-3
Class D
US EQ
Parametric Index
TRS
$25,500
Baa3
BBB-
Dec-02
Swiss Reinsurance Company Ltd.
PIONEER 2002 Ltd.
Series 2002-3
Class E
JP EQ
Parametric Index
TRS
$30,550
Ba3
BB+
Dec-02
Swiss Reinsurance Company Ltd.
PIONEER 2002 Ltd.
Series 2002-3
Class F
US/EU Wind, US/JP EQ
Parametric Index
TRS
$3,000
Ba3
BB+
Dec-02
Vivendi Universal, S.A.
Studio Re Ltd.
US EQ
Parametric Index
TRS
$150,000
Ba2
BB+
Dec-02
Vivendi Universal, S.A.*
Studio Re Ltd.
US EQ
Parametric Index
TRS
$25,000
B1
BB
Mar-03
Swiss Reinsurance Company Ltd.
PIONEER 2002 Ltd.
Series 2003-1
Class A
US HU
Parametric Index
TRS
$6,500
Ba3
BB+
Mar-03
Swiss Reinsurance Company Ltd.
PIONEER 2002 Ltd.
Series 2003-1
Class B
EU Wind
Parametric Index
TRS
$8,000
Ba3
BB+
Mar-03
Swiss Reinsurance Company Ltd.
PIONEER 2002 Ltd.
Series 2003-1
Class C
US EQ
Parametric Index
TRS
$6,500
Ba3
BB+
Mar-03
Swiss Reinsurance Company Ltd.
PIONEER 2002 Ltd.
Series 2003-1
Class D
US EQ
Parametric Index
TRS
$5,500
Baa3
BBB-
Mar-03
Swiss Reinsurance Company Ltd.
PIONEER 2002 Ltd.
Series 2003-1
Class E
JP EQ
Parametric Index
TRS
$8,000
Ba3
BB+
Mar-03
Swiss Reinsurance Company Ltd.
PIONEER 2002 Ltd.
Series 2003-1
Class F
US/EU Wind, US/JP EQ
Parametric Index
TRS
$8,140
Ba3
BB+
May-03
United Services Automobile Association
US HU, EQ
Indemnity
TRS
$160,000
Ba2
BB+
Jun-03
Swiss Reinsurance Company Ltd.
PIONEER 2002 Ltd.
Series 2003-2
Class A
US HU
Parametric Index
TRS
$9,750
Ba3
BB+
Jun-03
Swiss Reinsurance Company Ltd.
PIONEER 2002 Ltd.
Series 2003-2
Class B
EU Wind
Parametric Index
TRS
$12,250
Ba3
BB+
Jun-03
Swiss Reinsurance Company Ltd.
PIONEER 2002 Ltd.
Series 2003-2
Class C
US EQ
Parametric Index
TRS
$7,250
Ba3
BB+
Jun-03
Swiss Reinsurance Company Ltd.
PIONEER 2002 Ltd.
Series 2003-2
Class D
US EQ
Parametric Index
TRS
$2,600
Baa3
BBB-
Jun-03
Zenkyoren
Phoenix Quake Ltd.
JP EQ
Parametric Index
TRS
$192,500
Baa3
BBB+
Jun-03
Zenkyoren
Phoenix Quake Wind II Ltd.
JP TY, EQ
Parametric Index
TRS
$85,000
Ba1
BBB-
Residential Reinsurance 2003 Limited
Fitch
*Equity
Aon Benfield
51
52
Issuance Date
Beneficiary
Issuer
Size (thousands)
Moody’s
Jun-03
Zenkyoren
Phoenix Quake Wind Ltd.
TRS
$192,500
Baa3
Jul-03
Swiss Reinsurance Company Ltd.
Arbor I Ltd.
Parametric Index
TRS
$95,000
Jul-03
Swiss Reinsurance Company Ltd.
US/EU Wind, CA/JP EQ
Parametric Index
TRS
$26,500
A1
A+
Jul-03
Series 1
US HU
Parametric Index
TRS
$22,350
Ba3
BB+
Oak Capital Ltd.
Series 1
EU Wind
Parametric Index
TRS
$23,600
Ba3
BB+
Swiss Reinsurance Company Ltd.
Sequoia Capital Ltd.
Series 1
US EQ
Parametric Index
TRS
$22,500
Ba3
BB+
Jul-03
Swiss Reinsurance Company Ltd.
Sakura Capital Ltd.
Series 1
JP EQ
Parametric Index
TRS
$14,700
Ba3
BB+
Aug-03
Central Reinsurance Corporation (for TREIP)
Taiwan EQ
Indemnity
TRS
$100,000
NR
Sep-03
Swiss Reinsurance Company Ltd.
Arbor I Ltd.
Series 2
US/EU Wind, CA/JP EQ
Parametric Index
TRS
$60,000
B
Dec-03
Swiss Reinsurance Company Ltd.
Palm Capital Ltd.
Series 2
US HU
Parametric Index
TRS
$19,000
Dec-03
Swiss Reinsurance Company Ltd.
Arbor I Ltd.
Series 3
US/EU Wind, CA/JP EQ
Parametric Index
TRS
$8,850
Dec-03
Swiss Reinsurance Company Ltd.
PIONEER 2002 Ltd.
US EQ
Parametric Index
TRS
$51,000
Baa3
BBB-
Dec-03
Electricite de France
Pylon Ltd.
Class A
EU Wind
Parametric Index
TRS
€ 70,000
A2
BBB+
Dec-03
Electricite de France
Pylon Ltd.
Class B
EU Wind
Parametric Index
TRS
€ 120,000
Ba1
BB+
Dec-03
Swiss Reinsurance Company Ltd.
Redwood Capital III, Ltd.
US EQ
Industry Index
TRS
$150,000
Ba1
BB+
Dec-03
Swiss Reinsurance Company Ltd.
Redwood Capital IV, Ltd.
US EQ
Industry Index
TRS
$200,000
Baa3
BBB-
Mar-04
Swiss Reinsurance Company Ltd.
Oak Capital Ltd.
Series 2
EU Wind
Parametric Index
TRS
$24,000
Ba3
BB+
Mar-04
Swiss Reinsurance Company Ltd.
Sequoia Capital Ltd.
Series 2
US EQ
Parametric Index
TRS
$11,500
Ba3
BB+
Mar-04
Swiss Reinsurance Company Ltd.
Arbor Ltd.
Series 4
US/EU Wind, CA/JP EQ
Parametric Index
TRS
$21,000
B
May-04
United Services Automobile Association
Residential Reinsurance 2004 Limited
Class A
US HU, EQ
Indemnity
TRS
$127,500
BB
May-04
United Services Automobile Association
Residential Reinsurance 2004 Limited
Class B
US HU, EQ
Indemnity
TRS
$100,000
B
Jun-04
Converium Ltd.
US/EU Wind, US/JP EQ
Modeled Loss
Bank Deposit
$100,000
BB+
Jun-04
Swiss Reinsurance Company Ltd.
Arbor Ltd.
US/EU Wind, CA/JP EQ
Parametric Index
TRS
$18,000
B
Jun-04
Swiss Reinsurance Company Ltd.
Gi Capital Ltd.
JP EQ
Parametric Index
TRS
$125,000
BB+
Sep-04
Swiss Reinsurance Company Ltd.
Oak Capital Ltd.
Series 3
EU Wind
Parametric Index
TRS
$10,500
Ba3
BB+
Sep-04
Swiss Reinsurance Company Ltd.
Sequoia Capital Ltd.
Series 3
US EQ
Parametric Index
TRS
$11,000
Ba3
BB+
Perils
Trigger
Collateral
JP TY, EQ
Parametric Index
Series 1
US/EU Wind, CA/JP EQ
Arbor II Ltd.
Series 1
Swiss Reinsurance Company Ltd.
Palm Capital Ltd.
Jul-03
Swiss Reinsurance Company Ltd.
Jul-03
Insurance-Linked Securities
Series
Class
Formosa Re Ltd.
Helix 04 Limited Series 5
S&P BBB+ B
Ba3
BB+ B
Fitch
Issuance Date
Beneficiary
Issuer
Series
Arbor Ltd.
Series 6
Class
Size (thousands)
Perils
Trigger
Collateral
US/EU Wind, CA/JP EQ
Parametric Index
TRS
$31,800
Moody’s
S&P
Fitch
Sep-04
Swiss Reinsurance Company Ltd.
Nov-04
Hartford Fire Insurance Company
Foundation Re Ltd.
Series 2004-I
Class A
US HU
Industry Index
TRS
$180,000
BB+
Nov-04
Hartford Fire Insurance Company
Foundation Re Ltd.
Series 2004-I
Class B
US HU, EQ
Industry Index
TRS
$67,500
BBB+
Dec-04
Swiss Reinsurance Company Ltd.
Arbor I Ltd.
Series 7
US/EU Wind, CA/JP EQ
Parametric Index
TRS
$15,000
B
Dec-04
Swiss Reinsurance Company Ltd.
Redwood Capital V, Ltd.
US EQ
Industry Index
TRS
$150,000
Ba2
BB+
Dec-04
Swiss Reinsurance Company Ltd.
Redwood Capital VI, Ltd.
US EQ
Industry Index
TRS
$150,000
Ba2
BB+
Mar-05
Swiss Reinsurance Company Ltd.
Arbor I Ltd.
US/EU Wind, CA/JP EQ
Parametric Index
TRS
$20,000
B
May-05
United Services Automobile Association
Residential Reinsurance 2005 Limited
Class A
US HU, EQ
Indemnity
TRS
$91,000
BB
May-05
United Services Automobile Association
Residential Reinsurance 2005 Limited
Class B
US HU, EQ
Indemnity
TRS
$85,000
B
Jun-05
Factory Mutual Insurance Company
US EQ
Parametric
TRS
$300,000
BB+
Jun-05
Swiss Reinsurance Company Ltd.
US/EU Wind, CA/JP EQ
Parametric Index
TRS
$25,000
B
Jul-05
Zurich American Insurance Company
US HU, EQ
Indemnity
TRS
$190,000
BB+
Nov-05
PXRE Reinsurance Ltd.
Atlantic & Western Re Limited
Class A
US/EU Wind
Modeled Loss
TRS
$100,000
BB+
BB
Nov-05
PXRE Reinsurance Ltd.
Atlantic & Western Re Limited
Class B
US/EU Wind, U.S. HU
Modeled Loss
TRS
$200,000
B+
B
Nov-05
Munich Re
EU Wind
Parametric Index
TRS
€ 110,000
BB+
Dec-05
Swiss Reinsurance Company Ltd.
US/EU Wind, CA/JP EQ
Parametric Index
TRS
$18,000
B
Dec-05
PXRE Reinsurance Ltd.
Atlantic & Western Re II Limited
Class A
US/EU Wind, U.S. EQ
Modeled Loss
TRS
$125,000
BB+
Dec-05
PXRE Reinsurance Ltd.
Atlantic & Western Re II Limited
Class B
US/EU Wind, U.S. EQ
Modeled Loss
TRS
$125,000
BB+
Dec-05
Montpelier Reinsurance Ltd.
Champlain Limited
Class A
US/JP EQ
Modeled Loss
TRS
$75,000
B
B-
Dec-05
Montpelier Reinsurance Ltd.
Champlain Limited
Class B
US HU, EQ
Modeled Loss
TRS
$15,000
B+
B-
Jan-06
Swiss Reinsurance Company Ltd.
Australis Ltd.
AU CY, EQ
Parametric Index
TRS
$100,000
BB
Feb-06
Swiss Reinsurance Company Ltd.
Redwood Capital VII, Ltd.
US EQ
Industry Index
TRS
$160,000
BB+
Feb-06
Swiss Reinsurance Company Ltd.
Redwood Capital VIII, Ltd.
US EQ
Industry Index
TRS
$65,000
BB+
Feb-06
Hartford Fire Insurance Company
Class D
US HU, EQ
Industry Index
TRS
$105,000
BB
May-06
The Fund for Natural Disasters
Class A
Mexico EQ
Parametric
TRS
$150,000
BB+
Series 8
Cascadia Limited Arbor I Ltd.
Series 9
KAMP Re 2005 Ltd.
Aiolos Ltd. Arbor I Ltd.
Foundation Re Ltd. CAT-Mex Ltd.
Series 10
Series 1
Series 2006-I
B
BB
Aon Benfield
53
Issuance Date
54
Beneficiary
Issuer
Series
Size (thousands)
Class
Perils
Trigger
Collateral
Moody’s
S&P
CAT-Mex Ltd.
Class B
Mexico EQ
Parametric
TRS
$10,000
BB+
Calabash Re Ltd.
Series Class A-1 2006-I
US HU
Industry Index
TRS
$100,000
BB
May-06
The Fund for Natural Disasters
May-06
ACE American Insurance Company
May-06
United Services Automobile Association
Residential Reinsurance 2006 Limited
Class A
US HU, EQ
Indemnity
TRS
$47,500
B
May-06
United Services Automobile Association
Residential Reinsurance 2006 Limited
Class C
US HU, EQ
Indemnity
TRS
$75,000
BB+
Jun-06
Swiss Reinsurance Company Ltd.
Successor Hurricane Industry Ltd.
Series 2
Class D
US HU
Industry Index
TRS
$10,250
B
Jun-06
Swiss Reinsurance Company Ltd.
Successor Hurricane Industry Ltd.
Series 2
Class E
US HU
Industry Index
TRS
$35,000
Jun-06
Swiss Reinsurance Company Ltd.
Successor Japan Quake Ltd.
Series 2
Class C
JP EQ
Modeled Loss
TRS
$3,000
Jun-06
Swiss Reinsurance Company Ltd.
Successor Euro Wind Ltd.
Series 2
Class A
EU Wind
Parametric Index
TRS
$3,000
Ba3
BB
Jun-06
Swiss Reinsurance Company Ltd.
Successor Euro Wind Ltd.
Series 2
Class C
EU Wind
Parametric Index
TRS
$3,000
B3
B
Jun-06
Swiss Reinsurance Company Ltd.
Successor Hurricane Industry Ltd.
Series 1
Class B
US HU
Industry Index
TRS
$14,000
B1
BB-
Jun-06
Swiss Reinsurance Company Ltd.
Successor Hurricane Industry Ltd.
Series 1
Class C
US HU
Industry Index
TRS
$7,250
B2
B
Jun-06
Swiss Reinsurance Company Ltd.
Successor Hurricane Industry Ltd.
Series 1
Class D
US HU
Industry Index
TRS
$34,250
Jun-06
Swiss Reinsurance Company Ltd.
Successor Hurricane Industry Ltd.
Series 1
Class E
US HU
Industry Index
TRS
$5,000
Jun-06
Swiss Reinsurance Company Ltd.
Successor Hurricane Industry Ltd.
Series 1
Class F
US HU
Industry Index
TRS
$54,000
B2
B
Jun-06
Swiss Reinsurance Company Ltd.
Successor Hurricane Modeled Ltd.
Series 1
Class B
US HU
Modeled Loss
TRS
$42,250
B1
BB-
Jun-06
Swiss Reinsurance Company Ltd.
Successor Cal Quake Parametric Ltd.
Series 1
Class A
US EQ
Parametric Index
TRS
$47,500
Ba3
BB
Jun-06
Swiss Reinsurance Company Ltd.
Successor Japan Quake Ltd.
Series 1
Class A
JP EQ
Modeled Loss
TRS
$103,470
BB
Jun-06
Swiss Reinsurance Company Ltd.
Successor Japan Quake Ltd.
Series 1
Class B
JP EQ
Modeled Loss
TRS
$26,250
BB-
Jun-06
Swiss Reinsurance Company Ltd.
Successor Japan Quake Ltd.
Series 2
Class C
JP EQ
Modeled Loss
TRS
$70,750
B
Jun-06
Swiss Reinsurance Company Ltd.
Successor Euro Wind Ltd.
Series 1
Class A
EU Wind
Parametric Index
TRS
$97,130
Ba3
BB
Jun-06
Swiss Reinsurance Company Ltd.
Successor Euro Wind Ltd.
Series 1
Class B
EU Wind
Parametric Index
TRS
$18,500
B1
BB-
Jun-06
Swiss Reinsurance Company Ltd.
Successor Euro Wind Ltd.
Series 1
Class C
EU Wind
Parametric Index
TRS
$110,750
B3
B
Jun-06
Swiss Reinsurance Company Ltd.
Successor II Ltd.
Series 1
Class A
US/EU Wind, US/JP EQ
Modeled Loss, Parametric Index
TRS
$73,200
B3
B
Insurance-Linked Securities
B
B
Fitch
Issuance Date
Beneficiary
Issuer
Series
Class
Perils
Trigger
Collateral
Size (thousands)
Moody’s
S&P
Jun-06
Swiss Reinsurance Company Ltd.
Successor II Ltd.
Series 1
Class E
US/EU Wind, US/JP EQ
Modeled Loss, Parametric Index
TRS
$154,250
Jun-06
Swiss Reinsurance Company Ltd.
Successor III Ltd.
Series 1
Class A
US/EU Wind, JP EQ
Modeled Loss, Parametric Index
TRS
$7,200
Jun-06
Swiss Reinsurance Company Ltd.
Successor IV Ltd.
Series 1
Class A
US/EU Wind, US/JP EQ
Modeled Loss, Parametric Index
TRS
$30,000
B
Jun-06
Munich Re
Carillon Ltd.
Series 1 Class A-2
US HU
Industry Index
TRS
$23,500
B+
Jun-06
Munich Re
Carillon Ltd.
Series 1
Class B
US HU
Industry Index
TRS
$10,000
B
Jun-06
Munich Re
Carillon Ltd.
Series 1 Class A-1
US HU
Industry Index
TRS
$51,000
B+
Jun-06
Liberty Mutual Insurance Company
Series 2006-1
US HU
Industry Index
TRS
$200,000
BB+
Jun-06
Balboa Insurance Group
US HU
Indemnity
Bank Deposit
$50,000
BB+
Jun-06
Dominion Resources
US HU
Parametric Index
TRS
$50,000
NR
Jul-06
Hannover Re
EU Wind
Parametric Index
TRS
$150,000
BB
Aug-06
Endurance Specialty Insurance Company
Shackleton Re Limited
Class A
US EQ
Industry Index
TRS
$125,000
Ba3
BB
Aug-06
Endurance Specialty Insurance Company
Shackleton Re Limited
Class B
US HU
Industry Index
TRS
$60,000
Ba3
BB
Aug-06
Endurance Specialty Insurance Company
Shackleton Re Limited
Class C
US HU, EQ
Industry Index
TRS
$50,000
Ba2
BB+
Aug-06
Tokio Marine & Nichido Fire Insurance Co., Ltd.
Aug-06
Swiss Reinsurance Company Ltd.
Aug-06
Factory Mutual Insurance Company
Cascadia II Limited
Nov-06
Hartford Fire Insurance Company
Foundation Re II Ltd.
Series 2006-I
Nov-06
Hartford Fire Insurance Company
Foundation Re II Ltd.
Nov-06
Liberty Mutual Insurance Company
Nov-06
Liberty Mutual Insurance Company
Dec-06
Mystic Re Ltd.
Class A
VASCO Re 2006 Ltd. DREWCAT Capital, Ltd.
Class A
Eurus Ltd.
Fhu-Jin Ltd.
Series 1
Class B
JP TY
Parametric Index
TRS
$200,000
Successor Hurricane Industry Ltd.
Series 3
Class E
US HU
Industry Index
TRS
$50,000
US EQ
Parametric
Bank Deposit
$300,000
Class G
US, HU, EQ, ST
Industry Index
TRS
$67,500
Series 2006-I
Class A
US HU
Industry Index
TRS
$180,000
BB+
Mystic Re Ltd.
Series 2006-2
Class A
US HU
Industry Index
TRS
$200,000
BB+
Mystic Re Ltd.
Series 2006-2
Class B
US HU
Industry Index
TRS
$125,000
BB
Swiss Reinsurance Company Ltd.
Successor I Ltd.
Series 1
Class B
NA/EU W, CA/JP EQ
Industry Index, Modeled Loss, Parametric Index
TRS
$4,000
Dec-06
Swiss Reinsurance Company Ltd.
Successor Hurricane Industry Ltd.
Series 4
Class E
US HU
Industry Index
TRS
$4,000
Dec-06
Swiss Reinsurance Company Ltd.
Successor I Ltd.
Series 2
Class B
NA/EU W, CA/JP EQ
Industry Index, Modeled Loss, Parametric Index
TRS
$24,500
Dec-06
Swiss Reinsurance Company Ltd.
Successor Hurricane Industry Ltd.
Series 5
Class E
US HU
Industry Index
TRS
$26,000
Fitch
BB+
BB+
BB+
B
Aon Benfield
55
Issuance Date
56
Beneficiary
Issuer
Series
Class
Perils
Trigger
Collateral
Size (thousands)
Moody’s
S&P
Dec-06
Swiss Reinsurance Company Ltd.
Successor Euro Wind Ltd.
Series 3
Class A
EU Wind
Parametric Index
TRS
$118,000
Ba3
BB
Dec-06
Swiss Reinsurance Company Ltd.
Successor Euro Wind Ltd.
Series 3
Class C
EU Wind
Parametric Index
TRS
$15,000
B3
B
Dec-06
Zurich American Insurance Company
Lakeside Re Ltd.
US EQ
Indemnity
Bank Deposit
$190,000
BB+
Dec-06
SCOR
Atlas Reinsurance III p.l.c.
JP EQ, EU Wind
Modeled Loss
TRS
€120,000
BB+
Dec-06
Swiss Reinsurance Company Ltd.
Redwood Capital IX Ltd.
Series 1
Class A
US EQ
Parametric Index
TRS
$125,000
Ba2
BB+
Dec-06
Swiss Reinsurance Company Ltd.
Redwood Capital IX Ltd.
Series 1
Class B
US EQ
Parametric Index
TRS
$125,000
Ba2
BB+
Dec-06
Swiss Reinsurance Company Ltd.
Redwood Capital IX Ltd.
Series 1
Class C
US EQ
Parametric Index
TRS
$18,000
Baa3
BBB-
Dec-06
Swiss Reinsurance Company Ltd.
Redwood Capital IX Ltd.
Series 1
Class D
US EQ
Parametric Index
TRS
$20,000
Ba3
BB
Dec-06
Swiss Reinsurance Company Ltd.
Redwood Capital IX Ltd.
Series 1
Class E
US EQ
Parametric Index
TRS
$12,000
B3
B
Jan-07
ACE American Insurance Company
Calabash Re II Ltd.
Series Class A-1 2006-I
US HU
Modeled Loss
TRS
$100,000
BB
Jan-07
ACE American Insurance Company
Calabash Re II Ltd.
Series Class D-1 2006-I
US EQ
Modeled Loss
TRS
$50,000
B+
Jan-07
ACE American Insurance Company
Calabash Re II Ltd.
Series 2006-I
US HU, EQ
Modeled Loss
TRS
$100,000
BB
Mar-07
Swiss Re
Australis Ltd.
Series 2
AU CY, EQ
Parametric Index
TRS
$50,000
BB
Apr-07
Allianz Global Corporate & Specialty AG
Blue Wings Ltd.
Series 1
Class A
US EQ, U.K. Flood
Modeled Loss, Parametric Index
TRS
$150,000
BB+
Apr-07
Aspen Insurance Limited
Ajax Re Limited
Series 1
Class A
US EQ
Industry Index
TRS
$100,000
BB
Class A
US HU
Indemnity
TRS
$135,000
BB+
Class E-1
Apr-07
Chubb Group
East Lane Re Ltd.
Series 2007-I
Apr-07
Chubb Group
East Lane Re Ltd.
Series 2007-I
Class B
US HU
Indemnity
TRS
$115,000
BB+
May-07
Munich Re
May-07
The Travelers Indemnity Company
May-07
Swiss Reinsurance Company Ltd.
May-07
Carillon Ltd.
Series 2
Class E
US HU
Industry Index
TRS
$150,000
B
Longpoint Re Ltd.
Series 2007-1
Class A
US HU
Industry Index
TRS
$500,000
BB+
Successor II Ltd.
Series 2
Class A
NA/EU W, CA/JP EQ
Modeled Loss, Parametric Index
TRS
$100,000
B
Mitsui Sumitomo Insurance Co., Ltd.
AKIBARE Ltd.
Series 1
Class A
JP TY
Parametric Index
TRS
$90,000
BB+
May-07
Mitsui Sumitomo Insurance Co., Ltd.
AKIBARE Ltd.
Series 1
Class B
JP TY
Parametric Index
TRS
$30,000
BB+
May-07
Swiss Reinsurance Company Ltd.
MedQuake Ltd.
Series 1
Class A
EU EQ
Parametric Index
TRS
$50,000
BB-
May-07
Swiss Reinsurance Company Ltd.
MedQuake Ltd.
Series 1
Class B
EU EQ
Parametric Index
TRS
$50,000
B
May-07
Liberty Mutual Insurance Company
Mystic Re II Ltd.
Series 2007-1
US HU
Industry Index
TRS
$150,000
B+
May-07
United Services Automobile Association
Residential Reinsurance 2007 Limited
Series 2007-I
US HU, EQ
Indemnity
TRS
$145,000
BB
Insurance-Linked Securities
Class 1
Fitch
Issuance Date
Beneficiary
Issuer
Series
Class
Perils
Trigger
Collateral
Size (thousands)
Moody’s
S&P
Fitch
May-07
United Services Automobile Association
Residential Reinsurance 2007 Limited
Series 2007-I
Class 2
US HU, EQ
Indemnity
TRS
$125,000
B
May-07
United Services Automobile Association
Residential Reinsurance 2007 Limited
Series 2007-I
Class 3
US HU, EQ
Indemnity
TRS
$75,000
B
May-07
United Services Automobile Association
Residential Reinsurance 2007 Limited
Series 2007-I
Class 4
US HU, EQ
Indemnity
TRS
$155,000
BB+
May-07
United Services Automobile Association
Residential Reinsurance 2007 Limited
Series 2007-I
Class 5
US HU, EQ
Indemnity
TRS
$100,000
BB+
Jun-07
Glacier Reinsurance AG
Nelson Re Ltd.
Series 2007-I
Class A
US/EU W, U.S. Q
Industry Index, Modeled Loss
TRS
$75,000
Jun-07
Allstate Insurance Company
Willow Re Ltd.
Series 2007-1
Class B
US HU
Industry Index
TRS
$250,000
Jun-07
Swiss Reinsurance Company Ltd.
Spinnaker Capital Ltd.
Series 1 2007
US HU
Industry Index
TRS
$200,000
B1
Jun-07
Brit Insurance Limited
Fremantle Limited
Series 2007-1
Class A
US/EU/JP Wind, US/JP EQ
Industry Index
TRS
$60,000
Aa1
AAA
Jun-07
Brit Insurance Limited
Fremantle Limited
Series 2007-1
Class B
US/EU/JP Wind, US/JP EQ
Industry Index
TRS
$60,000
A3
BBB+
Jun-07
Brit Insurance Limited
Fremantle Limited
Series 2007-1
Class C
US/EU/JP Wind, US/JP EQ
Industry Index
TRS
$80,000
Ba2
BB-
Jun-07
Swiss Reinsurance Company Ltd.
Spinnaker Capital Ltd.
Series 2 2007
US HU
Industry Index
TRS
$130,200
Ba2
Jun-07
Swiss Reinsurance Company Ltd.
FUSION 2007 Ltd.
Class A
JP TY, Mexico EQ
Parametric Index
TRS
$30,000
B
Jun-07
Swiss Reinsurance Company Ltd.
FUSION 2007 Ltd.
Class B
JP TY, Mexico EQ
Parametric Index
TRS
$80,000
B
Jun-07
Swiss Reinsurance Company Ltd.
FUSION 2007 Ltd.
Class C
Mexico EQ
Parametric Index
TRS
$30,000
BB+
Jul-07
State Farm Mutual Automobile Insurance Company
Merna Reinsurance Ltd.
Tranche A
NA HU, EQ, ST, WS, WF
Indemnity
TRS
$350,000
Aa2
AAA
Jul-07
State Farm Mutual Automobile Insurance Company
Merna Reinsurance Ltd.
Tranche B
NA HU, EQ, ST, WS, WF
Indemnity
TRS
$666,600
A2
AA+
Jul-07
State Farm Mutual Automobile Insurance Company
Merna Reinsurance Ltd.
Tranche C
NA HU, EQ, ST, WS, WF
Indemnity
TRS
$164,000
Baa2
A-
Jul-07
Arrow Capital Reinsurance Company, Limited
Javelin Re Ltd.
Class A
Worldwide All Perils
Indemnity
TRS
$94,500
A-
Jul-07
Arrow Capital Reinsurance Company, Limited
Javelin Re Ltd.
Class B
Worldwide All Perils
Indemnity
TRS
$30,750
BBB-
Jul-07
Swiss Reinsurance Company Ltd.
US HU
Industry Index
TRS
$50,000
NR
Oct-07
East Japan Railway Company
MIDORI Ltd.
JP EQ
Parametric
TRS
$260,000
BB+
Nov-07
Allianz Argos 14 GmbH
Blue Fin Ltd.
Series 1
Class A
EU Wind
Parametric Index
TRS
€155,000
BB+
Nov-07
Allianz Argos 14 GmbH
Blue Fin Ltd.
Series 1
Class B
EU Wind
Parametric Index
TRS
$65,000
BB+
Nov-07
SCOR Global P&C SE
EU Wind, JP EQ
Modeled Loss
TRS
€160,000
B
Dec-07
Catlin Group
US EQ
Industry Index
Bank Deposit
$87,500
Spinnaker Capital Ltd.
Series 3 2007
Atlas Reinsurance IV Limited Newton Re Limited
Series 2007-1
Class A
B BB+
BB+
Aon Benfield
57
58
Issuance Date
Beneficiary
Dec-07
Catlin Group
Dec-07
Swiss Reinsurance Company Ltd.
Dec-07
Size (thousands)
Issuer
Series
Class
Perils
Trigger
Collateral
Moody’s
Newton Re Limited
Series 2007-1
Class B
US HU
Industry Index
Bank Deposit
$137,500
GlobeCat Ltd.
Series Class A-1 LAQ
Latin America EQ
Modeled Loss
TRS
$25,000
Ba3
Swiss Reinsurance Company Ltd.
GlobeCat Ltd.
Series Class A-1 USW
US HU
Industry Index
TRS
$40,000
B3
Dec-07
Swiss Reinsurance Company Ltd.
GlobeCat Ltd.
Series Class A-1 CAQ
US EQ
Industry Index
TRS
$20,000
B1
Dec-07
Groupama S.A.
Dec-07
S&P BB+
Green Valley Ltd.
Series 1
Class A
EU Wind
Parametric Index
TRS
€200,000
BB+
Swiss Reinsurance Company Ltd.
Successor Hurricane Industry Ltd.
Series 6
Class C
US HU
Industry Index
TRS
$30,000
B2
Dec-07
Swiss Reinsurance Company Ltd.
Successor Hurricane Industry Ltd.
Series 6
Class D
US HU
Industry Index
TRS
$30,000
Dec-07
Swiss Reinsurance Company Ltd.
Successor II Ltd.
Series 3
Class C
US/EU Wind, US/JP EQ
Parametric Index
TRS
$50,000
Dec-07
Swiss Reinsurance Company Ltd.
Successor II Ltd.
Series 3
Class E
US/EU Wind, US/JP EQ
Parametric Index
TRS
$50,000
Dec-07
Swiss Reinsurance Company Ltd.
Redwood Capital X Ltd.
Series 1
Class A
US EQ
Parametric Index
TRS
$25,000
Baa3
Dec-07
Swiss Reinsurance Company Ltd.
Redwood Capital X Ltd.
Series 1
Class B
US EQ
Parametric Index
TRS
$227,700
Ba2
Dec-07
Swiss Reinsurance Company Ltd.
Redwood Capital X Ltd.
Series 1
Class C
US EQ
Parametric Index
TRS
$50,200
Ba3
Dec-07
Swiss Reinsurance Company Ltd.
Redwood Capital X Ltd.
Series 2
Class D
US EQ
Industry Index
TRS
$130,500
Ba3
Dec-07
Swiss Reinsurance Company Ltd.
Redwood Capital X Ltd.
Series 2
Class E
US EQ
Industry Index
TRS
$45,200
B2
Dec-07
Swiss Reinsurance Company Ltd.
Redwood Capital X Ltd.
Series 2
Class F
US EQ
Industry Index
TRS
$20,000
NR
Feb-08
Catlin Group
Newton Re Limited
Series 2008-1
Class A
US/EU/JP Wind, US/JP EQ
Indemnity
TRS
$150,000
BB
Mar-08
Munich Re
Queen Street Ltd.
Series 1
Class A
EU Wind
Parametric Index
TRS
€70,000
BB+
Mar-08
Munich Re
Queen Street Ltd.
Series 1
Class B
EU Wind
Parametric Index
TRS
€100,000
B
Mar-08
Chubb Group
East Lane Re II Ltd.
Series 2008-I
Class A
Northeast U.S. All Natural Perils
Indemnity
TRS
$75,000
BB
Mar-08
Chubb Group
East Lane Re II Ltd.
Series 2008-I
Class B
Northeast U.S. All Natural Perils
Indemnity
TRS
$70,000
BB
Mar-08
Chubb Group
East Lane Re II Ltd.
Series 2008-I
Class C
NA All Natural Perils
Indemnity
TRS
$55,000
B-
May-08
Zenkyoren
Muteki Ltd.
Series 2008-1
Class A
JP EQ
Parametric Index
TRS
$300,000
Ba2
May-08
HomeWise Preferred Insurance Company and HomeWise Insurance Company
Mangrove Re Ltd.
Series 2008-1
Class A
US HU
Indemnity
TRS
$150,000
Ba2
May-08
HomeWise Preferred Insurance Company and HomeWise Insurance Company
Mangrove Re Ltd.
Series 2008-1
Class B
US HU
Indemnity
TRS
$60,000
B1
May-08
United Services Automobile Association
Residential Reinsurance 2008 Limited
Series 2008-I
Class 1
US HU, EQ
Indemnity
TRS
$125,000
Insurance-Linked Securities
B
B
BB
Fitch
Issuance Date
Beneficiary
Issuer
Series
Class
Perils
Trigger
Collateral
Size (thousands)
Moody’s
S&P
May-08
United Services Automobile Association
Residential Reinsurance 2008 Limited
Series 2008-I
Class 2
US HU, EQ
Indemnity
TRS
$125,000
B
May-08
United Services Automobile Association
Residential Reinsurance 2008 Limited
Series 2008-I
Class 4
US (HU, EQ, ST, WS, WF)
Indemnity
TRS
$100,000
BB+
May-08
Flagstone Reinsurance Limited and Flagstone Reassurance Suisse SA
Valais Re Ltd.
Series 2008-1
Class A
US/EU/JP Wind, US/JP EQ
Indemnity
TRS
$64,000
Ba2
May-08
Flagstone Reinsurance Limited and Flagstone Reassurance Suisse SA
Valais Re Ltd.
Series 2008-1
Class C
US/EU/JP Wind, US/JP EQ
Indemnity
TRS
$40,000
B3
Jun-08
Glacier Reinsurance AG
Nelson Re Ltd.
Series 2008-I
Class G
US HU, EQ
Indemnity
TRS
$67,500
B3
Jun-08
Glacier Reinsurance AG
Nelson Re Ltd.
Series 2008-I
Class H
EU Wind
Indemnity
TRS
$45,000
B3
Jun-08
Glacier Reinsurance AG
Nelson Re Ltd.
Series 2008-I
Class I
EU Wind
Indemnity
TRS
$67,500
B1
Jun-08
Allstate Insurance Company
Willow Re Ltd.
Series 2008-1
Class D
US HU
Industry Index
TRS
$250,000
BB+
Jun-08
Nationwide Mutual Insurance Company
Caelus Re Limited
Series 2008-1
Class A
US HU, EQ
Indemnity
TRS
$250,000
BB+
Jun-08
Swiss Reinsurance Company Ltd.
Vega Capital Ltd.
Series 2008-I
Class A
US/EU/JP Wind, US/JP EQ
Parametric Index
TRS
$21,000
A3
A-
Jun-08
Swiss Reinsurance Company Ltd.
Vega Capital Ltd.
Series 2008-I
Class B
US/EU/JP Wind, US/JP EQ
Parametric Index
TRS
$22,500
Baa2
BBB
Jun-08
Swiss Reinsurance Company Ltd.
Vega Capital Ltd.
Series 2008-I
Class C
US/EU/JP Wind, US/JP EQ
Parametric Index
TRS
$63,900
Ba3
Jun-08
Swiss Reinsurance Company Ltd.
Vega Capital Ltd.
Series 2008-I
Class D
US/EU/JP Wind, US/JP EQ
Parametric Index
TRS
$42,600
Jul-08
Allianz Risk Transfer (Bermuda) Limited
Blue Coast Ltd.
Series 2008-1
Class A
US HU
Industry Index
TRS
$70,000
BB-
Jul-08
Allianz Risk Transfer (Bermuda) Limited
Blue Coast Ltd.
Series 2008-1
Class B
US HU
Industry Index
TRS
$30,000
B+
Jul-08
Allianz Risk Transfer (Bermuda) Limited
Blue Coast Ltd.
Series 2008-1
Class C
US HU
Industry Index
TRS
$20,000
B-
Aug-08
Platinum Underwriters Bermuda Ltd.
Topiary Capital Limited
Series 2008-1
Class A
US/EU W, US/JP EQ
Industry Index
TRS
$200,000
BB+
Feb-09
SCOR Global P&C SE
Atlas V Capital Limited
Series 1
US HU, EQ
Industry Index
TRS
$50,000
B+
Feb-09
SCOR Global P&C SE
Atlas V Capital Limited
Series 2
US HU, EQ
Industry Index
TRS
$100,000
B+
Feb-09
SCOR Global P&C SE
Atlas V Capital Limited
Series 3
US HU, EQ
Industry Index
TRS
$50,000
B
Mar-09
Chubb Group
East Lane Re III Ltd.
Series 2009-I
US HU
Indemnity
TRS
$150,000
BB
Mar-09
Liberty Mutual Insurance Company
Mystic Re II Ltd.
Series 2009-I
US HU, EQ
Industry Index
TRS
$225,000
BB
Blue Fin Ltd.
Series 2
US HU, EQ
Modeled Loss
MTN
$180,000
BB-
MMF
$60,000
Apr-09
Allianz Argos 14 GmbH
Apr-09
Swiss Reinsurance Company Ltd.
May-09 May-09
Class A
Class A
Successor II Ltd.
Series 4
Class F
US HU, EQ
Parametric Index
Assurant, Inc.
Ibis Re Ltd.
Series 2009-1
Class A
US HU
Industry Index
TRS
$75,000
BB
Assurant, Inc.
Ibis Re Ltd.
Series 2009-1
Class B
US HU
Industry Index
TRS
$75,000
BB-
Fitch
Aon Benfield
59
Issuance Date
60
Beneficiary
Issuer
Series
Class
Perils
Trigger
Collateral
Size (thousands)
Moody’s
S&P
May-09
United Services Automobile Association
Residential Reinsurance 2009 Limited
Series 2009-I
Class 1
US HU, EQ
Indemnity
MMF
$70,000
BB-
May-09
United Services Automobile Association
Residential Reinsurance 2009 Limited
Series 2009-I
Class 2
US HU, EQ
Indemnity
MMF
$60,000
B-
May-09
United Services Automobile Association
Residential Reinsurance 2009 Limited
Series 2009-I
Class 4
US (HU, EQ, ST, WS, WF)
Indemnity
MMF
$120,000
BB-
Jun-09
Munich Re
EU Wind, EQ
Parametric Index, Modeled Loss
MTN
€50,000
Jun-09
ACE American Insurance Company
Calabash Re III Ltd.
Series 2009-I
Class A
US HU, EQ
Modeled Loss
MTN
$86,000
BB-
Jun-09
ACE American Insurance Company
Calabash Re III Ltd.
Series 2009-I
Class B
US EQ
Modeled Loss
MTN
$14,000
BB+
Jul-09
North Carolina JUA/IUA
Parkton Re Ltd.
Series 2009-1
NC Wind
Indemnity
MMF
$200,000
B+
Jul-09
Hannover Re
Eurus II Ltd.
Series 2009-1
Class A
EU Wind
Parametric Index
TPR
€150,000
BB
Oct-09
The Fund for Natural Disasters
MultiCat Mexico 2009 Limited
Series 2009-I
Class A
Mex EQ
Parametric
MMF
$140,000
B
Oct-09
The Fund for Natural Disasters
MultiCat Mexico 2009 Limited
Series 2009-I
Class B
Mex, HU Pacific
Parametric
MMF
$50,000
B
Oct-09
The Fund for Natural Disasters
MultiCat Mexico 2009 Limited
Series 2009-I
Class C
Mex, HU Pacific
Parametric
MMF
$50,000
B
Oct-09
The Fund for Natural Disasters
MultiCat Mexico 2009 Limited
Series 2009-I
Class D
Mex, HU Atlantic
Parametric
MMF
$50,000
BB-
Nov-09
Flagstone Reassurance Suisse SA
Montana Re Ltd.
Series 2009-1
Class A
US HU, EQ
Industry Index
TPR
$75,000
B-
Nov-09
Flagstone Reassurance Suisse SA
Montana Re Ltd.
Series 2009-1
Class B
US HU
Industry Index
TPR
$100,000
BB-
Dec-09
Swiss Reinsurance Company Ltd.
Successor X Ltd.
Series Class I-S1 2009-1
US HU, EQ, EU Wind
Industry Index, Parametric Index
MMF
$50,000
Dec-09
Swiss Reinsurance Company Ltd.
Successor X Ltd.
Series 2009-1
Class I-U1
US HU, EQ
Industry Index, Parametric Index
MMF
$50,000
Dec-09
Swiss Reinsurance Company Ltd.
Successor X Ltd.
Series 2009-1
Class I-X1
US HU, EQ
Industry Index, Parametric Index
MMF
$50,000
Dec-09
SCOR Global P&C SE
Atlas VI Capital Limited
Series 2009-1
Class A
EU Wind, JP EQ
Parametric Index
Repo
€75,000
BB-
Dec-09
The Travelers Indemnity Company
Longpoint Re II Ltd.
Series 2009-1
Class A
US HU
Industry Index
MMF
$250,000
BB+
Dec-09
The Travelers Indemnity Company
Longpoint Re II Ltd.
Series 2009-1
Class B
US HU
Industry Index
MMF
$250,000
BB+
Dec-09
Zurich American Insurance Company, Zurich Insurance Company Ltd
CA EQ
Indemnity
MMF
$225,000
BB-
Dec-09
Swiss Reinsurance Company Ltd.
Jan-10
Hartford Fire Insurance Company
Mar-10
Swiss Reinsurance Company Ltd.
Insurance-Linked Securities
Ianus Capital Ltd.
Lakeside Re II Ltd.
B2
B-
Redwood Capital XI Ltd.
Series 2009-1
Class A
CA EQ
Industry Index
MMF
$150,000
Foundation Re III Ltd.
Series 2010-1
Class A
US HU
Industry Index
MMF
$180,000
BB+
Successor X Ltd.
Series 2010-1
Class II-CN3
US HU, EU Wind
Industry Index, Modeled Loss
MMF
$45,000
B-
B1
Fitch
Issuance Date
Beneficiary
Issuer
Series
Class
Perils
Trigger
Collateral
Size (thousands)
Moody’s
S&P
Mar-10
Swiss Reinsurance Company Ltd.
Successor X Ltd.
Series 2010-1
Class II-CL3
US HU, EU Wind
Industry Index, Modeled Loss
MMF
$35,000
Mar-10
Swiss Reinsurance Company Ltd.
Successor X Ltd.
Series 2010-1
Class II-BY3
US HU, EQ EU Wind, JP EQ
Industry Index, Modeled Loss
MMF
$40,000
Apr-10
State Farm Fire and Casualty Company
US EQ
Indemnity
MMF
$350,000
BB+
Apr-10
Assurant, Inc.
Ibis Re Ltd.
Series 2010-1
Class A
US HU
Industry Index
MMF
$90,000
BB
Apr-10
Assurant, Inc.
Ibis Re Ltd.
Series 2010-1
Class B
US HU
Industry Index
MMF
$60,000
B+
May-10
North Carolina JUA/IUA
Johnston Re Ltd.
Series 2010-1
Class A
US HU
Indemnity
MMF
$200,000
BB-
May-10
North Carolina JUA/IUA
Johnston Re Ltd.
Series 2010-1
Class B
US HU
Indemnity
MMF
$105,000
BB-
May-10
National Union Fire Insurance Company of Pittsburgh
Lodestone Re Ltd.
Series 2010-1
Class A
US HU, EQ
Industry Index
MMF
$175,000
BB+
May-10
National Union Fire Insurance Company of Pittsburgh
Lodestone Re Ltd.
Series 2010-1
Class B
US HU, EQ
Industry Index
MMF
$250,000
BB
May-10
Munich Re
EOS Wind Limited
Class A
US HU
Industry Index
MMF
$50,000
Ba3
May-10
Munich Re
EOS Wind Limited
Class B
US HU, EU Wind
Industry Index, Parametric Index
MMF
$30,000
Ba3
May-10
Nationwide Mutual Insurance Company
May-10 May-10
Merna Reinsurance II Ltd.
Caelus Re II Limited
Series 2010-1
Class A
US HU, EQ
Indemnity
MMF
$185,000
BB+
Allianz Argos 14 GmbH
Blue Fin Ltd.
Series 3
Class A
US HU, EQ
Modeled Loss
MMF
$90,000
B-
Allianz Argos 14 GmbH
Blue Fin Ltd.
Series 3
Class B
US HU, EQ
Modeled Loss
MMF
$60,000
BB
Series 2010-I
Class 1
US HU, EQ, ST, WS, WF
Indemnity
MMF
$162,500
BB
May-10
United Services Automobile Association
Residential Reinsurance 2010 Limited
May-10
United Services Automobile Association
Residential Reinsurance 2010 Limited
Series 2010-I
Class 2
US HU, EQ, ST, WS, WF
Indemnity
MMF
$72,500
B+
May-10
United Services Automobile Association
Residential Reinsurance 2010 Limited
Series 2010-I
Class 3
US HU, EQ, ST, WS, WF
Indemnity
MMF
$52,500
B-
May-10
United Services Automobile Association
Residential Reinsurance 2010 Limited
Series 2010-I
Class 4
US HU, EQ, ST, WS, WF
Indemnity
MMF
$117,500
Jun-10
State Farm Mutual Automobile Insurance Company
NA HU, EQ, ST, WS, WF
Indemnity
MMF
$250,000
Jul-10
Massachusetts Property Insurance Underwriting Association
Sep-10
Groupama S.A.
Oct-10
AXA Global P&C
Nov-10
Dec-10
Merna Reinsurance III Ltd Shore Re Ltd.
Series 2010-1
Class A
US HU
Indemnity
MMF
$96,000
BB
Green Valley Ltd.
Series 2
Class A
EU Wind
Parametric Index
MTN
€100,000
BB+
Calypso Capital Limited
Series 2010-1
Class A
EU Wind
Industry Index
TPR
€275,000
BB
American Family Mutual Insurance Company
Mariah Re Ltd.
Series 2010-1
US ST
Industry Index
MMF
$100,000
B
United Services Automobile Association
Residential Reinsurance 2010 Limited
Series 2010-II
US HU, EQ, ST, WS, WF
Indemnity
MMF
$210,000
BB
Class 1
Fitch
Aon Benfield
61
Issuance Date
62
Beneficiary
Issuer
Series
Class
Perils
Trigger
Collateral
Size (thousands)
Moody’s
S&P
Dec-10
United Services Automobile Association
Residential Reinsurance 2010 Limited
Series 2010-II
Class 2
US HU, EQ, ST, WS, WF
Indemnity
MMF
$50,000
Dec-10
United Services Automobile Association
Residential Reinsurance 2010 Limited
Series 2010-II
Class 3
US HU, EQ, ST, WS, WF
Indemnity
MMF
$40,000
Dec-10
SCOR Global P&C SE
Atlas VI Capital Limited
Series 2010-1
Class A
EU Wind, JP EQ
Parametric Index
TPR
€75,000
Dec-10
Swiss Reinsurance Company Ltd.
Vega Capital Ltd.
Series 2010-I
Class C
US/EU/JP Wind, US/JP EQ
Multiple
MTN
$63,900
Dec-10
Swiss Reinsurance Company Ltd.
Vega Capital Ltd.
Series 2010-I
Class D
US/EU/JP Wind, US/JP EQ
Multiple
MTN
$42,600
Dec-10
American Family Mutual Insurance Company
Mariah Re Ltd.
Series 2010-2
US ST
Industry Index
MMF
$100,000
Dec-10
National Union Fire Insurance Company of Pittsburgh
Lodestone Re Ltd.
Series Class A-1 2010-2
US HU, EQ
Industry Index
MMF
$125,000
BB+
Dec-10
National Union Fire Insurance Company of Pittsburgh
Lodestone Re Ltd.
Series Class A-2 2010-2
US HU, EQ
Industry Index
MMF
$325,000
BB
Dec-10
Flagstone Reassurance Suisse SA
Montana Re Ltd.
Series 2010-1
Class C
US HU, EQ
Multiple
TPR
$70,000
B
Dec-10
Flagstone Reassurance Suisse SA
Montana Re Ltd.
Series 2010-1
Class D
US HU, EQ
Multiple
TPR
$80,000
Dec-10
Flagstone Reassurance Suisse SA
Montana Re Ltd.
Series 2010-1
Class E
US HU, EQ, EU Wind, JP TY, EQ
Multiple
TPR
$60,000
B-
Dec-10
Swiss Reinsurance Company Ltd.
Successor X Ltd.
Series 2011-1
Class III-R3
US HU, EQ , AUS EQ
Modeled Loss, Parametric Index
MTN
$65,000
B-
Dec-10
Swiss Reinsurance Company Ltd.
Successor X Ltd.
Series 2011-1
Class III-S3
US HU, EQ , AUS EQ
Modeled Loss, Parametric Index
MTN
$50,000
B-
Dec-10
Swiss Reinsurance Company Ltd.
Successor X Ltd.
Series 2011-1
Class III-T3
US HU, EQ , AUS EQ
Modeled Loss, Parametric Index
MTN
$55,000
Dec-10
Groupama S.A.
Green Fields Capital Limited
Series 2011-1
Class A
EU Wind
Industry Index
MTN
€75,000
BB+
Feb-11
Hartford Fire Insurance Company
Foundation Re III Ltd.
Series 2011-1
Class A
US HU
Industry Index
MMF
$135,000
BB+
Feb-11
Swiss Reinsurance Company Ltd.
Successor X Ltd.
Series 2011-2
Class IV-E3
US HU, EQ
Industry Index
MTN
$160,000
B
Feb-11
Swiss Reinsurance Company Ltd.
Successor X Ltd.
Series 2011-2
Class IV-AL3
US HU, EQ
Industry Index
MTN
$145,000
Mar-11
Chubb Group
East Lane Re IV Ltd.
Series 2011-I
Class A
US HU, EQ, ST, WS
Indemnity
MMF
$225,000
BB+
Mar-11
Chubb Group
East Lane Re IV Ltd.
Series 2011-I
Class B
US HU, EQ, ST, WS
Indemnity
MMF
$250,000
BB
Mar-11
Munich Re
US HU, EU Wind
Industry Index
MMF
$100,000
BB-
Apr-11
Allianz Argos 14 GmbH
Blue Fin Ltd.
Series 4
Class B
US HU, EQ
Modeled Loss
MMF
$40,000
May-11
North Carolina JUA/IUA
Johnston Re Ltd.
Series 2011-1
Class A
US HU
Indemnity
MMF
$70,000
BB-
May-11
North Carolina JUA/IUA
Johnston Re Ltd.
Series 2011-1
Class B
US HU
Indemnity
MMF
$131,835
BB-
Insurance-Linked Securities
Queen Street II Capital Limited
BBa3
Fitch
Issuance Date
Beneficiary
Issuer
Series
Class
Perils
Trigger
Collateral
Size (thousands)
Moody’s
S&P
May-11
United Services Automobile Association
Residential Reinsurance 2011 Limited
Series 2011-I
Class 1
US HU, EQ, ST, WS, WF
Indemnity
MMF
$57,000
B+
May-11
United Services Automobile Association
Residential Reinsurance 2011 Limited
Series 2011-I
Class 2
US HU, EQ, ST, WS, WF
Indemnity
MMF
$33,000
B-
May-11
United Services Automobile Association
Residential Reinsurance 2011 Limited
Series 2011-I
Class 5
US HU, EQ, ST, WS, WF
Indemnity
MMF
$160,000
B+
Jun-11
Argo Re, Ltd.
Loma Reinsurance Ltd.
Series 2011-1
Class A
US HU, EQ, EU Wind, JP EQ
Industry Index
TPR
$100,000
BB-
Jul-11
Munich Re
EU Wind
Industry Index
MMF
$150,000
B+
Aug-11
California Earthquake Authority
Class A
CAL EQ
Indemnity
MMF
$150,000
BB-
Aug-11
Electricité Réseau Distribution France
Pylon II Capital Limited
Class A
FR Wind
Parametric Index
TPR
€65,000
B+
Aug-11
Electricité Réseau Distribution France
Pylon II Capital Limited
Class B
FR Wind
Parametric Index
TPR
€85,000
B-
Aug-11
Tokio Marine & Nichido Fire Insurance Co., Ltd.
JP TY
Indemnity
MTN
$160,000
Oct-11
EU Wind
Industry Index
MTN
€180,000
BB-
US HU, EU Wind
Industry Index
MMF
$100,000
BB-
Queen Street III Capital Limited Embarcadero Reinsurance Ltd.
Series 2011-I
Kizuna Re Ltd.
Series 2011-1
AXA Global P&C
Calypso Capital Limited
Series 2011-1
Oct-11
Munich Re
Queen Street IV Capital Limited
Nov-11
Swiss Reinsurance Company Ltd.
Successor X Ltd.
Series 2011-3
Class V-F4
US HU
Industry Index
MMF
$80,000
Nov-11
Swiss Reinsurance Company Ltd.
Successor X Ltd.
Series 2011-3
Class V-X4
US HU, EU W
Industry Index
MMF
$50,000
Nov-11
United Services Automobile Association
Residential Reinsurance 2011 Limited
Series 2011-II
Class 1
US HU, EQ, ST, WS, WF
Indemnity
MMF
$100,000
Nov-11
United Services Automobile Association
Residential Reinsurance 2011 Limited
Series 2011-II
Class 2
US HU, EQ, ST, WS, WF
Indemnity
MMF
$50,000
Dec-11
National Union Fire Insurance Company of Pittsburgh
Compass Re Ltd.
Series 2011-1
Class 1
US HU, EQ
Industry Index
MMF
$75,000
BB-
Dec-11
National Union Fire Insurance Company of Pittsburgh
Compass Re Ltd.
Series 2011-1
Class 2
US HU, EQ
Industry Index
MMF
$250,000
BB-
Dec-11
National Union Fire Insurance Company of Pittsburgh
Compass Re Ltd.
Series 2011-1
Class 3
US HU, EQ
Industry Index
MMF
$250,000
B+
Dec-11
State Compensation Insurance Fund
Golden State Re Ltd.
Series 2011-1
US EQ
Modeled Loss
MMF
$200,000
BB+
Dec-11
SCOR Global P&C SE
Atlas VI Capital Limited
Series 2011-1
Class A
US HU, EQ
Industry Index
MTN
$125,000
B
Dec-11
SCOR Global P&C SE
Atlas VI Capital Limited
Series 2011-1
Class B
US HU, EQ
Industry Index
MTN
$145,000
B+
Dec-11
SCOR Global P&C SE
Atlas VI Capital Limited
Series 2011-2
Class A
EU Wind
Industry Index
MTN
€50,000
B
Dec-11
Amlin AG
Tramline Re Ltd.
Series 2011-1
Class A
US HU, EQ, EU Wind
Industry Index
MMF
$150,000
B-
Dec-11
Argo Re, Ltd.
Loma Reinsurance Ltd.
Series 2011-2
Class A
US HU, EQ
Industry Index
MMF
$100,000
Class A
Fitch
B-
Aon Benfield
63
64
Issuance Date
Beneficiary
Issuer
Series
Class
Perils
Trigger
Collateral
Size (thousands)
Jan-12
Assurant, Inc.
Ibis Re II Ltd.
Series 2012-1
Class A
US HU
Industry Index
MMF
$100,000
BB-
Jan-12
Assurant, Inc.
Ibis Re II Ltd.
Series 2012-1
Class B
US HU
Industry Index
MMF
$30,000
B-
Feb-12
California Earthquake Authority
Embarcadero Reinsurance Ltd.
Series 2012-I
Class A
CAL EQ
Indemnity
MMF
$150,000
BB-
Feb-12
Zenkyoren
Kibou Ltd.
Series 2012-1
Class A
JP EQ
Parametric Index
MMF
$300,000
BB+
Feb-12
Swiss Reinsurance Company Ltd.
Successor X Ltd.
Series 2012-1
Class V-AA3
US HU, EU Wind
Industry Index
MMF
$23,000
Feb-12
Swiss Reinsurance Company Ltd.
Successor X Ltd.
Series 2012-1
Class V-D3
US HU
Industry Index
MMF
$40,000
Feb-12
Munich Re
US HU, EU Wind
Industry Index
MMF
$75,000
Mar-12
Liberty Mutual Insurance Company
Mystic Re III Ltd.
Series 2012-1
Class A
US HU, EQ (ex CA)
Indemnity
MMF
$100,000
BB
Mar-12
Liberty Mutual Insurance Company
Mystic Re III Ltd.
Series 2012-1
Class B
US HU, EQ
Indemnity
MMF
$175,000
B
Mar-12
Chubb Group
East Lane Re V Ltd.
Series 2012
Class A Southeast HU, ST
Indemnity
MMF
$75,000
BB
Mar-12
Chubb Group
East Lane Re V Ltd.
Series 2012
Class B Southeast HU, ST
Indemnity
MMF
$75,000
BB-
Mar-12
COUNTRY Mutual & North Carolina Farm Bureau Mutual
Combine Re Ltd.
Class A
US HU, EQ, ST, WS
Indemnity
MMF
$100,000
Baa1
Mar-12
COUNTRY Mutual & North Carolina Farm Bureau Mutual
Combine Re Ltd.
Class B
US HU, EQ, ST, WS
Indemnity
MMF
$50,000
Ba3
Mar-12
COUNTRY Mutual & North Carolina Farm Bureau Mutual
Combine Re Ltd.
Class C
US HU, EQ, ST, WS
Indemnity
MMF
$50,000
Apr-12
Allianz Argos 14 GmbH
Blue Danube Ltd.
Series 2012-1
Class A
US, CB, MX HU, US, CAN EQ
Industry Index
MTN
$120,000
BB+
Apr-12
Allianz Argos 14 GmbH
Blue Danube Ltd.
Series 2012-1
Class B
US, CB, MX HU, NA EQ
Industry Index
MTN
$120,000
BB-
Apr-12
Louisiana Citizens Property Insurance Corporation
Pelican Re Ltd.
Series 2012-1
Class A
LA HU
Indemnity
MMF
$125,000
Apr-12
Mitsui Sumitomo Insurance Co., Ltd
Akibare II Ltd.
Series 2012-1
Class A
JP TY
Modeled Loss
MMF
$130,000
BB
Apr-12
Citizens Property Insurance Corporation
Everglades Re Ltd.
Series 2012-1
Class A
FL HU
Indemnity
MMF
$750,000
B+
May-12
Swiss Reinsurance Company Ltd.
Mythen Ltd.
Series 2012-1
Class A
US HU
Industry Index
MTN
$50,000
Ba3
May-12
Swiss Reinsurance Company Ltd.
Mythen Ltd.
Series 2012-1
Class E
US HU
Industry Index
MTN
$100,000
Ba3
May-12
Swiss Reinsurance Company Ltd.
Mythen Ltd.
Series 2012-1
Class H
US HU, EU Wind
Industry Index
MTN
$250,000
B2
May-12
United Services Automobile Association
Residential Reinsurance 2012 Limited
Series 2012-I
Class 3
US HU, EQ, ST, WS, CAL WF
Indemnity
MMF
$50,000
BB-
May-12
United Services Automobile Association
Residential Reinsurance 2012 Limited
Series 2012-I
Class 5
US HU, EQ, ST, WS, CAL WF
Indemnity
MMF
$110,000
BB
May-12
United Services Automobile Association
Residential Reinsurance 2012 Limited
Series 2012-I
Class 7
US HU, EQ, ST, WS, CAL WF
Indemnity
MMF
$40,000
Jun-12
The Travelers Indemnity Company
Long Point Re III Ltd.
Series 2012-1
Class A
Northeast HU
Indemnity
MMF
$250,000
Insurance-Linked Securities
Queen Street V Re Limited
Moody’s
S&P
B2
BB+
Fitch
Issuance Date
Beneficiary
Issuer
Jul-12
Munich Re
Queen Street VI Re Limited
Jul-12
California Earthquake Authority
Sep-12
Hannover Re
Oct-12
Series
Class
Perils
Trigger
Collateral
Size (thousands)
US HU, EU Wind
Industry Index
MMF
$100,000
B
Moody’s
S&P
Embarcadero Reinsurance Ltd.
Series 2012-II
Class A
CAL EQ
Indemnity
MMF
$300,000
BB+
Eurus III Ltd.
Series 2012-1
Class A
EU Wind
Industry Index
MTN
€100,000
BB-
Fund for Natural Disasters
MultiCat Mexico Limited
Series 2012-I
Class A
Mex EQ
Parametric
MMF
$140,000
B
Oct-12
Fund for Natural Disasters
MultiCat Mexico Limited
Series 2012-I
Class B
Mex HU Atlantic
Parametric
MMF
$75,000
B+
Oct-12
Fund for Natural Disasters
MultiCat Mexico Limited
Series 2012-I
Class C
Mex HU Pacific
Parametric
MMF
$100,000
B-
Oct-12
Munich Re
Queen Street VII Re Limited
US HU, EU Wind
Industry Index
MMF
$75,000
B
Nov-12
SCOR Global P&C SE
Atlas Reinsurance VII Limited
Class A
US HU, EQ
Industry Index
MTN
$60,000
BB-
Nov-12
SCOR Global P&C SE
Atlas Reinsurance VII Limited
Class B
EU Wind
Industry Index
MTN
€130,000
BB
Nov-12
Swiss Reinsurance Company Ltd.
Mythen Re Ltd.
Series 2012-2
Class A
US HU, U.K. Mortality
Industry Index
MTN
$120,000
B+
Nov-12
Swiss Reinsurance Company Ltd.
Mythen Re Ltd.
Series 2012-2
Class C
US HU
Industry Index
MTN
$80,000
B-
Nov-12
United Services Automobile Association
Residential Reinsurance 2012 Limited
Series 2012-II
Class 1
US HU, EQ, ST, WS, CAL WF
Indemnity
MMF
$155,000
BB+
Nov-12
United Services Automobile Association
Residential Reinsurance 2012 Limited
Series 2012-II
Class 2
US HU, EQ, ST, WS, CAL WF
Indemnity
MMF
$70,000
BB
Nov-12
United Services Automobile Association
Residential Reinsurance 2012 Limited
Series 2012-II
Class 3
US HU, EQ, ST, WS, CAL WF
Indemnity
MMF
$95,000
Nov-12
United Services Automobile Association
Residential Reinsurance 2012 Limited
Series 2012-II
Class 4
US HU, EQ, ST, WS, CAL WF
Indemnity
MMF
$80,000
Dec-12
National Union Fire Insurance Company of Pittsburgh
Compass Re Ltd.
Series 2012-1
Class 1
US HU, EQ
Industry Index
MMF
$400,000
Dec-12
Zurich American Insurance Company, Zurich Insurance Company, Ltd.
US, CAN EQ
Indemnity
MMF
$270,000
B+
Mar-13
Nationwide Mutual Insurance Company
Mar-13
Citizens Property Insurance Company
Apr-13
State Farm Fire and Casualty Company
Apr-13
Nationwide Mutual Insurance Company
Caelus Re 2013 Limited
Series 2013-2
Apr-13
North Carolina JUA/IUA
Tar Heel Re Ltd.
Apr-13
Turkish Catastrophe Insurance Pool
May-13 May-13
Lakeside Re III Ltd. Caelus Re 2013 Limited
Series 2013-1
Class A
US HU, EQ
Indemnity
MMF
$270,000
BB-
Series 2013-1
Class A
FL HU
Indemnity
MMF
$250,000
B
New Madrid EQ
Indemnity
MMF
$300,000
Class A
US HU, EQ
Indemnity
MMF
$320,000
Series 2013-1
Class A
NC Hurricane
Parametric Index
MMF
$500,000
B+
Bosphorus 1 Re Ltd.
Series 2013-1
Class A
Turkey EQ
Industry Index
MMF
$400,000
BB+
Allstate Insurance Company
Sanders Re Ltd.
Series 2013-1
Class A
US HU, EQ
Industry Index
MMF
$200,000
BB+
Allstate Insurance Company
Sanders Re Ltd.
Series 2013-1
Class B
US HU, EQ
Indemnity
MMF
$150,000
BB
Everglades Re Ltd. Merna Re IV Ltd.
Fitch
Aon Benfield
65
Issuance Date
66
Beneficiary
Issuer
Series
Class
Perils
Trigger
Collateral
Size (thousands)
Moody’s
S&P
May-13
Louisiana Citizens Property Insurance Company
Pelican Re Ltd.
Series 2013-1
Class A
LA HU
Indemnity
MMF
$140,000
May-13
American Coastal Insurance Company
Armor Re Ltd.
Series 2013-1
Class A
Florida HU
Indemnity
MMF
$183,000
BB+
May-13
Travelers Indemnity Company
Long Point Re III Ltd.
Series 2013-1
Class A
Northeast HU
Indemnity
MMF
$300,000
BB
May-13
Allianz Argos 14 GmbH
Blue Danube II Ltd.
Series 2013-1
Class A
US/CB/MX HU & NA EQ
Industry Index
MTN
$175,000
BB+
May-13
United Services Automobile Association
Residential Reinsurance 2013 Limited
Series 2013-I
Class 11
US HU, EQ, ST, WS, CAL WF
Indemnity
MMF
$205,000
May-13
United Services Automobile Association
Residential Reinsurance 2013 Limited
Series 2013-I
Class 3
US HU, EQ, ST, WS, CAL WF
Indemnity
MMF
$95,000
B-
Jun-13
Assurant, Inc.
Ibis Re II Ltd.
Series 2013-1
Class A
US HU
Industry Index
MMF
$110,000
BB+
Jun-13
Assurant, Inc.
Ibis Re II Ltd.
Series 2013-1
Class B
US HU
Industry Index
MMF
$35,000
BB-
Jun-13
Assurant, Inc.
Ibis Re II Ltd.
Series 2013-1
Class C
US HU
Industry Index
MMF
$40,000
B
Jun-13
Munich Re
US HU, AUS CY
Industry Index, Modeled Loss
MMF
$75,000
Jun-13
Amlin AG
Jul-13
Queen Street VIII Re Limited Tramline Re II Ltd.
Series 2013-1
Class A
NA EQ
Industry Index
MMF
$75,000
Groupama S.A.
Green Fields II Capital Limited
Series 2013-1
Class A
FR Wind
Industry Index
MTN
€280,000
Jul-13
Swiss Reinsurance Company Ltd.
Mythen Re Ltd.
Series Class B-1 2013-1
US HU
Industry Index
MMF
$100,000
Jul-13
Renaissance Reinsurance Ltd.
Jul-13
American International Group
Jul-13
Metropolitan Transportation Authority
Aug-13
AXIS Specialty Limited
Sep-13
National Mutual Insurance Federation of Agricultural Cooperatives
Oct-13
AXA Global P&C
Oct-13
BB
Mona Lisa Re Ltd.
Series 2013-2
Class A
US HU, EQ
Industry Index
MMF
$150,000
BB-
Tradewynd Re Ltd.
Series 2013-1
Class 1
US, CB HU, NA EQ
Indemnity
MMF
$125,000
B+
MetroCat Re Ltd.
Series 2013-1
Class A
Northeast Storm Surge
Parametric Index
MMF
$200,000
BB-
Northshore Re Limited
Series 2013-1
Class A
US HU, EQ
Industry Index
MMF
$200,000
BB-
Nakama Re Ltd.
Series 2013-1
Class 1
JP EQ
Indemnity
MMF
$300,000
BB+
Calypso Capital II Limited
Class A
EU Wind
Industry Index
MTN
€185,000
BB-
AXA Global P&C
Calypso Capital II Limited
Class B
EU Wind
Industry Index
MTN
€165,000
B+
Oct-13
Catlin Insurance Company Ltd.
Galileo Re Ltd.
Series 2013-1
Class A
US HU, EQ, EU Wind
Industry Index
MMF
$300,000
Dec-13
United Services Automobile Association
Residential Reinsurance 2013 Limited
Series 2013-II
Class 1
US HU, EQ, ST, WS, WF
Indemnity
MMF
$80,000
Dec-13
United Services Automobile Association
Residential Reinsurance 2013 Limited
Series 2013-II
Class 4
US HU, EQ, ST, WS, WF
Indemnity
MMF
$70,000
Dec-13
American International Group
Tradewynd Re Ltd.
Series Class 1-A 2013-2
US/CB HU, NA EQ
Indemnity
MMF
$100,000
Dec-13
American International Group
Tradewynd Re Ltd.
Series Class 3-A 2013-2
US/CB HU, NA EQ
Indemnity
MMF
$160,000
Insurance-Linked Securities
BB-
Fitch
Issuance Date
Beneficiary
Dec-13
American International Group
Dec-13
Achmea Reinsurance Company N.V.
Dec-13
American Modern Insurance Group, Inc.
Dec-13
Issuer Tradewynd Re Ltd.
Class
Perils
Trigger
Collateral
Size (thousands)
Series Class 3-B 2013-2
US/CB HU, NA EQ
Indemnity
MMF
$140,000
Series
Windmill I Re Ltd.
Series 2013-1
Class A
EU Wind
Indemnity
MMF
€40,000
Queen City Re Ltd.
Series 2013-1
Class A
US HU
Indemnity
MMF
$75,000
Argo Re, Ltd.
Loma Reinsurance (Bermuda) Ltd.
Series 2013-1
Class A
US/CB HU, U.S. ST, NA/CB EQ
Indemnity, Industry Index
MMF
$32,000
Dec-13
Argo Re, Ltd.
Loma Reinsurance (Bermuda) Ltd.
Series 2013-1
Class B
US/CB HU, U.S. ST, NA/CB EQ
Indemnity, Industry Index
MMF
$75,000
Dec-13
Argo Re, Ltd.
Loma Reinsurance (Bermuda) Ltd.
Series 2013-1
Class C
US/CB HU, U.S. ST, NA/CB EQ
Indemnity, Industry Index
MMF
$65,000
Dec-13
QBE Insurance Group Limited
VenTerra Re Ltd.
Series 2013-1
Class A
US EQ, AUS CY, EQ
Indemnity
MMF
$250,000
Feb-14
Münchener RückversicherungsGesellschaft Aktiengesellschaft
Queen Street IX Re Limited
US HU, AUS CY
Multiple
MMF
$100,000
Mar-14
Chubb Group
Mar-14
American Strategic Insurance Group
Mar-14
Moody’s
S&P
BB
East Lane Re VI Ltd.
Series 2014-1
Class A
Northeast U.S. HU, EQ, ST, WS
Indemnity
MMF
$270,000
Gator Re Ltd.
Series 2014-1
Class A
US HU, ST
Indemnity
MMF
$200,000
Tokio Marine & Nichido Fire Insurance Co., Ltd.
Kizuna Re II Ltd.
Series 2014-1
Class A
JP EQ
Indemnity
MMF
$200,000
Mar-14
Tokio Marine & Nichido Fire Insurance Co., Ltd.
Kizuna Re II Ltd.
Series 2014-1
Class B
JP EQ
Indemnity
MMF
$45,000
Mar-14
Great American Insurance Company
Riverfront Re Ltd.
NA HU, EQ, ST & WS
Indemnity
MMF
$95,000
Mar-14
State Farm Fire and Casualty Company
Merna Re V Ltd.
New Madrid EQ
Indemnity
MMF
$300,000
Apr-14
Heritage Property & Casualty Insurance Company
Citrus Re Ltd.
Series 2014-1
Class A
FL HU
Indemnity
MMF
$150,000
Apr-14
Heritage Property & Casualty Insurance Company
Citrus Re Ltd.
Series 2014-2
Class 1
FL HU
Indemnity
MMF
$50,000
Apr-14
Assicurazioni Generali S.p.A.
EU Wind
Indemnity
MTN
€190,000
Apr-14
Everest Reinsurance Company
Kilimanjaro Re Limited
Series 2014-1
Class A
SE HU
Industry Index
MMF
$250,000
BB-
Apr-14
Everest Reinsurance Company
Kilimanjaro Re Limited
Series 2014-1
Class B
NA HU, EQ
Industry Index
MMF
$200,000
BB-
May-14
American Coastal Insurance Company
Armor Re Ltd.
Series 2014-1
Class A
FL HU
Indemnity
MMF
$200,000
May-14
Citizens Property Insurance Corporation
Everglades Re Ltd.
Series 2014-1
Class A
FL HU
Indemnity
MMF
$1,500,000
May-14
Allstate Insurance Company
Sanders Re Ltd.
Series 2014-1
Class B
US HU, EQ
Industry Index
MMF
$330,000
BB+
May-14
Allstate Insurance Company
Sanders Re Ltd.
Series 2014-1
Class C
US HU, EQ
Industry Index
MMF
$115,000
BB
May-14
Allstate Insurance Company
Sanders Re Ltd.
Series 2014-1
Class D
US HU, EQ
Industry Index
MMF
$305,000
BB
Lion I Re Limited
Fitch
BB+
BB-
B+
B
Aon Benfield
67
Issuance Date
68
Beneficiary
Issuer
Series
Class
Perils
Trigger
Collateral
Size (thousands)
Moody’s
S&P
Fitch
May-14
Castle Key Insurance Company and Castle Key Indemnity Company
Sanders Re Ltd.
Series 2014-2
Class A
FL HU, EQ, ST
Indemnity
MMF
$200,000
May-14
National Mutual Insurance Federation of Agricultural Cooperatives
Nakama Re Ltd.
Series 2014-1
Class 1
JP EQ
Indemnity
MMF
$150,000
May-14
National Mutual Insurance Federation of Agricultural Cooperatives
Nakama Re Ltd.
Series 2014-1
Class 2
JP EQ
Indemnity
MMF
$150,000
May-14
United Services Automobile Association
Residential Reinsurance 2014 Limited
Series 2014-I
Class 10
US HU, EQ, ST, WS, WF
Indemnity
MMF
$80,000
May-14
United Services Automobile Association
Residential Reinsurance 2014 Limited
Series 2014-I
Class 13
US HU, EQ, ST, WS, WF
Indemnity
MMF
$50,000
May-14
Sompo Japan and Nipponkoa Insurance Company
Aozora Re Ltd.
Series 2014-1
Class B
JP TY
Indemnity
MMF
¥10,125,000
Jun-14
Texas Windstorm Insurance Association
Alamo Re Ltd.
Series 2014-1
Class A
TX HU
Indemnity
MMF
$400,000
Sept-14
State Compensation Insurance Fund
Golden State Re II Ltd.
Series 2014-1
Class A
US EQ
Modeled Loss
MMF
$250,000
BB+
Nov-14
Everest Reinsurance Company
Kilimanjaro Re Limited
Series 2014-2
Class C
NA EQ
Industry Index
MMF
$500,000
BB-
Dec-14
California Earthquake Authority
Ursa Re Ltd.
Series 2014-1
Class A
CAL EQ
Indemnity
MMF
$200,000
Dec-14
California Earthquake Authority
Ursa Re Ltd.
Series 2014-1
Class B
CAL EQ
Indemnity
MMF
$200,000
Dec-14
United Services Automobile Association
Residential Reinsurance 2014 Limited
Series 2014-II
Class 4
US HU, EQ, ST, WS, WF, VE, MI
Indemnity
MMF
$100,000
Dec-14
Amlin AG
Tramline Re II Ltd.
Series 2014-1
Class A
US HU, EQ & EU Wind
Industry Index
MMF
$200,000
Dec-14
American International Group, Inc.
Tradewynd Re Ltd.
Series Class 1-B 2014-1
NA/MEX/CB/ Gulf HU & NA/ MEX/CB EQ
Indemnity
MMF
$100,000
B
Dec-14
American International Group, Inc.
Tradewynd Re Ltd.
Series Class 3-A 2014-1
NA/MEX/CB/ Gulf HU & NA/ MEX/CB EQ
Indemnity
MMF
$100,000
BB-
Dec-14
American International Group, Inc.
Tradewynd Re Ltd.
Series Class 3-B 2014-1
NA/MEX/CB/ Gulf HU & NA/ MEX/CB EQ
Indemnity
MMF
$300,000
B
Dec-14
National Mutual Insurance Federation of Agricultural Cooperatives
Nakama Re Ltd.
Series 2014-2
Class 1
JP EQ
Indemnity
MMF
$175,000
Dec-14
National Mutual Insurance Federation of Agricultural Cooperatives
Nakama Re Ltd.
Series 2014-2
Class 2
JP EQ
Indemnity
MMF
$200,000
Feb-15
Catlin Insurance Company Ltd.
Galileo Re Ltd.
Series 2015-1
Class A
US HU, NA EQ, EU Wind
Industry Index
MMF
$300,000
Feb-15
SCOR Global P&C SE
Atlas IX Capital Limited
Series 2015-1
Class A
US HU, NA EQ
Industry Index
MMF
$150,000
Mar-15
Chubb Group of Insurance Companies
East Lane Re VI Ltd.
Series 2015-I
Class A
Northest HU, EQ, ST, WS, WF, VE, MI
Indemnity
MMF
$250,000
Mar-15
Tokio Marine & Nichido Fire Insurance Co., Ltd.
Kizuna Re II Ltd.
Series 2015-1
Class A
JP EQ
Indemnity
MMF ¥35,000,000
Insurance-Linked Securities
BB
B
BB
BBB-
Issuance Date
Beneficiary
Issuer
Series
Class
Perils
Trigger
Collateral
Size (thousands)
Series 2015-1
Class A
FL HU
Indemnity
MMF
$100,000
US HU, AUS CY
Industry Index and Modeled Loss
MMF
$100,000
Moody’s
S&P
Fitch
Mar-15
Safepoint Insurance Company
Manatee Re Ltd.
Mar-15
Münchener RückversicherungsGesellschaft Aktiengesellschaft
Queen Street X Re Limited
Mar-15
State Farm Fire and Casualty Company
Merna Re Ltd.
Series 2015-1
Class A
New Madrid EQ
Indemnity
MMF
$300,000
Apr-15
Heritage Property & Casualty Insurance Company
Citrus Re Ltd.
Series 2015-1
Class A
FL HU
Indemnity
MMF
$150,000
Apr-15
Heritage Property & Casualty Insurance Company
Citrus Re Ltd.
Series 2015-1
Class B
FL HU
Indemnity
MMF
$97,500
Apr-15
Heritage Property & Casualty Insurance Company
Citrus Re Ltd.
Series 2015-1
Class C
FL HU
Indemnity
MMF
$30,000
Apr-15
Louisiana Citizens Property Insurance Corporation
Pelican III Re Ltd.
Series 2015-1
Class A
LA HU
Indemnity
MMF
$100,000
Apr-15
Massachusetts Property Insurance Underwriting Associaton
Cranberry Re Ltd.
Series 2015-1
Class A
MA HU, ST, WS
Indemnity
MMF
$300,000
May-15
Citizens Property Insurance Corporation
Everglades Re Ltd.
Series 2015-1
Class A
FL HU
Indemnity
MMF
$300,000
Apr-15
Texas Windstorm Insurance Association
Alamo Re Ltd.
Series 2015-1
Class A
TX HU
Indemnity
MMF
$300,000
B+
Apr-15
Texas Windstorm Insurance Association
Alamo Re Ltd.
Series 2015-1
Class B
TX HU
Indemnity
MMF
$400,000
BB-
May-15
The Travelers Indemnity Company
Long Point Re III Ltd.
Series 2015-1
Class A
Northeast HU, EQ, ST, WS
Indemnity
MMF
$300,000
BB-
May-15
United Services Automobile Association
Residential Reinsurance 2015 Limited
Series 2015-I
Class 10
US HU, EQ, ST, WS, WF, VE, MI
Indemnity
MMF
$50,000
May-15
United Services Automobile Association
Residential Reinsurance 2015 Limited
Series 2015-I
Class 11
US HU, EQ, ST, WS, WF, VE, MI
Indemnity
MMF
$100,000
Jun-15
American International Group, Inc.
Compass Re II Ltd.
Series 2015-1
Class 1
US HU
Parametric Index
MMF
$300,000
B+
Jun-15
UnipolSai Assicurazioni S.p.A
Azzurro Re I Limited
Class A
EU EQ
Indemnity
EBRD Notes
€ 200,000
BB+
B
BB
Aon Benfield
69
70
Insurance-Linked Securities
Appendix III Life and Health Catastrophe Bonds— Transaction Summary As of June 30, 2015 Source: Aon Securities Inc.
Aon Benfield
71
Summary of life and health catastrophe bonds — December 1996 through June 2015
72
Issuance date
Beneficiary
Issuer
Series
Dec-03
Swiss Reinsurance Company, Ltd.
Vita Capital Ltd.
Series 1
Apr-05
Swiss Reinsurance Company, Ltd.
Vita Capital II Ltd.
Series 1
Apr-05
Swiss Reinsurance Company, Ltd.
Vita Capital II Ltd.
Apr-05
Swiss Reinsurance Company, Ltd.
Apr-06
Class
Perils
Trigger
Size (thousands)
S&P
Extreme Mortality
Index
$400,000
A+
Class B
Extreme Mortality
Index
$62,000
A-
Series 1
Class C
Extreme Mortality
Index
$200,000
BBB+
Vita Capital II Ltd.
Series 1
Class D
Extreme Mortality
Index
$100,000
BBB-
Scottish Annuity & Life Insurance Company (Cayman) Ltd.
Tartan Capital Limited
Series 1
Class A
Extreme Mortality
Index
$75,000
AAA
Apr-06
Scottish Annuity & Life Insurance Company (Cayman) Ltd.
Tartan Capital Limited
Series 1
Class B
Extreme Mortality
Index
$80,000
A-
Nov-06
AXA Cessions
OSIRIS Capital plc
Series 1
Class B
Extreme Mortality
Index
€100,000
BBB
Nov-06
AXA Cessions
OSIRIS Capital plc
Series 2
Class B
Extreme Mortality
Index
€50,000
BB+
Nov-06
AXA Cessions
OSIRIS Capital plc
Series 3
Class C
Extreme Mortality
Index
$150,000
A
Nov-06
AXA Cessions
OSIRIS Capital plc
Series 3
Class D
Extreme Mortality
Index
$100,000
A
Dec-06
Swiss Reinsurance Company, Ltd.
Vita Capital III Ltd.
Series 1
Class B
Extreme Mortality
Index
$90,000
A
Dec-06
Swiss Reinsurance Company, Ltd.
Vita Capital III Ltd.
Series 2
Class B
Extreme Mortality
Index
$50,000
AAA
Dec-06
Swiss Reinsurance Company, Ltd.
Vita Capital III Ltd.
Series 3
Class B
Extreme Mortality
Index
€30,000
AAA
Jan-07
Swiss Reinsurance Company, Ltd.
Vita Capital III Ltd.
Series 4
Class A
Extreme Mortality
Index
$100,000
AAA
Jan-07
Swiss Reinsurance Company, Ltd.
Vita Capital III Ltd.
Series 5
Class A
Extreme Mortality
Index
$100,000
AAA
Jan-07
Swiss Reinsurance Company, Ltd.
Vita Capital III Ltd.
Series 5
Class B
Extreme Mortality
Index
$50,000
AAA
Jan-07
Swiss Reinsurance Company, Ltd.
Vita Capital III Ltd.
Series 6
Class A
Extreme Mortality
Index
€55,000
AAA
Jan-07
Swiss Reinsurance Company, Ltd.
Vita Capital III Ltd.
Series 6
Class B
Extreme Mortality
Index
€55,000
AAA
Jan-07
Swiss Reinsurance Company, Ltd.
Vita Capital III Ltd.
Series 7
Class A
Extreme Mortality
Index
€100,000
AA-
Feb-08
Munich Re
Nathan Ltd.
Series 1
Class A
Extreme Mortality
Index
$100,000
A-
Jan-09
Swiss Reinsurance Company, Ltd.
Vita Capital IV Ltd.
Series 1
Class E
Extreme Mortality
Index
$75,000
BB+
May-10
Swiss Reinsurance Company, Ltd.
Vita Capital IV Ltd.
Series III
Class E
Extreme Mortality
Index
$50,000
BB+
Insurance-Linked Securities
Issuer
Series
Class
Perils
Trigger
Size (thousands)
Issuance date
Beneficiary
S&P
Oct-10
Swiss Reinsurance Company, Ltd.
Vita Capital IV Ltd.
Series III
Class E
Extreme Mortality
Index
$100,000
BB+
Oct-10
Swiss Reinsurance Company, Ltd.
Vita Capital IV Ltd.
Series IV
Class E
Extreme Mortality
Index
$75,000
BB+
Dec-10
Aetna Life Insurance Company
Vitality Re Limited
Series 2010-1
Class A
Health
Indemnity - MBR
$150,000
BBB-
Dec-10
Swiss Reinsurance Company, Ltd.
Kortis Capital Ltd.
Series 2010-1
Class E
Longevity
Index
$50,000
BB+
Apr-11
Aetna Life Insurance Company
Vitality Re II Limited
Series 2011-1
Class A
Health
Indemnity - MBR
$110,000
BBB
Apr-11
Aetna Life Insurance Company
Vitality Re II Limited
Series 2011-1
Class B
Health
Indemnity - MBR
$40,000
BB+
Aug-11
Swiss Reinsurance Company Ltd.
Vita Capital IV Ltd.
Series V
Class D
Extreme Mortality
Index
$100,000
BBB-
Aug-11
Swiss Reinsurance Company Ltd.
Vita Capital IV Ltd.
Series VI
Class E
Extreme Mortality
Index
$80,000
BB+
Jan-12
Aetna Life Insurance Company
Vitality Re III Limited
Series 2012-1
Class A
Health
Indemnity - MBR
$105,000
BBB+
Jan-12
Aetna Life Insurance Company
Vitality Re III Limited
Series 2012-1
Class B
Health
Indemnity - MBR
$45,000
BB+
Jul-12
Swiss Reinsurance Company Ltd.
Vita Capital V Ltd.
Series 2012-I Class D-1
Extreme Mortality
Index
$125,000
BBB-
Jul-12
Swiss Reinsurance Company Ltd.
Vita Capital V Ltd.
Series 2012-I
Class E-1
Extreme Mortality
Index
$150,000
BB+
Jan-13
Aetna Life Insurance Company
Vitality Re IV Limited
Series 2013-1
Class A
Health
Indemnity - MBR
$105,000
BBB+
Jan-13
Aetna Life Insurance Company
Vitality Re IV Limited
Series 2013-1
Class B
Health
Indemnity - MBR
$45,000
BB+
Sep-13
SCOR Global Life SE
Atlas IX Capital Limited
Series 2013-1
Class B
Extreme Mortality
Index
$180,000
BB
Jan-14
Aetna Life Insurance Company
Vitality Re V Limited
Series 2014-1
Class A
Health
Indemnity - MBR
$140,000
BBB+
Jan-14
Aetna Life Insurance Company
Vitality Re V Limited
Series 2014-1
Class B
Health
Indemnity - MBR
$60,000
BB+
Jan-14
Aetna Life Insurance Company
Vitality Re V Limited
Series 2014-1
Class A
Health
Indemnity - MBR
$140,000
BBB+
Jan-14
Aetna Life Insurance Company
Vitality Re V Limited
Series 2014-1
Class B
Health
Indemnity - MBR
$60,000
BB+
Jan-15
Aetna Life Insurance Company
Vitality Re VI Limited
Series 2015-1
Class A
Health
Indemnity - MBR
$140,000
BBB+
Jan-15
Aetna Life Insurance Company
Vitality Re VI Limited
Series 2015-1
Class B
Health
Indemnity - MBR
$60,000
BB+
Apr-15
Axa Global Life
Benu Capital Limited
Class A
Extreme Mortality
Index
€ 135,000
BB+
Apr-15
Axa Global Life
Benu Capital Limited
Class B
Extreme Mortality
Index
€ 150,000
BB
Aon Benfield
73
74
Insurance-Linked Securities
Appendix IV Summary of Sidecar Issuance As of June 30, 2015 Source: Aon Securities Inc., company filings, press releases
Aon Benfield
75
Summary of sidecar issuance Sidecar
Inception
Lines of Business
Size ($ millions)
Top Layer Re
RenaissanceRe, SF
Dec-99
High excess U.S. property cat
100.0
Olympus Re
White Mountains Re
Dec-01
Property cat, property risk, retro and marine
500.0
RenaissanceRe, SF
Dec-01
Property cat reinsurance
600.0
DaVinci Re Rockridge Re
Montpelier Re
Jun-05
High excess cat retrocessional
90.9
Blue Ocean Re
Montpelier Re
Dec-05
Property cat retrocessional
300.0
Cyrus Re
XL Capital
Dec-05
Property cat reinsurance and retrocessional
525.0
Flatiron Re
Arch Re
Dec-05
Property and marine reinsurance
900.0
Helicon Re
White Mountains Re
Dec-05
Short-tailed property and marine
146.0
Kaith/K5 Olympus Re II Petrel Re Starbound Re Bay Point Re Sirocco Re
Hannover Re
Dec-05
Property cat, property risk, aviation and marine
370.0
White Mountains Re
Jan-06
Property cat, property risk, retro and marine
156.0
Validus
May-06
Marine and offshore energy reinsurance contracts
125.0
RenaissanceRe
May-06
Short-tailed property and marine
310.5
Harbor Point
Jun-06
US property, marine, retro and workers’ comp
150.0
Lancashire
Jun-06
Marine and offshore energy insurance contracts
75.0
Timicuan Re
RenaissanceRe
Jul-06
Reinstatement premium protection
70.0
Concord Re
Lexington Insurance Co
Aug-06
US commercial property
730.0
Mont Fort Re
Flagstone Re
Aug-06
Peak zone and ILW
60.0
XL Capital
Nov-06
Property cat reinsurance and retrocessional
635.0
Panther Re
Hiscox
Dec-06
Property cat reinsurance
360.0
Syncro Ltd.
Lloyd’s #4242 (Chaucer)
Dec-06
Property cat reinsurance
100.0
Brit Insurance
Dec-06
Property cat retrocessional
107.7
Cyrus Re
Norton Re New Point Re
Harbor Point
Dec-06
Property cat retrocessional
250.0
Triomphe Re
Paris Re
Dec-06
Property cat retrocessional
185.0
Sector Re
Swiss Re
Jan-07
Property cat, aviation
220.0
MaRI Ltd.
ACE
Jan-07
Property cat reinsurance
400.0
Ark Underwriting
Jan-07
Property cat reinsurance
40.0
Syndicate 6105 Syndicate 6104
Hiscox
Jan-07
Property cat reinsurance
69.0
Syndicate 6103
MAP Underwriting
Jan-07
Property cat reinsurance
78.6
Bridge Re Starbound Re II Mont Gele Re Norton Re II Sector Re II Cyrus Re ll
Swiss Re
Apr-07
Property cat, aviation
182.5
RennaisanceRe
Jun-07
Property cat reinsurance
341.5
Flagstone Re
Jul-07
Property cat reinsurance
60.0
Brit Insurance
Dec-07
Property cat retrocessional
118.2
Swiss Re
Apr-08
Property cat, aviation
150.0
XL Capital
Dec-07
Property cat reinsurance and retrocessional
140.0
New Point Re II
Harbor Point
Dec-07
Property cat retrocessional
100.0
Globe Re
Hannover Re
May-08
Property cat retrocessional
133.0
Kaith/K6 Timicuan Re II Fac Pool Re AlphaCat Re
76
Principal Sponsor
Insurance-Linked Securities
Hannover Re
Mar-09
Property cat, property risk, aviation and marine
180.0
RenaissanceRe
Jun-09
Property cat retrocessional, primarily Florida
60.4
Hannover Re
Sep-09
Worldwide facultative
60.0
Validus
May-11
Property cat reinsurance and retrocessional
180.0
Sidecar Accordion Re New Point Re IV
Inception
Lines of Business
Size ($ millions)
Lancashire Re
Jul-11
Property cat
200.0
Alterra
Jul-11
Property cat retrocessional
225.0
RenaissanceRe
Jan-12
Property cat retrocessional
73.7
SPS 20881
Catlin
Jan-12
Various lines (Syndicate 2003 quota share)
77.5
1
SPS 6111
Catlin
Jan-12
Various lines (Syndicate 2003 quota share)
93.0
SPS 61121
Catlin
Jan-12
Various lines (Syndicate 2003 quota share)
41.9
Upsilon Re
PacRe Timicuan Re III New Point Re V AlphaCat Re 2012
Validus
Mar-12
Property cat reinsurance (top layer)
500.0
RenaissanceRe
Jun-12
Property cat retrocessional, primarily Florida
73.7
Alterra
Jun-12
Property cat retrocessional
210.0
Validus
Jun-12
Property cat reinsurance and retrocessional
70.0
Lancashire Re
Nov-12
Combined exposure UNL aggregate reinsurance product
250.0
New Point Re V
Alterra Capital
Dec-12
Property cat retrocessional
37.0
Upsilon Re II
RenaissanceRe
Jan-13
Worldwide aggregate retrocessional reinsurance
185.0
Argo Group
Jan-13
Portfolio for both insurance and reinsurance
Undisclosed
Saltire Re I
Harambee Re AlphaCat Re 2013
Validus
Jan-13
Worldwide property cat reinsurance and retrocession
230.0
Everest Re
Jan-13
Worldwide property cat reinsurance
250.0
K Cession
Hannover Re
Mar-13
Peak property cat and whole account XOL non-marine
328.0
Lorenz Re
PartnerRe
Mar-13
Worldwide property cat reinsurance for select accounts
75.0
ACE
Apr-13
Worldwide property cat insurance and reinsurance
95.0
Lancashire
Jul-13
Property, energy, marine, aviation and Lloyd’s
270.0
XL
Jul-13
Collateralized reinsurance and capital markets
Est. 200
Markel
Jul-13
Property cat retrocessional
215.0
Montpelier
Nov-13
Property cat reinsurance
175.0
Validus
Dec-13
Worldwide property cat reinsurance
160.0
Mt. Logan Re
Altair Re Kinesis New Ocean Capital Management New Point VI Blue Capital Re. Holdings AlphaCat 2014 Atlas Reinsurance X Silverton Re Eden Re Altair Re II Harambee Re Upsilon RFO Pangaea IX Silverton Re
SCOR
Dec-13
Property cat reinsurance
56.0
Aspen Re
Dec-13
Property cat reinsurance
65.0
Munich Re
Jan-14
Property cat reinsurance
63.0
ACE
Jan-14
Worldwide property cat insurance and reinsurance
95.0
Argo
Jan-14
Property reinsurance
Undisclosed
RenaissanceRe
Jan-14
Worldwide aggregate cat retrocessional
265.0
TransRe
May-14
Retrocessional
Undisclosed
Aspen Re
Dec -14
Property cat reinsurance
85.0
Eden Re II
Munich Re
Dec-14
Property cat reinsurance
75.0
Eden Re I 2015-1
Munich Re
Dec-14
Property cat reinsurance
Undisclosed
TransRe
Dec-14
Property cat reinsurance
Undisclosed
Brit
Jan-15
Worldwide property cat reinsurance
75.0
Validus
Jan-15
Property cat reinsurance
155.0
Swiss Re
Apr-15
Property cat reinsurance
190.7
PartnerRe
Apr-15
Property cat reinsurance
84.0
Pangaea Re Versutus AlphaCat 2015 Sector Re V Ltd. Lorenz Re Ltd. 1
Principal Sponsor
Converted at £1.00 = $1.55 as of January 1, 2012. Whole account quota share of the Catlin Syndicate at Lloyd’s (Syndicate 2003)
Aon Benfield
77
78
Insurance-Linked Securities
Contact Paul Schultz Chief Executive Officer, Aon Securities Inc. +1 312 381 5256 paul.schultz@aonbenfield.com
About Aon Benfield Aon Benfield, a division of Aon plc (NYSE: AON), is the world‘s
Through our professionals’ expertise and experience, we advise
leading reinsurance intermediary and full-service capital
clients in making optimal capital choices that will empower
advisor. We empower our clients to better understand, manage
results and improve operational effectiveness for their business.
and transfer risk through innovative solutions and personalized
With more than 80 offices in 50 countries, our worldwide
access to all forms of global reinsurance capital across treaty,
client base has access to the broadest portfolio of integrated
facultative and capital markets. As a trusted advocate, we
capital solutions and services. To learn how Aon Benfield helps
deliver local reach to the world‘s markets, an unparalleled
empower results, please visit aonbenfield.com.
investment in innovative analytics, including catastrophe management, actuarial and rating agency advisory.
© Aon Securities Inc. 2015 | All Rights Reserved Aon Securities Inc. is providing this document, Insurance-Linked Securities 2015, and all of its contents (collectively, the “Document”) for general informational and discussion purposes only, and this Document does not create any obligations on the part of Aon Securities Inc., Aon Securities Limited and their affiliated companies (collectively, “Aon”). This Document is not intended and should not be construed as advice, opinions or statements with respect to any specific facts, situations or circumstances and Recipients should not take any actions or refrain from taking any actions, make any decisions (including any business or investment decisions), or place any reliance on this Document (including without limitation on any forward-looking statements). This Document is not intended, nor shall it be construed as (1) an offer to sell or a solicitation of an offer to buy any security or any other financial product or asset, (2) an offer, solicitation, confirmation or any other basis to engage or effect in any transaction or contract (in respect of a security, financial product or otherwise), or (3) a statement of fact, advice or opinion by Aon or its directors, officers, employees, and representatives (collectively, the “Representatives”). Any projections or forwardlooking statements contained or referred to in this Document are subject to various assumptions, conditions, risks and uncertainties (which may be known or unknown and which are inherently unpredictable) and any change to such items may have a material impact on the information set forth in this Document. Actual results may differ substantially from those indicated or assumed in this Document. No representation, warranty or guarantee is made that any transaction can be effected at the values provided or assumed in this Document (or any values similar thereto) or that any transaction would result in the structures or outcomes provided or assumed in this Document (or any structures or outcomes similar thereto). Aon makes no representation or warranty, whether express or implied, that the products or services described in this Document are suitable or appropriate for any sponsor, issuer, investor or participant, or in any location or jurisdiction. The information in this document is based on or compiled from sources that are believed to be reliable, but Aon has made no attempts to verify or investigate any such information or sources. Aon undertakes no obligation to review, update or revise this Document based on changes, new developments or otherwise, nor any obligation to correct any errors or inaccuracies in this Document. This Document is made available on an “as is” basis, and Aon makes no representation or warranty of any kind (whether express or implied), including without limitation in respect of the accuracy, completeness, timeliness, or sufficiency of the Document. Aon does not provide and this Document does not constitute any form of legal, accounting, taxation, regulatory, or actuarial advice. Recipients should consult their own professional advisors to undertake an independent review of any legal, accounting, taxation, regulatory, or actuarial implications of anything described in or related to this Document. Aon and its Representatives may have independent business relationships with, and may have been or in the future will be compensated for services provided to, companies mentioned in this Document. To the maximum extent permitted by law, Aon and its Representatives disclaim any and all liability relating to this Document, and neither Aon nor any of its Representatives shall have any liability to any party for any claim, loss, damage or liability in any way arising from, relating to, or in connection with this Document (including without limitation any actions or inactions, reliance or decisions based upon this Document) or any errors in or omissions from this Document (including without limitation the correctness, accuracy, completeness, timeliness, sufficiency, quality, pricing, reliability, performance, adequacy, or reasonableness of the information contained in this Document). To the maximum extent permitted by law, neither Aon nor its Representatives will be liable, in any event, for any special, indirect, consequential, or punitive loss or damage of any kind arising from, relating to or in connection with this Document.
About Aon Aon plc (NYSE:AON) is a leading global provider of risk management, insurance brokerage and reinsurance brokerage, and human resources solutions and outsourcing services. Through its more than 69,000 colleagues worldwide, Aon unites to empower results for clients in over 120 countries via innovative risk and people solutions. For further information on our capabilities and to learn how we empower results for clients, please visit: http://aon.mediaroom.com. © Aon plc 2015. All rights reserved. The information contained herein and the statements expressed are of a general nature and are not intended to address the circumstances of any particular individual or entity. Although we endeavor to provide accurate and timely information and use sources we consider reliable, there can be no guarantee that such information is accurate as of the date it is received or that it will continue to be accurate in the future. No one should act on such information without appropriate professional advice after a thorough examination of the particular situation.
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