Aon Benfield
Insurance-Linked
Securities
Alternative Markets Find Growth Through Innovation
September 2016
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 ninth edition of Aon Securities’ annual Insurance-Linked Securities (ILS)
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 for 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, 2016, during which time substantial progress
was made in the ILS market.
In the period under review, $5.2 billion of catastrophe bond issuance was secured and overall alternative
capital continued to grow across ILS products—reaching a new height of $75.1 billion. By June 30, 2016,
catastrophe bonds on-risk had reached $22.6 billion, a slight contraction from June 30, 2015. During this
period, sponsors continued to enhance coverage on catastrophe bond transactions in a variety of ways,
including the incorporation of additional perils and aggregate structures. Earlier in the year, we saw the UK
outline proposals to develop an ILS hub in the region that would compete with existing domiciles, such as
Bermuda, Cayman Islands, Guernsey, and Ireland. Although draft legislation was slated for the end of this
year, the coming months will test the importance of this issue following the UK’s “Brexit” decision to leave the
European Union.
The 2016 edition of this annual ILS report, Alternative Markets Find Growth Through Innovation, 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
Despite a lower overall catastrophe bond issuance than prior years, capital markets investors accessed risks
through additional channels—collateralized reinsurance, sidecars, start-up vehicles, and managing general
agencies. This growing capital deployment demonstrates the commitment of the alternative markets to the
reinsurance and insurance industries.
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........................................................................................ 8
The Aon ILS Indices...................................................................................... 11
Mergers and Acquisitions (Re)Insurer Activity.............................................. 13
ILS-Related Markets...................................................................................... 15
North America Perils.................................................................................... 19
Europe Perils................................................................................................ 23
Asia Pacific Perils.......................................................................................... 25
Life and Health Perils.................................................................................... 28
A Market Discussion with ILS Investors......................................................... 31
Appendix I.................................................................................................... 37
Appendix II................................................................................................... 43
Appendix III.................................................................................................. 67
Appendix IV................................................................................................. 71
Contact........................................................................................................ 75
Aon Securities’ Annual Review of
the Catastrophe Bond Market
Overview
Catastrophe bond issuance in the 12 months ending June 30,
Bermuda continued to be the domicile of choice for most
2016 reached $5.2 billion—the lowest for the period since 2011.
cedents during the 12 months under review. Fifteen of the
The year-over-year reduction of $1.8 billion was largely due
24 new issues utilized the jurisdiction, followed by six in the
to the lack of issuance in the first half of 2016, which was down
Cayman Islands and three in Ireland, with Gibraltar still seeking
over $1.6 billion from the same period in 2015. Despite this
to gain more traction with Europe sponsors. Just 26 percent
drop in issuance volume, the total outstanding volume was only
of the limit offered by new issuances was rated, reflecting
reduced by $825 million—mitigated by the longer coverage
investors’ ongoing sophistication, and acceptance with the
periods witnessed in recent years. The overall lower issuance
risks ceded.
levels were driven by a number of factors including competition
from traditional markets and longer coverage periods, both
of which resulted in some cedents renewing capacity less
frequently, as well as certain cedents increasing their risk
retentions. Despite the lower catastrophe bond issuance,
alternative capital continues to grow in the
(re)insurance space. Investors found more ways to deploy
capacity, such as via sidecars, collateralized reinsurance, and
other private arrangements. Collateralized reinsurance, in
particular, continues to grow overall market share within
cedents’ risk transfer programs.
Figure 1: Catastrophe bond issuance by year,
2007 to 2016 ( years ending June 30)
Property
issuance
Figure 2: Outstanding and cumulative catastrophe bond
volume, 2007 to 2016 (years ending June 30)
Property
outstanding
Life and health
issuance
Life and health
outstanding
Total
cumulative
bonds
Cumulative
property
issuance
80,000
10,000
9,400
72,273
70,000
67,083
8,145
6,431
6,665
50,702
5,914
6,000
60,102
60,000
6,981
5,190
4,736
4,382
4,000
$ millions
$ millions
8,000
50,000
44,037
37,605
40,000
30,000
33,223
26,782
20,867
20,000
2,000
1,705
16,155
12,911
28,487
22,422 23,467 22,562
13,174 13,167
15,123
17,788
11,504
10,000
0
16
15
20
14
20
13
20
11
12
20
20
20
10
09
20
08
20
20
07
16
14
15
20
20
20
13
12
20
11
20
20
10
09
20
08
20
07
20
20
Source: Aon Securities Inc.
20
0
Source: Aon Securities Inc.
Aon Benfield
1
Key market drivers
Enhanced coverage
Loss activity2
Coverage provided by the alternative markets continued
Global natural disasters in 2015 combined to cause economic
to expand with longer coverage periods and additional
losses of $123 billion, an amount 30 percent below the 15-year
perils. The average coverage period for catastrophe bonds
average of $175 billion. The disasters caused insured losses of
outstanding on June 30, 2016 was higher than prior periods at
$35 billion—31 percent below the 15-year mean of $51 billion.
3.6 years. A variety of aggregate structures, including annual,
This was the fourth consecutive calendar year with declining
rolling, and entire risk periods, were also placed at competitive
global catastrophe losses since the record-setting year of
rates in the alternative markets. For the 12-month period under
2011. However, this trend did not continue into the first half
review, approximately 30 percent of transactions—based
of 2016, with both overall economic and insured losses above
on both the total limit and number of issuances—utilized
their 16-year averages and at their highest levels since 2011.
aggregate structures.
North America, in particular, experienced several billion dollar
The majority of new issuances, including each of those
for primary cedents, secured indemnity protection while
reinsurers continued to favor industry index coverage.
Two corporate beneficiaries and the Turkish Catastrophe
Insurance Pool (TCIP) secured parametric protection, which
provides the benefit of speedier payouts and coverage for
hard-to-capture lines such as contingent business interruption.
Supply and demand
Aon Securities estimates the size of the alternative market
increased 10 percent to $75.1 billion1 in the 12-month period
ending June 30, 2016. As equity market volatility and negative
interest rates in certain regions persist, the ILS market
represents an attractive investment opportunity for many
investors. As discussed earlier, demand outstripped supply
loss events during the 12-month period under review. This
included severe weather outbreaks in the United States, which
amounted to $12.3 billion of aggregate losses in the first half of
2016. In addition, the Fort McMurray wildfires in Canada that
commenced in May 2016 are estimated to have caused CAD4.67
billion ($3.63 billion) of insured losses3—the costliest natural
disaster in the country’s history. Finally, Hurricane Patricia
made landfall in Mexico in October 2015 and was the strongest
ever recorded in the eastern Pacific. The MultiCat Mexico
Limited Series 2012-I Class C (MultiCat Mexico 2012-I C) notes
experienced a partial loss of principal due to Hurricane Patricia
which, despite the strength of the storm, caused only relatively
minor damage by making landfall in a sparsely populated area.
Despite the uptick in natural catastrophes during this period,
there was limited impact to the catastrophe bond market.
during the first half of 2016. As a result, catastrophe bond
cedents were able to secure enhanced coverage—such as
additional perils and aggregate structures—at favorable rates.
With fewer opportunities to invest in catastrophe bonds than
recent years, investors deployed capital in other products
with the collateralized reinsurance segment experience the
largest growth. Furthermore, investors are continuing to look
at innovative ways to access (re)insurance risks. For example,
Nephila Capital Ltd. (Nephila) established a managing general
agent and Credit Suisse Asset Management (CSAM) formed an
additional rated carrier.
1 Source: Aon Securities Inc.
2 Aon Benfield Impact Forecasting. 2015 Annual Global Climate and Catastrophe Report, Jan. 2016; and Global Catastrophe Recap: First Half of 2016, July 2016.
3 Source: Property Claim Services estimate as of Aug. 16, 2016 and converted at 1 CAD = $0.7777.
2
Insurance-Linked Securities
Transaction review
Third quarter 2015
§ § TCIP sponsored its second issuance—Bosphorus Ltd. Series
§ § In September 2015, the California Earthquake Authority
2015-1 (Bosphorus 2015-1)—in the third quarter of 2015. The
(CEA) utilized the catastrophe bond market for the fifth
parametric index transaction provided an additional $100
time since 2011. The latest issuance from Ursa Re Ltd.
million in coverage for the disaster fund, until the prior issuance
provides the CEA with an additional $250 million in annual
of $400 million matured in May 2016. The transaction was one
aggregate protection, and brought the total limit provided by
of two transactions in the quarter to utilize AAA-rated medium
catastrophe bonds to $650 million as of June 30, 2016.
term notes from the International Bank for Reconstruction and
Development (IBRD) as collateral.
Table 1: Third quarter 2015 catastrophe bond issuance
Beneficiary
Issuer
Series
Class
Size (millions)
Covered perils
Trigger
Recovery
Collateral
Hannover Rück SE
Acorn Re Ltd.
Series 2015-1
Class A
$300
West coast NA EQ
Parametric
Occurrence
IBRD
Turkish Catastrophe Insurance Pool
Bosphorus Ltd.
Series 2015-1
Class A
$100
Turkey EQ
Parametric index
Occurrence
IBRD
California Earthquake Authority
Ursa Re Ltd.
Series 2015-1
Class B
$250
CAL EQ
Indemnity
Annual aggregate
MMF
Total
Source: Aon Securities Inc.
$650
Legend
CAL — California
NA — North America
EQ — Earthquake
IBRD — International Bank
for Reconstruction and
Development Notes
MMF — US Treasury Money
Market Funds
Aon Benfield
3
Fourth quarter 2015
§ § In December 2015, Everest Reinsurance Company (Everest
§ § Swiss Reinsurance Company Ltd. (Swiss Re), historically the
Re) returned to the catastrophe bond market with its third
largest sponsor of catastrophe bonds since market inception,
transaction under the Kilimanjaro Re Limited program. The
issued its first catastrophe bond transaction since 2013 with
Series 2015-1 Class D and E notes provide North America
the Vita Capital VI Limited Series 2015-1 (Vita Capital VI)
named storm and earthquake per occurrence coverage on an
transaction. The $100 million extreme mortality transaction,
industry index basis for four years. The $625 million issuance
which has a risk period of five years, combined with two prior
brought total catastrophe bond capacity secured by Everest
life and health transactions placed earlier in 2015 brought life
Re to $1.58 billion and ranked the property and casualty
and health annual issuance to $610 million—a record level for
reinsurer third overall in total outstanding limit as of June 30,
this catastrophe bond sector in a single calendar year.
2016—all in just two years of issuance.
Table 2: Fourth quarter 2015 catastrophe bond issuance
Beneficiary
Issuer
Series
Class
Size (millions)
Covered perils
Trigger
Recovery
Collateral
Passenger Railroad Insurance,
Ltd. (National Railroad Passenger
Corporation)
PennUnion Re Ltd.
Series 2015-1
Class A
$275
US HU (surge
and wind)
and EQ
Parametric
Occurrence
MMF
Everest Reinsurance Company
Kilimanjaro Re Limited
Series 2015-1
Class D
$300
Class E
$325
US, CAN, PR
HU and EQ
Industry index
Occurrence
MMF
United Services Automobile
Association
Residential Reinsurance
2015 Limited
Series 2015-II
Class 3
$125
US HU, EQ,
ST, WS, WF,
VE, MI
Indemnity
Annual aggregate
MMF
Münchener RückversicherungsGesellschaft Aktiengesellschaft
(Munich Re)
Queen Street XI Re dac
$100
US HU and
AUS CY
Industry index,
modeled loss
Occurrence
MMF
Swiss Reinsurance Company Ltd.
Vita Capital VI Limited
Series 2015-1
Class A
$100
AUS, CAN, and
UK mortality
Industry index
Term aggregate
IBRD
National Mutual Insurance Federation
of Agricultural Cooperatives
Class 1
$100
Nakama Re Ltd.
Series 2015-1
JP EQ
Indemnity
Class 2
Total
Source: Aon Securities Inc.
4
Insurance-Linked Securities
$200
Occurrence
Rolling term
aggregate
$1,525
Legend
AUS — Australia
CAN — Canada
JP — Japan
PR — Puerto Rico
UK — United Kingdom
US — United States
CY — Cyclone
EQ — Earthquake
HU — Hurricane
MI — Meteorite Impact
ST — Severe Thunderstorm
VE — Volcanic Eruption
WF — Wildfire
WS — Winter Storm
IBRD — International Bank for
Reconstruction and Development Notes
MMF — US Treasury Money Market Funds
MMF
First quarter 2016
§ § In the first quarter of 2016, United Services Automobile
Association (USAA), an anchor sponsor in the catastrophe
bond market, issued through Espada Reinsurance Limited
(Espada Re) instead of its typical Residential Reinsurance
programs. The new program included the addition of “other
perils”—any natural catastrophe event assigned a catastrophe
code by Property Claim Services (PCS) not already named in
the coverage. This coverage was subsequently included in
USAA’s Residential Reinsurance 2016 Limited transaction in the
second quarter. Additionally, Espada Re’s coverage is placed
across a broad layer, which has a modeled trigger probability
of 9.65 percent and modeled expected loss of 2.25 percent
on a sensitivity basis. Ultimately the transaction closed at the
upper range of initial price guidance as well as at the bottom
range of size guidance with $50 million in coverage.
§ § State Farm Fire and Casualty Company (State Farm) raised
$300 million of New Madrid earthquake indemnity coverage.
The transaction is State Farm’s fourth consecutive year of
issuance and replaces an expiring 2013 transaction as the insurer
maintains its catastrophe bond coverage at $900 million.
§ § The end of the first quarter saw the successful close of a pair
of indemnity Japan typhoon transactions. The first, Akibare
Re Ltd. Series 2016-1 (Akibare Re 2016-1), was issued for
the benefit of Mitsui Sumitomo Insurance Co., Ltd. (Mitsui
Sumitomo); the second, Aozora Re Ltd. Series 2016-1 (Aozora
Re 2016-1), was issued for the benefit of Sompo Japan
Nipponkoa Insurance Inc. (SJNK). Both transactions found
marketing success, with Akibare Re 2016-1 upsizing by almost
15 percent to $200 million and pricing at the lower end of
initial price guidance at 2.25 percent. This upsized transaction
expanded Mitsui Sumitomo’s overall utilization of the capital
markets; it replaced the matured $130 million Akibare II Ltd.
transaction. It was also the cedent’s first indemnity and first
aggregate transaction. Similarly, Aozora Re 2016-1 grew by
over 25 percent to reach $220 million—more than double
SJNK’s inaugural 2014 issuance. These two issuances likely
benefitted from the early redemption of Kizuna Re II Ltd.
Series 2015-1 on April 1, 2016; many investors looked to these
transactions to help maintain the diversity of their portfolios.
Table 3: First quarter 2016 catastrophe bond issuance
Beneficiary
Issuer
SCOR Global P&C SE
Atlas IX Capital DAC
XL Insurance (Bermuda) Ltd
Galileo Re Ltd.
Class
Size
(millions)
Series 2016-1
Class A
$300
Class A
$100
Class B
$100
Class C
$100
Class A
$140
Class B
$60
Class D-50
$150
Class E-50
$100
Series 2016-1
Series 2016
Covered perils
Trigger
Recovery
Collateral
US, PR HU and US,
PR, CAN EQ
Industry
index
Annual
aggregate
EBRD
US HU, EU wind and
US, CAN EQ
Industry
index
Annual
aggregate
MMF
US medical benefits
ratio
Indemnity
Annual
aggregate
MMF
FL, HI HU
Indemnity
Occurrence
MMF
Aetna Life Insurance Company
Vitality Re VII Limited
Heritage Property & Casualty
Insurance Company and Zephyr
Insurance Company, Inc.
Citrus Re Ltd.
Series 2016-1
Nationwide Mutual Insurance
Company
Caelus Re IV Limited
Series 2016-1
Class A
$300
US HU, EQ, ST, WS,
WF, VE, MI
Indemnity
Occurrence
MMF
United Services Automobile
Association
Espada Reinsurance Limited
Series 2016-I
Class 20
$50
US HU, EQ, ST, WS,
WF, VE, MI, OP
Indemnity
Annual
aggregate
MMF
Safepoint Insurance Company
Manatee Re Ltd.
Series 2016-1
FL, LA HU
Indemnity
Occurrence
MMF
Mitsui Sumitomo Insurance Co., Ltd.
Akibare Re Ltd.
JP TY
Indemnity
Annual
aggregate
IBRD
Sompo Japan Nipponkoa Insurance Inc.
State Farm Fire and Casualty Company
Class A
$75
Class C
$20
Series 2016-1
Class A
$200
Aozora Re Ltd.
Series 2016-1
Class A
$220
JP TY
Indemnity
Occurrence
IBRD
Merna Re Ltd.
Series 2016-1
Class A
$300
New Madrid EQ
Indemnity
Occurrence
MMF
Total
Source: Aon Securities Inc.
Series
$2,215
Legend
CAN — Canada
EU — Europe
FL — Florida
HI — Hawaii
JP — Japan
LA — Louisiana
PR — Puerto Rico
US — United States
EQ — Earthquake
HU — Hurricane
MI — Meteorite Impact
OP — Other PCS-reported perils
ST — Severe Thunderstorm
TY — Typhoon
VE — Volcanic Eruption
WF — Wildfire
WS — Winter Storm
EBRD — European Bank
for Reconstruction and
Development Notes
IBRD — International Bank
for Reconstruction and
Development Notes
MMF — US Treasury Money
Market Funds
Aon Benfield
5
Second quarter 2016
§ § First Coast Re Ltd. provides Security First Insurance Company
§ § As the second quarter came to a close, Allianz Risk Transfer
(Security First) with $75 million of indemnity protection
(Bermuda) Limited (ART Bermuda) returned to the
against named storms and severe thunderstorms in Florida.
catastrophe bond market for the first time since 2008 with
The transaction utilizes a cascading structure, common
Blue Halo Re Ltd. (Blue Halo Re)—a three-year term aggregate
with Florida cedents, allowing the covered layer to lower as
cover. The transaction was upsized from its initial target and
underlying stated reinsurance is eroded. Security First initially
provides $185 million of industry index coverage for named
marketed $100 million of coverage to investors, but reduced
storms and earthquakes in the United States. Blue Halo Re
the offering to $75 million after Everest Re, an equity holder
utilized Aon’s CATstream® program—a platform that allows
of the company, exercised its right of first refusal and wrote a
an expedited process for issuance—and was also the first
$25 million line.
multi-peril and US-exposed term aggregate catastrophe
bond to come to market since 2011. Building on this success,
§ § Laetere Re Ltd. also provides cascading indemnity protection
ART Bermuda subsequently returned to the market in July for
to named subsidiaries of United Insurance Holdings
Corporation. The three classes of notes provide a total of $100
million of coverage for losses arising from named storms and
a second issuance from Blue Halo Re, which provides $225
million of US multi-peril coverage on an annual aggregate
basis.
earthquakes in peak-exposed regions (excluding California
quake). The one-year notes were issued at a discount to par,
which is relatively uncommon in the capital markets. The
notes provided investors with a wide spectrum of risk with
equivalent annual returns ranging from 6.00 to 17.50 percent.
Table 4: Second quarter 2016 catastrophe bond issuance
Beneficiary
United Services Automobile Association
Issuer
Residential Reinsurance
2016 Limited
Münchener Rückversicherungs-Gesellschaft
Aktiengesellschaft
Queen Street XII Re dac
Security First Insurance Company
First Coast Re Ltd.
United Property & Casualty Insurance
Company, Family Security Insurance Company,
Inc., Interboro Insurance Company
Laetere Re Ltd.
Allianz Risk Transfer (Bermuda) Limited
Blue Halo Re Ltd.
Series
Series 2016-I
Series 2016-1
Series 2016-1
Series 2016-1
Class
Size
(millions)
Class 10
$65
Class 11
$75
Class 13
$110
Covered perils
Trigger
Recovery
Collateral
US HU, EQ,
ST, WS, WF,
VE, MI, OP
Indemnity
Annual
aggregate
MMF
$190
US HU and EU
wind
Industry index
Occurrence
IBRD
Class A
$75
FL HU, ST
Indemnity
Occurrence
MMF
Class A
$30
US HU and EQ
Indemnity
Occurrence
MMF
US HU and EQ
Industry index
Term
aggregate
MMF
Class B
$40
Class C
$30
Class A
$130
Class B
$55
Total
Source: Aon Securities Inc.
6
Insurance-Linked Securities
$800
Legend
EU — Europe
FL — Florida
US — United States
EQ — Earthquake
HU — Hurricane
MI — Meteorite Impact
OP — Other PCS-reported perils
ST — Severe Thunderstorm
VE — Volcanic Eruption
WF — Wildfire
WS — Winter Storm
IBRD — International Bank
for Reconstruction and
Development Notes
MMF — US Treasury Money
Market Funds
Outlook
Alternative capital continues to show its commitment to the
a permanent source of (re)insurance capacity across market
(re)insurance markets. Despite the slowdown in catastrophe
cycles. In addition, sponsors that utilized catastrophe bonds for
bond issuance during the first half of 2016, investors found
risk transfer benefitted from favorable pricing and terms. Aon
ways to deploy capital into the sector. This included utilizing
Securities expects current pricing trends will continue for the
established products, such as collateralized reinsurance and
remainder of the year. Catastrophe bond issuance for the second
sidecars, as well as innovative ways to access risks. These factors
half of 2016 is expected to be similar to recent years, with total
demonstrate the willingness of capital markets investors to be
issuance for the calendar year closing between $5 to $6 billion.
Figure 3: Catastrophe bond issuance by half-year, 2009 to 2016
January - June
9,000
July - December
8,000
2,325
7,000
$ millions
6,000
2,175
3,498
5,000
2,692
2,625
4,000
2,843
3,000
5,902
2,086
3,588
2,000
4,656
3,973
3,015
2,650
1,000
0
1,757
1,385
2009
2010
2011
2012
2013
2014
2015
2016
Source: Aon Securities Inc.
Aon Benfield
7
ILS Investor Activity
Capacity providers4
Figure 4: Investor by category (years ending June 30)
Catastrophe fund
Institutional
Mutual fund
Reinsurer
Hedge fund
Institutions and dedicated catastrophe funds
remained the largest providers of capacity
2%
during the 12 months ending June 30, 2016.
Combined, the two categories provided
6%
77 percent of the total capacity. Continued
10%
8%
softening of rates, however, resulted in the
overall capacity from institutions declining by
9%
9%
more than one third to 20 percent. Capacity
47%
from reinsurers and mutual funds was relatively
stable compared to the prior 12-month period.
57%
Hedge funds’ market share increased to six
20%
percent as some increased their participations
32%
in response to the number of high-yielding
transactions coming to market.
2015
2016
Source: Aon Securities Inc.
Capital origins5
Figure 5: Investor by country/region (years ending June 30)
US
UK
Bermuda
Switzerland
Other
The geographic mix of catastrophe bond
investors in 2016 varied significantly from
2015. The US continued to be the main source
8%
of capital, with a 50 percent market share—
13%
regaining the amount lost in 2015 and reaching
34%
25%
the highest participation rate in the last decade.
The significant year-over-year increase of the
50%
US resulted in decreases across the remaining
28%
regions. The UK experienced the largest decline
in participation, returning to levels closer to its
11%
12%
5%
2016
14%
2015
historical average. The Other regions category
decreased largely due to lower participation from
Germany in 2016, with France and Japan holding
at levels consistent with 2015.
Source: Aon Securities Inc.
4 Aon Securities’ analysis of investor category includes only those transactions in which the firm participated.
5 Aon Securities’ analysis of geographic attributes includes only those transactions in which the firm participated and is based on the domicile of the investment manager.
8
Insurance-Linked Securities
General market trends
Third quarter 2015
Trading was relatively active in the fourth quarter of 2015.
Similar to the prior year period, the third quarter of 2015 was
According to TRACE, there were 244 trades totaling $277.1
fairly inactive when it came to both primary issuances and
million in the period. Overall, there were more sellers than
secondary market activity. Three new issuances closed during
buyers, which caused secondary pricing reductions. Many
the third quarter, all covering earthquake risks. Both Acorn Re
investors utilized the secondary markets to make room for
Ltd. Series 2015-1 (Acorn Re 2015-1) and Ursa Re Ltd. Series
new issues and January 1 renewals. As is typical for the fourth
2015-1 cover the North America west coast, while Bosphorus
quarter, a number of investors attempted to sell short-dated
2015-1 covers earthquakes in Turkey.
bonds. In prior years, these bonds traded at discount margins
With few new issuances in the quarter and expectations for a
light pipeline for the remainder of 2015, investors did not see
the need to rebalance portfolios. This led to low activity in the
secondary market with FINRA’s Trade Reporting and Compliance
ranging from 150-200 basis points; however, in 2015 the
buying interest during the fourth quarter ranged from 225-275
basis points, reflecting a higher cost of holding capital. Strong
investor interest continued for bonds with higher coupons.
Engine (TRACE) reporting volume of $176 million across
Demand from investors for new issuances in the catastrophe
180 trades.* Investors saw strong gains in the pricing of US
bond market remained strong as 2015 came to a close. Investors
hurricane-exposed transactions, driven by seasonality, with the
secured $1.5 billion during the fourth quarter from the primary
hurricane season passing without incident during the quarter.
market across six bonds, with the majority of issuances occurring
Overall, pricing started to rebound from the first half of the year
in December.
as selling pressure eased up.
Also during the quarter, Markel completed the acquisition
In August 2015, Lombard Odier Investment Managers (Lombard
of CATCo Investment Management (CATCo). Prior to its
Odier) hired an ILS investment team, led by Dr. Gregor
acquisition, CATCo raised additional capital for its Reinsurance
Gawron. Lombard Odier currently has one actively managed
Opportunities Fund. After the merger, the capital invested in the
Undertakings for Collective Investment in Transferable Securities
fund was redeemed and reinvested into a new Markel CATCo
(UCITS) fund that invests in a diversified portfolio of catastrophe
Reinsurance Ltd. master fund. The acquisition of CATCo and
bonds, targeting maximum diversification across different risk
the launch of CSAM’s Humboldt Re Limited (Humboldt Re)—
types and various regions.
discussed in the ILS-Related Markets chapter of this report—
Fourth quarter 2015
followed the trend of ILS funds seeking new growth strategies.
On October 23, Hurricane Patricia made landfall in Mexico as
First quarter 2016
the strongest landfalling Pacific hurricane on record, and was
In the new year, secondary market activity picked up with TRACE
expected to cause a loss of principal to MultiCat Mexico 2012-I
reporting 311 trades totaling $307.7 million in the first quarter,
C notes. The bond was structured to fully recover when the
representing an increase in trade count of more than 27 percent
barometric pressure reached 920 millibars or below within the
compared to the prior quarter. This rise in activity was supported
defined covered area; and a 50 percent payout at pressure up to
by capital being redeployed following the maturing of 10
932 millibars. Throughout the quarter, investors waited for the
catastrophe bonds during the quarter. Peril-specific activity was
Best Track Data from the National Hurricane Center (NHC) to
further motivated by the upcoming early redemption of Kizuna
determine the payout of the notes. Despite several offers from
Re II Ltd. Series 2015-1 on April 1, 2016. In anticipation of this
sellers looking to exit their position prior to the landfall, there
redemption, many investors sought to maintain the diversity of
was a lack of interested buyers. The notes traded on October
their portfolios by buying into other Japan earthquake bonds on
26 after the event passed at a price of 4.35 cents, with trading
the secondary market. As a result, TRACE’s reported trade count
levels subsequently increasing to between 20.00 and 21.25
for Japan earthquake catastrophe bonds increased 140 percent
cents in the quarter.
over the fourth quarter of 2015.
* Note that this is an underestimate of total market volume as trades in bonds rated below investment grade are capped at USD1 million,
and foreign trades as well as trades by non-US broker dealers are excluded.
Aon Benfield
9
Toward the end of the quarter there were more secondary
Everglades Re 2014-1 and Acorn Re 2015-1 were the most actively
buyers than sellers, putting upward pressure on prices. Despite
traded bonds during the quarter. In addition, the Vitality Re V
the lower supply of catastrophe bonds for sale, many investors
Limited Series 2014-1 Class A notes represented around nine
were reluctant to increase bids, preferring to hold onto cash in
percent of the total reported volume with just six trades. Most of
anticipation of new issues. By the end of the quarter there were
these trades occurred on a single date.
10 primary issuances totaling $2.2 billion in limit.
Catastrophe bonds that reported at least 10 trades included
quarter, with prices slightly lower from the all-time high in April.
Everglades Re Ltd. Series 2014-1 (Everglades Re 2014-1), Tar
The slight reduction in pricing corresponded to the start of
Heel Re Ltd. Series 2013-1, Bosphorus 1 Re Ltd. Series 2013-1
the US hurricane season on June 1. By contrast, the west coast
(Bosphorus Re 2013-1), and Kilimanjaro Re Limited Series 2015-1
earthquake-exposed Acorn Re 2015-1 continued to function
Class D (Kilimanjaro Re 2015-1 D). Everglades Re 2014-1 and
as a portfolio diversifier, and achieved steady price increases
Bosphorus Re 2013-1 were more heavily traded earlier in the
throughout the quarter—rising from 101.25 to 103.07 cents by
quarter, and saw downward pressure on pricing until mid-
quarter end. Similar price increases were achieved for other
quarter, when it became clear to investors that the primary
portfolio diversifiers, as strong demand persisted for earthquake
pipeline was not going to satisfy demand. As a result, an upward
and non-US bonds. Interestingly, secondary pricing for lower-
surge in pricing was witnessed in bonds actively traded in the
yielding bonds continued to rebound. Following several
second half of the quarter, such as Kilimanjaro Re 2015-1 D.
high-yielding primary issuances, and with additional capital still
The maturity of the MultiCat Mexico 2012-I C notes was extended
one quarter from the initial maturity date to March 4, 2016,
available for deployment, demand increased for lower coupon
bonds in order to further diversify investors’ portfolios.
following Hurricane Patricia. The Government of Mexico received
Outlook
$50 million (i.e. 50 percent recovery) after AIR Worldwide
While the primary market is not typically very active during the
Corporation (AIR), the calculation agent for the transaction,
third quarter, our firm does expect sponsors to return to the
delivered its final report using the NHC’s Best Track Data.
market in the second half of 2016. Many investors have capital to
Second quarter 2016
Fourteen catastrophe bonds, totaling $2.9 billion of limit,
matured in the second quarter of 2016. This led to continuing
downward pressure on bond spreads. TRACE reported a
trade count of 218 trades across $245.2 million in volume. This
represented a decrease in trade count and volume from the first
quarter of 2016, partially due to a reduction in primary issuance,
as only $800 million of limit was placed.
Investors continued to utilize the secondary market to redeploy
available capital, resulting in more buyers than sellers. This trend
held steady throughout the quarter. The one notable exception
to this was Gator Re Ltd. Series 2014-1 (Gator Re 2014-1) when its
aggregate retention was partially eroded due to severe weather
losses. The loss activity caused the price to decrease significantly
to 76 cents in mid-June before partially rebounding to 80.5 cents
by the end of the quarter.
10
Everglades Re 2014-1 traded heavily in the last few days of the
Insurance-Linked Securities
deploy, which may lead to further spread compression. Demand
for bonds that diversify investors’ ILS portfolios by providing
exposure to alternative perils, such as casualty and non-US
perils, will continue to grow. Overall, we believe the market will
continue to be attractive for sponsors that choose to incorporate
alternative capital.
The Aon ILS Indices
The Aon ILS Indices are calculated by Bloomberg using month-end price data provided by Aon Securities.
Aon ILS Indices returned positive results during the 12 months
The annual returns for all Aon ILS Indices outperformed the
ending June 30, 2016. The All Bond and BB-rated Bond Indices
prior year’s annual returns. This was driven by tightening
posted gains of 6.84 percent and 5.34 percent, respectively.
spreads in the secondary market, particularly for low coupon
The BB-rated Bond Index rebounded from the prior 12-month
bonds, and the absence of a major catastrophe. The 10-
period, which experienced adverse mark-to-market impacts
year average annual return of the All Bond Index—8.56
from a declining Euro-USD valuation. The US Hurricane Bond
percent—continued the trend of outperforming comparable
and US Earthquake Bond indices also yielded positive results
benchmarks, and in doing so reinforced the value of a
for the year of 7.73 percent and 4.85 percent, respectively.
diversified book of pure insurance risks for investors’
The All Bond Index outperformed relative to most comparable
portfolios over the long term.
fixed income benchmarks, but was slightly lower than the 3-5
Year BB US High Yield Index that returned 6.93 percent during
the period under review.
Table 5: Aon ILS Indices6
Index title
Aon ILS Indices
Return for annual period ended June 30
5-year average annual return
10-year average annual return
2016
2015
2010-2015
2005-2015
All Bond
Bloomberg Ticker (AONCILS)
6.84%
2.81%
7.26%
8.56%
BB-rated Bond
Bloomberg Ticker (AONCBB)
5.34%
0.46%
5.10%
6.98%
US Hurricane Bond
Bloomberg Ticker (AONCUSHU)
7.73%
5.66%
8.72%
9.99%
US Earthquake Bond
Bloomberg Ticker (AONCUSEQ)
4.85%
2.59%
4.78%
6.06%
3-5 Year US Treasury Notes Index
3.72%
1.24%
2.37%
4.49%
3-5 Year BB Cash Pay US High Yield Index
6.93%
2.75%
6.05%
7.10%
S&P 500 Index
2.69%
0.20%
9.73%
5.16%
ABS 3-5 Year, Fixed Rate Index
3.35%
1.71%
3.45%
3.89%
CMBS 3-5 Year, Fixed Rate Index
4.03%
1.48%
4.77%
6.86%
Benchmarks
Source: Aon Securities, Bloomberg
6 The 3-5 Year US Treasury Note Index is calculated by Bloomberg and simulates the performance of US Treasury notes with maturities ranging from three to five years.
The 3-5 Year BB Cash Pay US High Yield Index is calculated by Bank of America Merrill Lynch (BAML) and tracks the performance of US 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 Index 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 US dollar denominated investment grade fixed rate asset backed securities publicly issued in the US 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 US dollar denominated investment grade fixed rate commercial mortgage backed securities publicly issued
in the US 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
11
Equity markets experienced a volatile period during the 12 months ending June 30, 2016. Concerns around the slow-down in growth
from China, geo-political turmoil in the Middle East and disappointing US economic data resulted in US equity markets experiencing
the worst start to a year on record. Meanwhile, fixed income markets tightened significantly during the period under review. The
higher returns were driven by surging bond prices as investors fled to the safety of government debt.
Figure 6: Historical performance of
Aon ILS Indices
Figure 7: Aon All Bond index versus
financial benchmarks
Aon ILS US HU Index
Aon ILS Index
Aon ILS US EQ Index
Aon ILS BB Index
Aon All Bond ILS Index
ABS 3-5 Year, Fixed Rate Index
S&P 500 Index
180%
140%
160%
120%
140%
100%
3-5 Year BB Cash Pay US High Yield Index
CMBS 3-5 Year, Fixed Rate Index
3-5 Year US Treasury Notes Index
80%
120%
60%
100%
40%
80%
20%
60%
0%
40%
-20%
20%
-40%
0%
-60%
ne
Ju
ne
Ju
ne
Ju
ne
Ju
ne
Ju
ne
16
15
20
14
20
13
20
20
12
11
20
10
20
09
20
20
08
07
20
06
20
20
16
20
15
20
14
13
20
12
20
11
20
20
10
Source: Aon Securities Inc., Bloomberg.
Ju
ne
Ju
ne
Ju
ne
Ju
ne
ne
Ju
ne
Ju
Ju
ne
Ju
ne
Ju
ne
Ju
ne
Ju
ne
Ju
09
20
Insurance-Linked Securities
ne
08
20
20
07
06
20
20
12
Ju
ne
Ju
ne
Ju
ne
Ju
ne
Ju
Source: Aon Securities Inc., Bloomberg.
Mergers and Acquisitions
(Re)insurer Activity
Although not as strong as the comparable period last year, a significant amount of M&A activity occurred in the global
(re)insurance space during the six months ending June 30, 2016, across non-life, life, and health companies. According to
S&P Capital IQ, the global insurance sector announced M&A deal volume through the first six months of 2016 totaling
$9.1 billion across 419 deals, compared to $41.2 billion across 454 deals for the same period in 2015—a deal value decrease
of 78 percent and a deal volume decrease of 8 percent.
Table 6 below highlights selected recent activity in the (re)insurance space.
Table 6: Select (re)insurance M&A activity
Acquirer
Target
Rationale
BB&T Corp.
CGSC North America Holdings
Corp.
CGSC, which includes wholesale broker Swett & Crawford, enhances BB&T’s insurance
business and diversifies its product stream.
Timing
Price
(millions)
February 23, 2016
$500.0
March 17, 2016
$170.0
April 19, 2016
$218.7
June 2, 2016
$1,400.0
June 17, 2016
$274.5
June 24, 2016
$165.0
CGSC said it would use the proceeds from the sale to lower or eliminate corporate debt.
Hartford Fire
Insurance Co.
Northern Homelands Co.
Northern Homelands, the holding company for Maxum Specialty Insurance Group, adds
E&S lines capabilities and increased distribution capacity to Hartford’s small commercial
business.
AmTrust Financial
Services, Inc.
ANV Holdings BV
The ANV acquisition allows AmTrust to boost its existing Lloyd’s operations and presence.
Fujian Thai Hot
Investment Co.
Dah Sing Life Assurance
Company Ltd. and Dah Sing
Insurance Company (1976) Ltd.
The sale of the businesses is part of Dah Sing Financial Group’s strategic initiatives announced
earlier in the year to focus on its banking operations while divesting non-core assets.
Zurich Assurances Maroc SA
Zurich Assurance Maroc is the seventh largest P&C company in Morocco with over
600,000 customers.
Allianz SE
The businesses will maintain a distribution partnership with Dah Sing Financial Group while
operating as part of the Fujian Thai Hot Investment portfolio.
Allianz perceives Africa as a future growth market, and sees Morocco as a large opportunity to
grow its business in the region.
National General
Holdings Corp.
Elara Holdings, Inc.
Elara Holdings, the holding company of Direct General Corp., allows National General
to grow its personal lines portfolio, boost its direct marketing abilities and expand its
product distribution channel.
Source: Various company press releases.
9 Source: Bloomberg
Aon Benfield
13
While the year-over-year volume of transactions is relatively
Low interest rates, excess capital, and fierce competition
similar, the average deal size decreased meaningfully as many
from new alternative capital, among other factors, have made
of the most likely acquirers were focused on the integration
organic growth more difficult to achieve for (re)insurers. This
of previous transactions. M&A conditions still remain ripe
environment is driving acquirers to become more active in
for deals, as long-term trends towards consolidation in
utilizing existing capital. Even a rise in interest rates is not
the insurance and reinsurance industries continue. M&A
expected to slow M&A activity, as the need for improved
activity has been driven by acquirers’ desire to expand (i)
capital utilization and operational efficiencies will continue
geographically, (ii) into new products or distribution channels
to stimulate buyers’ interest. In addition, rising interest rates
(such as fintech trends, as digital offerings become more
should improve insurance companies’ investment returns and
prevalent), and (iii) to achieve scale and strengthen client
overall profitability, which could make these companies more
relationships amid a challenging environment for organic
attractive to potential buyers.
growth. (Re)insurance pricing remains tepid and smaller
players may struggle to remain profitable under increased
capital and technology investment requirements, becoming
targets for buyers looking to acquire books of business to build
scale. Additionally, entrants such as asset managers, hedge
funds, and foreign buyers (especially from Asia) searching for
investment, and/or diversification in geography and products,
continue to assess opportunities in the sector, further
Recap, most global reinsurers’ and insurers’ stock prices
and valuation multiples have decreased, on average, by
approximately 20 percent from their 52-week highs. The
Florida Specialty, Financial/Mortgage Guaranty, and Western
European Large Cap sectors’ stock performance has decreased
significantly, down approximately 35 percent from their 52-
providing increased competition in M&A activity.
week highs, while the Personal Lines and Specialty sectors’
Another avenue of potential M&A activity involves ILS funds.
trading just below 52-week highs.
As a result of the hunt for scale and relevance in the global
reinsurance industry, companies are increasingly examining
the possibility of acquiring ILS managers. One such example,
which closed in late 2015, was Markel’s $200 million
acquisition of CATCo, a leading reinsurance- and retrocessional
reinsurance-linked investment and fund manager with $2.5
billion of assets under management.
14
As summarized in the Aon Securities Weekly Public Market
Insurance-Linked Securities
stock performance has been strong relative to their peers,
Over the near term, Aon Securities expects M&A activity to
continue at high levels. While the Brexit decision will affect
the (re)insurance environment, the total impact of the UK’s
decision to leave the European Union (EU) remains unclear.
Regardless of the ultimate outcome, (re)insurers will continue
to seek to satisfy their strategic, diversification, and assetgathering objectives through acquisitions.
ILS-Related Markets
Total capital deployed by the alternative markets grew to $75.1
Figure 8: Alternative market development
billion by June 30, 2016—an increase of 10 percent from the
Catastrophe bonds
80
prior year. As shown in Figure 9, alternative capital markets
Sidecar
ILW
Collateralized re and others
75
72
represented 13 percent of the global reinsurer capital at June
70
30, 2016.
64
60
Quota share sidecars
$ billions
Five quota share sidecar transactions incepted at January 1,
2016, and all were renewals from 2015. A total of $1.1 billion
in limit was secured for the four sidecars that disclosed sizes
and each of the four sidecars increased in size between 10
50
50
44
40
30
22
and 47 percent from the prior year. Silverton Re Ltd. returned
20
for the fourth consecutive year, securing $125 million for the
Series 2016-1 issuance. The Aspen Bermuda Limited sidecar
19
28
24
22
10
expanded by $40 million compared to the 2015 issuance.
0
Hannover Rück SE’s (Hannover Re) K-Cession and Münchener
Rückversicherungs-Gesellschaft Aktiengesellschaft’s (Munich
2007 2008 2009 2010 2011 2012 2013 2014 2015 H12016
Source: Aon Securities Inc.
Re) Eden Re II Ltd. sidecars each expanded around 25 percent
Figure 9: Global reinsurer capital
from the prior year, upsizing by $100 million and $70 million,
respectively. The expansion of these quota share sidecars
800
demonstrates the growing importance of alternative capital for
certain sponsors.
Traditional capital
Alternative capital
700
600
continue to be utilized by a number of cedents.
18%
500
$ billions
12%
-3%
410
400
-17%
18%
470
505
540
4%
-2%
6%
7%
In addition, private quota share reinsurance arrangements
Global reinsurer capital
575
565
585
455
400
340
300
200
388
321
378
447
428
461
490
511
493
510
22
19
22
24
28
44
50
64
72
75
100
0
2007 2008 2009 2010 2011 2012 2013 2014 2015 H12016
Source: Individuals company reports, Aon Benfield Analytics, Aon Securities Inc.
Table 7: Quota share sidecars launched during 12 months to June 30, 2016
Sidecar
Inception date
(Re)insurer
Size (millions)
Percent increase in size from 2015
Silverton Re Ltd. Series 2016-1
Jan-16
Aspen Bermuda Limited
$125.0
47%
Eden Re II Ltd. Series 2016-1
Jan-16
Münchener Rückversicherungs-Gesellschaft Aktiengesellschaft
$360.0
24%
Altair Re IV Ltd.
Jan-16
ACE Tempest Re (now part of Chubb)
undisclosed
-
K-Cession
Jan-16
Hannover Rück SE
$500.0
25%
Versutus Ltd. Series 2016
Jan-16
Brit plc
$82.5
10%
Total
$1,067.5
Source: Various company filings and press releases.
Aon Benfield
15
Actively managed sidecars and start-up
reinsurance vehicles7
Over the past few years, the number of reinsurers accessing
alternative capital through actively managed vehicles has grown
substantially. There were significant changes in the sizes of actively
managed sidecars in the past calendar year. Mt. Logan Re, Ltd.
(Mt. Logan), Kiskadee Investment Managers Ltd. (Kiskadee), and
AlphaCat Managers (AlphaCat) each grew their assets under
management during this time. As of January 1, 2016, both Mt.
Logan and Kiskadee had surpassed $800 million in capital; while
AlphaCat, which began managing third party capital in 2011, saw
its assets under management reach $2.4 billion.
The Blackstone Group L.P. (Blackstone) had completed the
capital raise for Harrington Re Ltd. (Harrington Re)—raising
approximately $550 million of equity and $50 million of debt.
Harrington Re received an “A-” financial strength rating from
A.M. Best, demonstrating the rating agency’s willingness to
rate such start-ups despite taking a tougher stance than several
years ago. Harrington Re is expected to write a multi-line
reinsurance portfolio, focusing on liability and professional lines
while limiting catastrophe exposure. The company will write
external business as well as risks sourced from AXIS. According
to Jay Nichols, CEO of AXIS Reinsurance, “Harrington Re is an
integral part of our larger alternative capital strategy, which is
In contrast, RenaissanceRe Holdings Ltd. (RenRe) reduced the
designed to match the right risk with the right capital.” He also
size from last year of its Upsilon RFO Re Ltd. (Upsilon RFO)
noted, “The Company will expand the already broad product
vehicle for risks incepting at January 1 this year. Capital from
offering and capacity of AXIS across medium- to long-tail lines
third parties and RenRe totaled $87.8 million, down $108.4
of business to better serve our clients and distribution partners.
million compared to January 1, 2015, and even further reduced
We look forward to creating value and innovating at the
from the 2014 underwriting period. The reduced size of Upsilon
intersection of risk financing and risk transfer.”
RFO, which provides retrocessional property catastrophe and
worldwide aggregate collateralized capacity, likely reflects
RenRe’s view of current market conditions for those lines.
Meanwhile Watford Specialty Insurance Co., a unit of Watford Re
Ltd. (Watford Re), announced that it had acquired Professionals
Direct Insurance Co in August 2016. The acquisition has been
In October 2015, CSAM launched another Guernsey-domiciled
renamed Watford Insurance Company and progresses Watford
reinsurer—Humboldt Re Limited (Humboldt Re). The reinsurer
Re’s strategy of expanding in the US, allowing the company to
was launched with CHF500 million in capital and received
access admitted property and casualty insurance market across
an “A-” rating from A.M. Best. Humboldt Re is supported by
all 50 states.
funds from CSAM’s investors and its conservative investment
strategy will focus on a high liquid fixed income paper.
Humboldt Re is targeting to write approximately CHF140
million of gross written premiums focused on globally
diversified property catastrophe exposures.
A start-up venture from Matthew Fairfield, the founder of ANV,
was also announced in August 2016. Exin Re AG (Exin Re), which
is domiciled in Zurich, is in the process of finalizing its license
from the local regulator. The start-up, which is seeking a rating
of “A-” from A.M. Best, is planning to launch in September
The trend of reinsurers seeking to complement underwriting
ahead of the January 1 renewal season. Exin Re is understood
results with an asset management strategy continued in the
to have raised $1 billion of capital, of which $300 million is ear-
period under review, albeit at a slower pace that was not
marked for future growth.
without challenges. In December 2015, Enstar Group Limited
(Enstar) and UBS O’Connor LLC announced their partnership
forming Aligned Re Ltd. (Aligned Re). Business is expected to
include quota share contracts with subsidiaries of StarStone
Insurance Holdings Limited, part of Enstar, and loss portfolio
transfers from certain subsidiaries of Enstar in run-off. Aligned Re
is targeting capital from high net worth clients; the startup has
$220 million of capital pledged by Enstar, Stone Point Capital
LLC, and its management team.
7 Source: Various company filings and press releases.
16
By July 2016, AXIS Capital Holdings Limited (AXIS) and
Insurance-Linked Securities
However, challenges continue to plague some initiatives in the
current underwriting, economic, and regulatory environment.
On the underwriting side, recent start-up reinsurers have
typically produced higher loss and expense ratios in an effort to
achieve top line growth. Along with poor investment returns,
this has resulted in start-up reinsurers performing significantly
worse as a group compared to traditional reinsurers. In January
2016, it was announced that PaCRe Ltd. (PaCRe) had stopped
writing new policies and was winding down. Several months
coastal commercial risks, with XL Catlin providing capacity using
earlier, the company had requested A.M. Best withdraw its
a combination of collateralized and traditional reinsurance. In
rating after first being placed on negative review by the agency.
addition, two fronting providers, Spinnaker Insurance Co. and
PaCRe was formed in 2012 with $500 million of capital during
Clear Blue Financial Holdings LLC, were launched in the fourth
a time when margins on catastrophe business were more
quarter of 2015. Each provider received a rating of “A-” from
attractive than the current market. Validus Holdings Ltd. was
A.M. Best. The firms will allow alternative capital to expand its
tasked with the underwriting, and Paulson & Co. with managing
access to risk by providing cedents with rated paper, similar to
the assets. The company, which had no independent insurance
the services provided by State National Companies to Nephila.
employees, drew attention from US officials for exploiting a “tax
loophole.” This subsequently led to the Internal Revenue Service
proposing rules to limit the exemption. Further, in May 2016,
XL Catlin announced that Alloy Re Ltd. (Alloy Re) ultimately
would not proceed after the capital raise fell short of its $600
million target. Alloy Re was formed in September 2015 by XL
Catlin, which would assume all its business, and Oaktree Capital
Management, which would manage the assets. However, since
the announcement not to proceed, XL Catlin has affirmed
that alternative capital remains an important strategy for the
There has also been a growing focus by several managers on
weather derivatives. Transactions in this space typically use
rainfall, temperature, and wind speed as recovery parameters.
Contracts can be structured in either reinsurance or derivative
from. One of the key reasons why ILS investors are interested
in this space is their ability to analyze a long history of
measurements and trends to carefully evaluate investment
opportunities. Weather derivatives can provide the right
hedging tool not only for electricity generators but also for
company and it continues to evaluate potential options.
other participants along the value chain. For example, Nephila
Collateralized reinsurance market trends
Power’s Bloom Wind Farm facility in Kansas. Under the contract,
8
(via ART Bermuda) entered into a 10-year swap with Capital
Collateralized reinsurance was again the largest growing
the wind farm facility will receive fixed annual payments in lieu
component of alternative capital during the 12-month period
of the floating energy price over a 10-year term. The 10-year
under review. As a continuation of last year’s trends, a large part
agreement will secure long-term predictable revenues and
of this growth came from reinsurer-backed ventures and interval
mitigate power generation volume uncertainty related to wind
mutual funds, which follow less-liquid strategies.
resources for the 178-megawatt wind farm. Developing an
efficient market to hedge these types of risks will help support
In addition, alternative capital providers continue broadening
further growth in the renewable energy industry.
their access to risk through managing general agency (MGA)
partnerships. In 2015, Nephila established its own MGA—
Finally, our firm sees further potential growth in private
Velocity Risk Underwriters—having previously written insurance
transactions and illiquid ILS funds in the future due to regulatory
through other MGAs, such as Arrowhead General Insurance
changes introduced in Luxembourg. For UCITS funds,
Agency. In 2016, Velocity Risk Underwriters participated in two
Luxembourg regulators want to limit the concentration from a
separate take-outs of wind policies from Florida Citizens. As
single peril to 35 percent. This is likely to challenge the growth
part of the take-outs, the MGA utilized rated carrier National
of some UCITS funds, given the catastrophe bond market’s high
Specialty Insurance Company, part of State National Companies
exposure to US hurricane risk.
with whom Nephila has an established fronting relationship. The
risks were then reinsured through a quota share arrangement
with Ananke Re, Ltd., Nephila’s affiliate. Through Velocity
Risk Underwriters, Nephila is next planning to expand into
multi-peril homeowners’ insurance in the US. Meanwhile in
February 2016, XL Catlin announced a new partnership with
Ventus Risk Management, a newly formed MGA that will
provide commercial property insurance for small and mid-sized
enterprises. Ventus Risk Management will be initially targeting
8 Source: Various company filings and press releases.
Aon Benfield
17
Industry loss warranty (ILW)
Capacity continues to flow into the ILW sector from existing
renewals, with aggregate and second event structures in high
and new markets; additional capacity is entering from both
demand. Rates at the both the January 1 and June 1 renewals
ILS and traditional sources. As a result, transaction volume
were generally down 2.5 to 5.0 percent; however, rates were
increased at January 1 and June 1 renewals in 2016 compared
flat for reinsurers seeking materially more in limit. In addition,
to the prior year. Total ILW market trading volume for the 12
a number of first-time buyers entered the market from the ILS
months ending June 30, 2016 was estimated at $4.25 billion,
sector, as portfolio managers sought to hedge risk while rates
across both collateralized and traditional forms. The volume of
remained under pressure.
ILWs covering US risk increased year-over-year at the January 1
Figure 10: ILW trade volume and US ANP price movement
$80 billion ANP
$50 billion ANP
$30 billion ANP
1,500
150
1,200
120
900
90
600
60
300
30
0
0
Q3
2012
Q4
2012
Q1
2013
Q2
2013
Source: The Global Re Specialty Team of Aon UK Limited.
18
Price movement by quarter
Total US trade volume
$ millions
Total US trade volume
Insurance-Linked Securities
Q3
2013
Q4
2013
Q1
2014
Q2
2014
Q3
2014
Q4
2014
Q1
2015
Q2
2015
Q3
2015
Q4
2015
Q1
Q2
2016 2016
Legend
ANP — All Natural Perils
North America Perils
North America perils again dominated catastrophe bond
During the 12-months under review, one catastrophe bond was
issuance during the 12 months to June 30, 2016, with 18 of 24
triggered. On October 23, Hurricane Patricia made landfall near
transactions exposed to US property risk. On a notional basis,
Cuixmala in the Jalisco state of southwest Mexico as a Category
this represented 83 percent of the period’s issuance, compared
5 on the Saffir-Simpson Scale. Hurricane Patricia became
to 86 percent in the prior year period. This trend is aligned
the strongest tropical cyclone ever recorded in the Western
with global exposure to insured property risk, as the US leads
Hemisphere, when its maximum sustained wind speeds reached
the top 50 global P&C markets in terms of both P&C gross
200 mph and central pressure decreased to 879 millibars.
written premium (GWP) and GWP to GDP ratio . However,
9
North America’s share of property catastrophe risk ceded to
the catastrophe bond market remains overweight based on
global P&C GWP of 45 percent. This is, in part, driven by lag
in international property catastrophe risk markets to adopt
alternative capital risk transfer strategies, particularly in Asia
(ex-Japan) and Latin America, where competing with the cost of
traditional reinsurance may be challenging.
Initial reports from the NHC showed the storm path and
pressure could result in a loss to the MultiCat Mexico 2012-I
C notes. Once the NHC’s Best Track Data was available, it was
determined that the Mexican government would receive $50
million in recoveries—a 50 percent loss of principal to investors.
Furthermore, investors remain concerned that severe weather
activity in the US impacting the cedent in the current calendar
year has eroded a significant amount of Gator Re 2014-1’s
For the 12-month period, both repeat and first-time cedents
retention. The transaction, which came close to a loss in 2015,
utilized the capital markets for risk transfer. Market conditions
includes no event deductibles—all severe weather losses in the
appealed to a variety of cedents ranging from regional insurance
covered area to American Strategic Insurance Group are included
companies to global reinsurers, as well as corporations. Cedents
at full value. By July 2016, the retention was almost 70 percent
sought coverage for a variety of North America perils including
eroded. Gator Re 2014-1 is in its final year of coverage, with the
named storm, storm surge, earthquake, severe thunderstorm,
risk period ending December 31 of this year.
winter storm, wild fire, volcanic eruption, and meteorite impact.
From a pricing perspective, lower rate-on-line North America
catastrophe bonds experienced an uptick in spread towards
the end of 2015 in the secondary market. In contrast, spreads
for higher expected loss deals softened as investors seized the
opportunity to boost portfolio returns.
9 Aon Benfield. Insurance Risk Study: Global Insurance Market Opportunities, 10th edition, 2015.
Aon Benfield
19
As shown in table 8, six US property transactions closed in
the centerpiece of the network’s passenger rail transportation
the second half of 2015, with the majority benefitting repeat
system, Amtrak’s Northeast Corridor. PennUnion Re Ltd. was
sponsors. The National Railroad Passenger Corporation (Amtrak),
the second transaction to benefit a non-insurance corporation
through its subsidiary Passenger Railroad Insurance, Ltd., secured
through use of a parametric trigger in the second half of 2015.
$275 million of parametric index cover for storm surge and
It followed Acorn Re 2015-1, a transaction covering west coast
wind resulting from named storms, as well as earthquakes. The
earthquake risk and fronted through Hannover Re on behalf of
recovery mechanism is based on data collected from calculation
Oak Tree Assurance, Ltd., a Vermont captive insurance company
locations within regions of the New York City metropolitan area
owned by the Kaiser Foundation Health Plan.
and Delaware for storm surge; and select northeast and MidAtlantic states for earthquake and wind. This footprint aligns with
Table 8: Second half of 2015 property catastrophe bonds covering US perils
Trigger
Rating
Initial
expected
loss*
Initial
interest
spread
$300
NA west coast
EQ
Parametric
BB (Fitch)
0.74%
3.40%
Class B
$250
CAL EQ
Indemnity
Not rated
2.62%
5.00%
Class A
$275
US HU (surge
and wind)
and EQ
Parametric
BB- (S&P)
2.05%
4.50%
Class D
$300
US, CAN, PR
HU and EQ
Industry
index
Not rated
5.25%
9.25%
3.00%
6.75%
Class
Size
(millions)
Acorn Re Ltd.
Series 2015-1
Class A
California Earthquake Authority
Ursa Re Ltd.
Series 2015-1
Passenger Railroad Insurance,
Ltd. (National Railroad Passenger
Corporation)
PennUnion Re Ltd.
Series 2015-1
Everest Reinsurance Company
Kilimanjaro Re Limited
Series 2015-1
Issuer
Hannover Rück SE
United Services Automobile Association
Residential Reinsurance
2015 Limited
Münchener RückversicherungsGesellschaft Aktiengesellschaft
Queen Street XI Re dac
Series 2015-II
* Initial modeled annual expected loss; sensitivity cases if US hurricane is a covered peril.
20
Covered perils
Series
Beneficiary
Insurance-Linked Securities
Class E
$325
Class 3
$125
US HU, EQ,
ST, WS, WF,
VE, MI
Indemnity
Not rated
3.65%
7.25%
$100
US HU and
AUS CY
Industry
index,
modeled
loss
Not rated
2.83%
6.15%
Legend
AUS — Australia
CAL — California
CAN — Canada
NA — North America
PR — Puerto Rico
US — United States
EQ — Earthquake
CY — Cyclone
HU — Hurricane
MI — Meterorite Impact
ST — Severe Thunderstorm
VE — Volcanic Eruption
WF — Wildfire
WS — Winter Storm
Twelve US property transactions—as shown in Table 9—closed in the first half of 2016, including two that provided coverage for new
market entrants.
Table 9: First half of 2016 property catastrophe bonds covering US perils
Rating
Initial
expected
loss*
Initial
interest
spread
US, PR, HU
and US, PR,
CAN EQ
Industry index
Not rated
3.29%
7.50%
US HU, EU
wind and US,
CAN EQ
Not rated
9.52%
13.50%
Industry index
Not rated
4.96%
9.00%
Not rated
3.09%
7.00%
Not rated
3.31%
7.50%
Not rated
6.29%
10.50%
Class
Size
(millions)
Covered
perils
Atlas IX Capital DAC
Series 2016-1
Class A
$300
Galileo Re Ltd.
Series 2016-1
Issuer
SCOR Global P&C SE
XL Insurance (Bermuda) Ltd
Class A
$100
Class B
$100
Class C
$100
Class
D-50
$150
Class E-50
$100
Heritage Property & Casualty
Insurance Company and Zephyr
Insurance Company, Inc.
Citrus Re Ltd.
Nationwide Mutual Insurance
Company
Caelus Re IV Limited
Series 2016-1
Class A
$300
US HU, EQ,
ST, WS, WF,
VE, MI
Indemnity
Not rated
1.94%
5.50%
United Services Automobile
Association
Espada Reinsurance
Limited
Series 2016-I
Class 20
$50
US HU, EQ, ST,
WS, WF, VE,
MI, OP
Indemnity
Not rated
2.25%
5.75%
Safepoint Insurance Company
Manatee Re Ltd.
Series 2016-1
FL, LA HU
Indemnity
State Farm Fire and Casualty
Company
Merna Re Ltd.
Series 2016-1
New Madrid
EQ
Indemnity
United Services Automobile
Association
Residential Reinsurance
2016 Limited
Series 2016-1
Series 2016-1
Class A
$75
Class C
$20
Class A
$300
Class 10
$65
Class 11
Class 13
Münchener RückversicherungsGesellschaft Aktiengesellschaft
Queen Street XII
Re dac
Security First Insurance Company
First Coast Re Ltd.
United Property & Casualty
Insurance Co., Family Security
Insurance, Inc., Interboro Insurance
Company
Laetere Re Ltd.**
Allianz Risk Transfer (Bermuda)
Blue Halo Re Ltd.***
Series 2016-1
Series 2016-1
FL, HI HU
US HU, EQ, ST,
WS, WF, VE,
$75
MI, OP
$110
Indemnity
Indemnity
Not rated
1.15%
5.25%
Not rated
11.41%
16.25%
Not rated
0.40%
2.25%
Not rated
8.80%
11.50%
Not rated
2.47%
4.75%
BB- (S&P)
0.73%
3.25%
$190
US HU and
EU wind
Industry index
Not rated
2.90%
5.25%
Class A
$75
FL HU, ST
Indemnity
Not rated
1.31%
4.00%
Class A
$30
Not rated
2.76%
6.00%
Class B
$40
Not rated
5.98%
9.50%
Class C
$30
Not rated
13.18%
17.50%
Class A
$130
Not rated
8.56%
14.00%
Not rated
13.19%
19.75%
Series 2016-1
US HU and EQ
US HU and EQ
Class B
Source: Aon Securities Inc.
* Initial modeled annual expected loss; sensitivity cases if US hurricane is a covered peril.
** Laetere Re Ltd. notes were issued at a discount to par. Equivalent interest spreads are shown.
*** Blue Halo Re Ltd. notes utilize a term aggregate structure. Expected losses shown are annualized.
Trigger
Series
Beneficiary
$55
Indemnity
Industry index
Legend
FL — Florida
HI — Hawaii
LA — Louisiana
PR — Puerto Rico
US — United States
CY — Cyclone
EQ — Earthquake
HU — Hurricane
MI — Meteorite Impact
OP — Other PCS-reported
perils
ST — Severe Thunderstorm
VE — Volcanic Eruption
WF — Wildfire
WS — Winter Storm
Aon Benfield
21
In January 2016, XL Insurance (Bermuda) Ltd returned to
the capital markets with a third issuance from the Galileo Re
Model updates
In July 2015, AIR released new winter storm and tropical
Ltd. program. The Series 2016-1 notes provide excess of loss
cyclone models for Canada. The newly modeled perils
coverage for US named storms, Europe windstorms as well as
followed the release of AIR’s Canada earthquake model in
earthquakes in the US and Canada. The transaction provides the
2014, as the modeling firm expanded capabilities in the
cedent with $300 million of annual aggregate protection on an
region. Additionally, components of AIR’s Canada severe
industry loss basis and includes three classes of notes, providing
thunderstorm model were updated for potential losses
investors with a range of relatively high interest spreads
incurred by tornadoes, hail, and straight-line winds, as well as
between 7.00 and 13.50 percent.
updated engineering assumptions for large, complex industrial
Nationwide Mutual Insurance Company (Nationwide Mutual)
returned to the catastrophe bond market in February with
facilities. A number of catastrophe bonds have already utilized
the new Canada models to expand coverage.
Caelus Re IV Limited (Caelus Re IV) and secured coverage
In June 2016, Risk Management Solutions, Inc. (RMS) released
enhancements since its last issuance in 2013. The transaction
updates to its US flood and terrorism models. Updates to the
was upsized by 33 percent and priced at the low-end of
flood model include the implementation of new high-resolution
initial price guidance. Caelus Re IV provides $300 million
flood hazard data and estimates of flood extent across multiple
of collateralized reinsurance protection on an indemnity
return periods, offering both defended and undefended views
basis for four years for named storms, earthquakes, severe
of flood damages.
thunderstorms, winter storms, wildfires, volcanic eruptions,
and meteorite impacts in the United States. The latter five perils
CoreLogic, Inc. also released updated catastrophe risk models
are all new additions to Nationwide Mutual’s catastrophe bond
in June 2016 for US earthquake, flood, and hurricane perils.
coverage, which totaled $620 million as of June 30, 2016.
Improvements to riverine and flash flood risk components
are also featured in the update. The hurricane model has
Florida cedents provided four of the new catastrophe bond
been updated with higher-resolution storm surge modeling
issuances during the first half of 2016. Most expanded the
capabilities and improved accuracy in estimating damages from
coverage to encompass other exposure regions, including Citrus
inland storm surges.
Re Ltd.’s latest offering. The Series 2016-1 notes protect against
named storms in both Florida and Hawaii; providing coverage
for Heritage Property and Casualty Insurance Company as
well as Honolulu-based Zephyr Insurance Company. In the
second quarter, two new such cedents secured coverage from
the capital markets—Security First, and subsidiaries of United
Insurance Holdings in Florida, Hawaii, and New York.
10 Press release. “AIR Worldwide Expands Commitment to Canada Market With release of New Models,” July 14, 2015.
11 Press release. “RMS Releases Updated Views of Risk for Terrorism, Europe Windstorm Clustering and Releases New Marine Cargo & Specie Model and US Flood Hazard Data,” June 22, 2016.
12 Press release. “CoreLogic Expands Natural Catastrophe Management Solution with Addition of Probabilistic Flood Model,” June 26, 2016.
22
Insurance-Linked Securities
Europe Perils
Catastrophe bond issuance in Europe was light in the 12-month
Operational risk
period ending June 30, 2016. In addition to several property
The first operational risk securitization closed in May 2016
catastrophe bonds with Europe exposures, one extreme
for CHF220 million. The transaction—Operational Re Ltd.—
mortality bond provided coverage for UK risks. During this
provides coverage for the benefit of Credit Suisse AG
period, traditional reinsurance markets continued to soften,
(Credit Suisse) through the cession of risk from an operational
with top layer protection for many primary insurers’ programs
risk policy underwritten by Zurich Insurance Company.
falling below 2.00 percent—lower than minimum pricing
The 5-year coverage allows Credit Suisse to reduce its
observed in recent catastrophe bond transactions. As a result, it
regulatory capital requirements.
is not surprising that the transactions marketed were sponsored
The transaction is split between two class of notes, each totaling
by reinsurers and a disaster fund, not primary insurers.
CHF110 million. The interest spreads are 4.50 and 5.50 percent
TCIP sponsored its second catastrophe bond in August 2015.
for the senior and junior classes of notes, respectively. Examples
Bosphorus 2015-1 provides the TCIP with an additional
of operational risks ceded include accounting errors, business
$100 million in coverage for earthquakes in Turkey on a
disruption, and fraud. Terrorism, fines (if illegal in Switzerland),
parametric index basis. Following a covered earthquake,
and events already discovered are excluded. Coverage is
TCIP’s recovery will be calculated using measurements
triggered if Credit Suisse’s operational risk losses exceed CHF3.5
from various reporting stations in the region.
billion on an annual aggregate basis. Since there is a single risk
cap of CHF3.0 billion, more than one event is required for Credit
Munich Re secured additional capacity prior to US hurricane
Suisse to recover. The 144A issuance is listed on the Bermuda
season via the Ireland-domiciled special purpose vehicle
Stock Exchange.
Queen Street XII Re dac. The catastrophe bond provides
Munich Re with retrocessional protection against US hurricanes
and Europe windstorms for four years. The transaction, which
utilizes an industry index trigger, almost doubled in size from
its marketed guidance to close at $190 million.
Table 10: Property catastrophe bond transactions covering Europe perils
Beneficiary
Issuer
Turkish Catastrophe Insurance Pool
Bosphorus Ltd.
XL Insurance (Bermuda) Ltd
Münchener RückversicherungsGesellschaft Aktiengesellschaft
Galileo Re Ltd.
Series
Series 2015-1
Series 2016-1
Class
Size
(millions)
Covered
perils
Trigger
Rating
Turkey EQ
Parametric index
Not rated
Class A
$100
Class A
$100
Class B
$100
Class C
$100
Queen Street XII Re dac
US HU, EU
wind and US,
CAN EQ
Industry index
US HU and
EU wind
Industry index
$190
*Initial modeled annual expected loss; sensitivity cases if US hurricane is a covered peril.
In March 2016, the UK government outlined proposals for
Not rated
Legend
CAN — Canada
EU — Europe
US — United States
Source: Aon Securities Inc.
UK ILS hub
Not rated
Initial
expected
loss*
Initial
interest
spread
1.50%
3.25%
9.52%
13.50%
4.96%
9.00%
3.09%
7.00%
2.90%
5.25%
EQ — Earthquake
HU — Hurricane
§ § Exemption from corporate tax for insurance special purpose
vehicles;
developing the region into an ILS hub. The proposals, focused
§ § Quick authorization (e.g. six to eight weeks following the
around a new regulatory and tax framework for UK-domiciled
application) and straightforward ongoing governance
special purpose vehicles, sought public feedback with the aim
procedures;
of drafting legislation by year-end. The key items highlighted in
the proposal included:
§ § Utilization of protected cell companies for ILS transactions;
§ § Interest payments to investors will be subject to existing
withholding tax rules, unless the payments are made to a
jurisdiction covered by a tax treaty
Aon Benfield
23
In July 2016, following the Brexit referendum, The London Market
Table 11: Final results of the EU referendum
Group (LMG) published a summary of actions outlining priorities
for the (re)insurance industry. The LMG classified the completion
Region
Leave
Remain
of the structure and tax arrangements by HM Treasury for an
England
53.4%
46.6%
ILS regime in the UK as “urgent.” In the coming months, the
London
40.1%
59.9%
importance of this initiative will unfold as London seeks to
Northern Ireland
44.2%
55.8%
maintain a leading position in the (re)insurance industry.‑
Scotland
38.0%
62.0%
Wales
52.5%
47.5%
Brexit
On June 23, 2016, the UK voted in a referendum on whether it
should remain a member of or leave the European Union (EU)—
an entity formed after World War II as a political and economic
partnership between member states. The referendum turnout
was high, with more than 30 million people voting, equating to
more than 70 percent of those eligible. In a surprise result, the
UK voted to leave the EU by 51.9 percent to 48.1 percent. The
sentiment was divided in various regions of the UK as shown in
Table 11. The decision to exit the EU led the UK Prime Minister,
David Cameron, to resign.
The UK will now need to follow the steps outlined in Article
50 of the Treaty of the European Union in order to formally
withdraw, and is expected to do so in 2017. The process
to withdraw is likely to take up to two years. Since most of
the financial regulation in the UK is derived from EU-wide
legislation, the regulatory environment is expected to remain
the same until the UK’s departure from the EU is effective. The
Solvency II regime continues to apply and it is expected the UK
will seek to maintain regulatory equivalence post-exit.
UK companies currently benefit from passporting rights, which
allow any firm authorized within the European Economic Area
(EEA) to conduct business across Europe. If the UK ceases to
become a member of the single market, UK insurers will need
to establish subsidiaries within the EEA to retain passporting
rights, or alternatively be required to seek authorization to write
business in each individual country.
Approximately 4 percent of Lloyd’s total business is considered
to be at risk from the potential loss of passporting rights. As
such, Aon Benfield expects Brexit will not have a significant
impact on the Lloyd’s franchise.
In the days following the vote, the GBP experienced a material
weakening and bond yields declined.
13 Aon Benfield. Lloyd’s Update, Aug. 2016.
24
Insurance-Linked Securities
Source: Bloomberg
Negative interest rates
In March 2015, the president of the European Central Bank
(ECB) Mario Draghi stated that interest rates would remain
“very low” for at least another year. Responding to increasing
macro-economic instability and uncertainty caused by Brexit,
the ECB has planned to conduct more quantitative easing, and
has cut interest rates to a record low of minus 0.4 percent and
the benchmark refinancing rate to zero. Given current economic
stagnancy in the Eurozone, the ECB’s strategy is unlikely to
change in the foreseeable future.
Interest rates are a significant factor for insurers since they
typically manage large portfolios of fixed-income assets.
Further, insurers with long term commitments to policyholders
face a widening mismatch between their assets and liabilities.
Therefore, insurers currently face the dual challenge of
declining investment rates and a reduction in cash flows from
premiums, while their maturing investments will likely have to
be reinvested at lower rates and investment income will suffer.
The level of exposure to this decline will depend on the affected
insurers’ size, diversification and types of policies sold.
Non-life insurers are not immune to interest rate pressures. Soft
market conditions that have promoted higher combined ratios
on short tail lines of business have historically been somewhat
insulated by investment returns. As these yields diminish,
pressures on equity returns will continue.
Asia Pacific Perils
Three insurers sought coverage for Japan risks with catastrophe
The transaction, which priced at 2.50 percent, was upsized
bonds in the 12-month period ending June 30, 2016. All three
to $200 million. During the same month, SJNK returned to
were returning sponsors and in aggregate secured $720 million
the market with its second issuance—Aozora Re 2016-1. SJNK
of limit, which represented the region’s largest share of the total
elected to secure coverage in US dollars despite receiving
annual catastrophe bond issuance since 2008 at 14 percent.
coverage in Japanese Yen for its 2014 issuance. Japan’s negative
Each transaction provided remote layer protection for the
interest rate environment and lack of suitable collateral options
insurers. Sustained demand for diversifying risks from capital
likely drove this decision. Aozora Re 2016-1 provides SJNK with
markets investors allowed the interest spreads to settle at levels
$220 million in indemnity coverage for Japan typhoons for four
below the traditional market average. As of June 30, 2016 Asia
years. The transaction, which utilizes IBRD notes providing a
exposed catastrophe bond volume reached $2.04 billion to
collateral investment return of 6M LIBOR minus 0.16 percent,
represent 9 percent of the overall catastrophe bond market.
priced at 2.20 percent.
In December 2015, the National Mutual Insurance Federation
In March 2016, Tokio Marine & Nichido Fire Insurance Co.,
of Agricultural Cooperatives (Zenkyoren) returned to the
Ltd. (Tokio Marine) exercised an early redemption option
capital markets with a fourth catastrophe bond issuance from
for Kizuna Re II Ltd. Series 2015-1. The early redemption was
the Nakama Re Ltd. (Nakama Re) program. The Series 2015-1
exercised because the collateral’s permitted investment (the
transaction provides Zenkyoren with $300 million of additional
JPMorgan JPY Cash Liquidity Fund) was liquidated by fund
earthquake coverage on an indemnity basis for five years
manager JPMorgan Asset Management after the Bank of Japan
across two tranches. The first tranche provides per occurrence
adopted the negative interest rate policy earlier in the year.
coverage and the second tranche provides coverage based on
Facing a potentially significant increase in the annual expenses
rolling three-year term aggregate losses—the same structure
associated with the coverage, Tokio Marine elected to redeem
first introduced in the Series 2014-2 transaction. The transaction
the catastrophe bond early at the end of the first risk period.
was upsized by 50 percent from its preliminary offering size of
The transaction was structured to allow early redemption at
$200 million, bringing the total issuance from Nakama Re to
Tokio Marine’s option if fees were imposed or expected to be
$1.275 billion.
imposed on the collateral assets.
Mitsui Sumitomo not only renewed its expiring catastrophe
bond, but increased its coverage with the issuance of Akibare
Re 2016-1 in March 2016. The transaction, which is MSI’s third
catastrophe bond, provides indemnity coverage for the first
time. In addition, Akibare Re 2016-1 is the first annual aggregate
catastrophe bond for stand-alone Japan typhoon risk.
Table 12: Property catastrophe bonds covering Asia Pacific perils
Beneficiary
Issuer
National Mutual Insurance Federation of
Agricultural Cooperatives
Nakama Re Ltd.
Mitsui Sumitomo Insurance Co., Ltd.
Akibare Re Ltd.
Sompo Japan Nipponkoa Insurance Inc.
Aozora Re Ltd.
Series
Class
Size
(millions)
Class 1
$100
Series 2015-1
Trigger
JP EQ
Indemnity
Rating
Initial
expected
loss*
Initial
interest
spread
Not rated
1.16%
2.88%
Not rated
0.86%**
3.25%
Class 2
$200
Series 2016-1
Class A
$200
JP TY
Indemnity
Not rated
1.19%
2.50%
Series 2016-1
Class A
$220
JP TY
Indemnity
BB- (S&P)
0.90%
2.20%
Source: Aon Securities Inc.
*Initial modeled annual expected loss.
**Nakama Re Series 2015-I Class 2 notes utilize a term aggregate structure. Expected losses shown are annualized.
Covered
perils
Legend
JP — Japan
EQ — Earthquake
TY — Typhoon
Aon Benfield
25
Loss activity14
April 1 reinsurance renewals
Several typhoons led to multi-billion dollar economic losses
Despite the appreciation of the Japanese Yen against the US
during the 2015 season. The costliest insured storms were
dollar compared to the prior renewal season, more capacity
Typhoons Goni ($980 million) and Chan-hom ($325 million),
was supplied by reinsurers in Japanese Yen due to increased risk
while the strongest typhoon of the 2015 season was Super
appetite and new entrants. There was also an increase in capacity
Typhoon Soudelor, which attained Category 5 strength with
purchased as some cedents chose to reinvest savings made on
sustained wind speeds of 285 kph (180 mph). Soudelor was one
existing placements. Given recent loss experience and perceived
of at least five typhoons to reach Category 5 intensity in the
lower margins based on modeled results, there was some
Western Pacific basin. Soudelor tracked through Saipan, Taiwan,
resistance to price reductions in lower layers of wind programs.
and China at the beginning of August 2015, causing economic
However, all programs were ultimately placed with meaningful
losses in excess of $3.2 billion. Later that month, Typhoon Goni
reductions. Pricing for catastrophe excess of loss coverage
made landfall in Japan on August 25, after first tracking through
broadly decreased 5 to 10 percent from the prior renewal period
the Mariana Islands and later impacting the Philippines, China,
on a risk-adjusted basis.
and the Korean Peninsula. At least 70 people were killed and
more than 200 others were injured. Goni came ashore near
Growth in China’s insurance market
the city of Arao, Japan in Kumamoto Prefecture and damaged
Notably, in July 2016, China announced that homeowners can
or destroyed at least 1,687 properties. Additional widespread
now purchase earthquake insurance policies. Historically, China
damage to other buildings and vehicles also occurred. In the
has experienced significant economic losses from earthquakes.
Philippines, the storm damaged at least 5,742 homes and
The maximum payout for each policy is one million Yuan (just
inundated vast areas of agriculture and infrastructure. Torrential
over $150,000 ) and will cover damage from earthquakes with a
rains from the storm’s remnants damaged tens of thousands of
magnitude of at least Mw4.7. The policies will be sold by Chinese
homes in North Korea and left dozens dead.
insurers for an average premium of 0.04 percent of insured value.
During the first half of 2016, the costliest global natural disaster
based on economic losses was the combination of two major
earthquakes that struck Japan’s Kumamoto region on April
14 (Mw6.0) and April 16 (Mw7.0). Damage to residential and
commercial properties was extensive, with Japan’s Fire and
Disaster Management Agency noting that nearly 160,000
structures had been damaged or destroyed. Additional costs
resulting from damaged infrastructure and business interruption
were also considerable. Total damage and reconstruction costs
throughout the impacted areas were estimated at roughly $30
billion, though the Japanese government indicated that final
costs could reach as high as $42 billion.
14 Aon Benfield Impact Forecasting. 2015 Annual Global Climate and Catastrophe Report, Dec. 2015; and Global Catastrophe Recap: First Half of 2016, July 2016.
15 Converted at 1 CNY = 0.1503 USD as of July 1, 2016.
26
Insurance-Linked Securities
Model updates
PERILS expansion into Asia
AIR released its model update for Japan typhoon in September
In April 2016, PERILS AG (PERILS) joined the Singapore-based
2015. The latest model captures the impact of typhoon winds,
Natural Catastrophe Data and Analytics Exchange (NatCatDAX)
precipitation-induced flooding, and newly-introduced storm
Alliance. PERILS, which was formed in Zurich in 2009, currently
surge. The stochastic catalog contains more than 293,000
provides industry exposure and event loss data and an associated
simulated events; and the historical catalog incorporates data
industry loss index service for Europe windstorm, and UK
from over 1,600 storms between 1951 and 2006.
flood, as well as earthquake and flood in both Italy and Turkey.
AIR announced a significant expansion of its Southeast Asia
earthquake and typhoon models in June 2016. The updates
include tsunami and liquefaction sub-perils for Indonesia,
the Philippines, and Taiwan in the earthquake model. A new
precipitation-induced flooding module, built using highresolution data, and probabilistic storm surge module were
introduced in the typhoon model for Hong Kong, the Philippines,
and Taiwan. Furthermore, the areas covered by the storm surge
module were expanded to include Guam, Macau, Saipan,
and Vietnam for typhoons; and Hong Kong, Macau, Vietnam,
Singapore, Thailand, Brunei, and Malaysia for earthquakes. In
the same month, AIR announced the release of its earthquake
model for India, which included historical events spanning more
The NatCatDAX Alliance is led by the Institute of Catastrophe
Risk Management at Nanyang Technological University and is
a partnership with Aon Benfield, Mitsui Sumitomo Insurance
Group, RenRe, RMS, and PERILS, with support from the Monetary
Authority of Singapore. The NatCatDAX Alliance aims to increase
the insurability of catastrophe risks in Asia by first increasing
the availability and accuracy of data for Asia. Exposure and loss
databases will provide perspectives on both an economic and
insured basis. The insurance database will utilize PERILS’ existing
methodology along with exposure and loss data accumulated
from insurance companies writing business in the region. Initial
efforts will be concentrated on Indonesia, the Philippines, Taiwan,
and Thailand.
than two centuries. The model assesses damages and losses
for locations within India; however, it also incorporates seismic
activity from the surrounding regions of Pakistan, Nepal, Bhutan,
and Bangladesh.
Aon Benfield’s catastrophe development team, Impact
Forecasting, also released a new model for Asia typhoon this year.
The model, which incorporates aspects such as wind damage,
typhoon rainfall-induced flooding, and storm surge, provides
coverage for China, Hong Kong, India, the Philippines, South
Korea, Taiwan, Thailand, and Vietnam. Over 500,000 events from
genesis through dissipation are incorporated.
16 AIR Worldwide’s Model Documentation. “AIR Typhoon Model for Japan,” Sept. 15, 2015.
17 Press release. “AIR Worldwide Significantly Expands Its Model Coverage for Southeast Asia,” June 20, 2016.
18 Press release. “AIR Worldwide Introduces Earthquake Model for India,” June 27, 2016.
19 Press release. “PERILS Joins Singapore-based ‘NatCatDAX’ Alliance,” Apr. 28, 2016.
Aon Benfield
27
Life and Health Perils
Extreme mortality and health catastrophe bonds
Two non-property catastrophe bond issuances closed in the
final year when the cover provided diminishes. Vita Capital VI,
12 months ending June 30, 2016. Similar to the prior 12-month
however, includes a dropdown feature that reduces the trigger
period, the new issuances covered health and extreme mortality
level for the fifth calendar year to mitigate this—the same feature
risks. Both the number of investors and the amount of capital
introduced on AXA Global Life’s Benu Capital Limited in 2015.
focused on non-property risks are continuing to grow. Investors
would welcome the opportunity to expand this segment of the
Aetna Life Insurance Company (Aetna) issued its seventh
market, which had just over $1.3 billion in outstanding limit at
transaction in January this year. Vitality Re VII Limited Series 2016-
June 30, 2016.
1 (Vitality Re VII) provides $200 million in indemnity protection
against increases in Aetna’s medical benefit ratios. The transaction
In December 2015, Swiss Re returned to the capital markets with
provides coverage for four years, compared to the 2015 issuance’s
the Vita Capital VI, which provides Swiss Re with $100 million
coverage of three years. Similar to prior years, two classes of notes
of extreme mortality protection for populations in Australia,
were issued of $140 million and $60 million for the senior and
Canada, and the UK for five calendar years. Coverage also
junior classes, respectively. The senior class attaches at a medical
includes excess mortality as a result of terrorism. The collateral is
benefit ratio of 100 percent; the junior class attaches at 94
invested in IBRD notes, providing investors with an investment
percent. Both classes of notes from Vitality Re VII are again rated
yield of 6M LIBOR less 0.18 percent. Since the loss trigger is
by S&P, with the senior class of notes securing an investment
calculated over a two-year risk measurement period, Swiss Re
grade rating of “BBB+.”
has historically early redeemed such bonds as they enter the
Table 13: Catastrophe bonds covering life and health risks
Series
Class
Size
(millions)
Vita Capital VI Limited
Series 2015-1
Class A
$100
Class A
$140
Vitality Re VII Limited
Series 2016-1
Beneficiary
Issuer
Swiss Reinsurance
Company Ltd.
Aetna Life Insurance
Company
*Initial modeled annual expected loss.
Source: Aon Securities Inc.
28
Insurance-Linked Securities
Class B
$60
Covered perils
Trigger
Rating
Initial
expected
loss*
Initial interest
spread
AUS, CAN and
UK mortality
Industry index
BB (S&P)
0.99%
2.90%
US medical
benefits ratio
BBB+ (S&P)
<0.01%
2.15%
Indemnity
BB+ (S&P)
0.18%
2.65%
Legend
AUS — Australia
CAN — Canada
UK — United Kingdom
US — United States
Longevity swaps
Both insurers and non-insurers continued to utilize longevity
In September 2015, Heineken transferred £2.4 billion of
risk transfer arrangements in the 12 months ending June 30,
longevity risk to Friends Life Limited, part of Aviva Group, which
2016, although there were fewer transactions than in the prior
in turn ceded part of the risk to Swiss Re. The arrangement
12-month period. The focus was on UK pension plans, which
covers around 19,000 members of the Scottish & Newcastle
is not surprising given that the number of pension risk transfer
Pension Plan, almost half of the pension’s defined benefit
markets in the US is limited due to ERISA fiduciary responsibilities.
scheme. The brewing company was acquired in 2008 by
Legal & General Group (L&G) entered into a longevity
reinsurance contract with Prudential Retirement Insurance
Heineken; the company closed its defined benefit plan to
accrual in 2011.
and Annuity Company (Prudential) in August 2015. The
In November 2015, Philips UK Pension Fund purchased a group
arrangement covers $2.9 billion of L&G’s pension liabilities
annuity contract from Pension Insurance Corporation (PIC).
against longevity risk. In addition to transferring some of its
The arrangement, which applies to around 26,000 current and
longevity risk, the arrangement helps L&G optimize its use of
former employees, transferred €2.4 billion of defined benefit
capital. In April and August 2016, L&G and Prudential entered
obligations to PIC. Additionally, Philips provided around £225
into additional longevity reinsurance contracts, bringing
million to PIC. PIC subsequently transferred all the longevity risk
the total between the two firms to four since October 2014.
to Hannover Re. The arrangement was finalized shortly before
Prudential has become one of the leading capacity providers for
UK insurers were forced to increase capital reserves as a result of
longevity reinsurance and typically assumes all the risk from a
Solvency II. The pension fund has previously purchased a total
reinsurance arrangement rather than forming part of a panel.
of €1.3 billion of buy-in policies—most recently in 2013 and 2014
from Rothesay Life and Prudential, respectively. Following the
latest arrangement, Philips gave notice to the trustees of the
pension fund to commence the process of winding up, causing
buy-in policies to convert into buy-out policies.
Table 14: Publicly disclosed longevity transactions since July 2015
Pension plan
Provider
AXA UK Group Pension Scheme
Reinsurance Group of America
Aegon
Canada Life Re
Legal & General Group
Prudential Retirement Insurance and Annuity Company
Heineken's Scottish & Newcastle Pension Plan
Size
Date
Form
£2.8bn
Jul-15
Swap
€6bn
Aug-15
Swap and reinsurance
£1.85bn
Aug-15
Reinsurance
Friends Life (Aviva Group); Swiss Reinsurance Company Ltd.
£2.4bn
Sept-15
Swap and reinsurance
Philips UK Pension Fund
Pension Insurance Corporation; Hannover Rück SE
€2.4bn
Nov-15
Buy-out and reinsurance
RAC (2003) Pension Scheme
Aviva Life; SCOR SE
Legal & General Group
Prudential Retirement Insurance and Annuity Company
Pension Insurance Corporation
Prudential Insurance Company of America
£600mn
Nov-15
Swap and reinsurance
Undisclosed
Apr-16
Reinsurance
$1.1bn
Jun-16
Reinsurance
Source: Company press releases
Aon Benfield
29
30
Insurance-Linked Securities
A Market Discussion with ILS Investors
Aon Securities recently discussed a number of ILS market topics with a panel of four active investors. The conversation,
transcribed in this section, provides insight into their views and aspirations for the market as a whole. Our panel included:
§ § Robert Lindblom—CEO and Partner, Entropics Asset Management AB
§ § Brett Houghton—Managing Principal, Fermat Capital Management, LLC.
§ § Dr. Gregor Gawron—Head of ILS, Lombard Odier Investment Managers
§ § Daniel Ineichen—Fund Manager Insurance-Linked Securities, Schroders
Aon Benfield
31
Robert Lindblom—Entropics Asset Management AB
CEO and Partner
1. Could you give us an overview of your firm
and your individual responsibilities?
ILS products have an advantage in being fundamentally
Entropics Asset Management AB is a manager devoted to
uncorrelated and having a built-in protection against inflation
responsible investments (RI) in ILS. Based on our view of ILS
and increasing interest rates, as the collateral is invested in
primarily as insurance agreements, our approach is based
short-term money market instruments.
on actuarial analysis and solid underwriting, and our team
is specialized in managing insurance risks. Furthermore,
we are, as far as we know, the first specialized ILS manager
globally with a comprehensive approach to responsible ILS
investments and we work actively with the development of RI
strategies in the ILS sector.
2. In what new ways could the ILS market help
in protecting the global economy?
As many people globally leave the status of poverty, the
demand for insurance will increase. Urbanization increases
the costs of a catastrophe hitting major population centers
and the climate change will also increase the number of
extreme weather events. It may seem like an impossible
equation to solve, but transferring these risks to the capital
markets is certainly one important step towards a solution to
Low interest rates are likely to remain for a long time. As the
globally low inflation rate may not only be driven by financial
trends but also by digitalization, it is not obvious that either
retail or institutional investors have fully incorporated the
view that the expected return on any investment will be
lower for the foreseeable time than it has been in the past.
4. Do you feel there any new risks that could
be well suited to the ILS market?
Yes. If we start looking at it from a Swedish or European
perspective, we see that indirect effects of climate change;
prolonged draught, wildfires, crop failures, digitalization
etc., are prime candidates for reinsurance/ILS solutions
set up by the public sector or business organizations.
Furthermore, as more people globally belong to the middle
this problem.
class, we see a dramatic increase in the need for insurance
Please see our blog on this subject, Entropics,
in regions lacking a well-functioning and well-capitalized
www.en.entropics.se/blog/the-next-big-one-earthquake-
insurance market. While we follow the development of
illustrates-the-need-for-cat-bonds/.
ILS products covering business risks as well as man-made
As indicated by a number of existing ILS products in
underdeveloped economies, as well as the African Risk
Capacity’s interest in such solutions, ILS provide insurance
opportunities on markets that would otherwise see difficulties
obtaining coverage. The decoupling, in many cases, of the
against all types of natural catastrophes, which will occur
events, we do believe that modeling methods for these and
similar risks need to be developed further, in order to make
such products viable on the market.
5. Are there any innovations that you would
like to see in the ILS market?
triggering mechanisms from insured losses also provides
To further improve confidence in the market, we believe that
disaster reliefs for risk exposure in locations lacking adequate
more standardized and transparent reporting models, for
assessments based on an existing and well-functioning
example regarding risk exposure, are of importance. This also
market. In the long term, this development leads to an
applies to the desirability of standards for reporting of ESG
improved and more diversified investment market.
and responsibility indicators. Also, the evolvement of an even
3. How do you foresee the impact of negative
interest rates on your demand for reinsurance
and ILS products?
The obvious difficulty for any form of alternative investment
32
to many other alternatives and lowly-correlated asset classes,
more liquid and transparent market would benefit investors
and sponsors alike.
6. How does this market prosper
in the near and long term?
is the ongoing injection of capital into the market, pressuring
The strong demand for ILS from investors will continue to
risk-adjusted returns on most assets and inflating equity
drive diversification and innovation within the asset class. In
prices. Consequently, we believe that most investors turn to
the short-term perspective, this will drive new sponsors to
ILS products because of the uncorrelated nature of the asset
the market and in the long term perspective there are new
class, rather than the generally low interest rates. Compared
regions like Asia that we expect to be more active in this field.
Insurance-Linked Securities
Brett Houghton—Fermat Capital Management, LLC
Managing Principal
1. Could you give us an overview of your firm
and your individual responsibilities?
4. Do you feel there any new risks that could
be well suited to the ILS market?
Fermat Capital was founded in 2001 and currently manages
We are currently involved in development efforts for a
$5 billion on behalf of pension funds, sovereign wealth funds,
number of potential new risks for the ILS market including
endowments, family offices, and other private investors. I
flood, terrorism, and cyber risks. ILS as a technology has
am a member of the investment committee and have daily
broad applicability for efficient risk transfer out of regulated
responsibility for investment and trading within the various
entities, which in the process transforms equity risk capital to
portfolios managed by our firm.
a fixed income investment.
2. In what new ways could the ILS market help
in protecting the global economy?
5. Are there any innovations that you would
like to see in the ILS market?
Historically, ILS has provided important stability to the
We continue to advocate for more efficient issuance
capitalization of the insurance industry, particularly during
procedures to reduce sponsor cost for accessing ILS investor
and in the aftermath of market disrupting events including
capital. Ultimately, collateralized multi-year coverage
Hurricane Katrina, the financial crisis, and the extreme
provides greater market stability and more effective capital
industry loss year of 2011. Looking forward, ILS investors
protection for the insurance industry and frictional costs
will continue to have interest in risk exposures that provide
currently erode a disproportionate share of the benefits
income generating opportunities with downside events
provided by ILS risk transfer.
not tied to broader markets. Potential ILS application is very
broad and will likely expand into many more areas where
concentration of risk demands regulatory capital. Disruption
6. How does this market prosper
in the near and long term?
of economic activity can be caused by a wide range of
The ILS market is poised for significant long-term growth and
causes with natural catastrophes representing the tip of the
market participants need to handle that growth responsibly
iceberg. ILS can help manage disruption in the future by
through disciplined underwriting and thoughtful deal
providing buffer capital for business interruption, workers
structures, which maintain appropriate balance between the
compensation, and other economic risks caused by disasters,
needs of sponsors and investors. Current monetary policy
terrorism, and other extreme events.
conditions have created an environment where mid-single
digit returns are acceptable for insurance equity risk capital.
3. How do you foresee the impact of negative
interest rates on your demand for reinsurance
and ILS products?
As the environment changes in the medium to longer term,
industry participants will come under increased pressure to
return capital, adapt their business models or face activist
The market has been dealing with near-zero interest rates
investors in favor of run off. The future holds opportunities
for 8 years and negative interest rates in certain currencies
for significant ILS capital growth, but the industry must be
for some time now. This market condition impacts all asset
responsible in the near term to position appropriately for the
classes as short term interest rates provide a foundation above
next 20 years.
which returns across many investments are derived. The flood
of central bank liquidity and asset purchases has reduced
the global pool of “positive return” assets and incentivized
investment capital to venture beyond traditional asset
classes in search of return opportunities. ILS has experienced
significant growth during this time as the asset class provides
attractive risk adjusted returns without expected loss
correlation to financial assets. We expect investor interest
to continue to expand into the future as ILS has developed
beyond a niche asset class and now provides an important
component of portfolio diversification for a broad range of
institutional investors.
Aon Benfield
33
Dr. Gregor Gawron–Lombard Odier Investment Managers
Head of ILS
1. Could you give us an overview of your firm
and your individual responsibilities?
4. Do you feel there any new risks that could
be well suited to the ILS market?
Lombard Odier Investment Managers (LOIM) is the asset
Theoretically everything that is insured could be transferred
management business of Lombard Odier, focused on
to the ILS market. Given the rather conservative nature of
institutional investors and financial intermediaries. Lombard
the insurance industry and the high costs involved with risk
Odier, founded 1796 in Geneva, has always been wholly
transfer, the process is very slow. There is no doubt that the
owned and managed by its partners, who are responsible for
ILS participants possess the necessary skills to underwrite/
the day-to-day management of the firm. The ILS team joined
evaluate all sorts of insurance risks.
LOIM in August 2015 to build up activities in the ILS space.
My responsibility as Head of ILS is to develop an attractive
product palette that meets investors’ needs and appetite.
5. Are there any innovations that you would
like to see in the ILS market?
Blockchain and the whole InsurTech—an open finance
2. In what new ways could the ILS market help
in protecting the global economy?
Many emerging market economies are very sensitive to
severe natural disasters; it is not unusual having a negative
GDP impact in the magnitude of 10 to 15 percent. There
already have been some World Bank initiatives to offer
technology that will allow insurers and ILS participants to
design and close a custom-made transaction quickly and
cost efficiently.
6. How does this market prosper
in the near and long term?
catastrophe protection for these types of countries;
The growth in world population and the increased wealth
however, a lot more can be done. As the alternative capital
accumulation in exposed regions will certainly lead to a
offers the deepest capacity and is continuously seeking
greater demand for protection in the long term. In one way
for new diversifying perils, I see these transactions as an
or another, this trend will have a positive spillover effect into
excellent win-win situation.
the ILS market. In the near term, assuming no major events
and continued low to negative interest rates regime, I see a
3. How do you foresee the impact of negative
interest rates on your demand for reinsurance
and ILS products?
As we are an investment manager, we are observing a
continued interest from our investors in products/strategies
that can offer a positive expected yield at the same time as
being independent from major macroeconomic factors.
However, a prolonged regime of negative interest rates
coupled with absence of major events will most likely lead
to even lower ILS premiums. This may result in a loss of the
relative attractiveness of ILS products against other traditional
asset classes.
34
Insurance-Linked Securities
saturation coupled with some sort of wait and see condition.
Daniel Ineichen—Schroders
Fund Manager Insurance-Linked Securities
1. Could you give us an overview of your firm
and your individual responsibilities?
Schroders is one of the largest asset managers in Europe
with assets under management of $460 billion. It has
offered ILS products to its clients since 2013 when it
acquired an ownership stake in Secquaero Advisors—an ILS
specialized with long lasting experience in this space. I’m
heading up the ILS investment desk at Schroders where
we manage approximately $2 billion in different portfolios
across various strategies.
2. In what new ways could the ILS market help
in protecting the global economy?
We see different interesting areas. On the one hand, it could
narrow the well-known “insurance gap” where ILS could
cover the shortfall between economic and insured losses
after a catastrophic event. Here the ability to structure
parametric bonds could help to quickly have funds available
for reconstruction of infrastructure etc., in particular in
countries and regions outside the developed world. ILS could
certainly also be an interesting option for global corporations
to manage their operational risks; in particular if some of the
revenue streams or their supply chain are linked to weather
patterns or other catastrophes such as floods, for instance. An
example could be that an energy company is hedging against
warmer winter weather or a scenario such as the Thailand
floods in 2011.
3. How do you foresee the impact of negative
interest rates on your demand for reinsurance
and ILS products?
The current rate environment has certainly supported the
investment case for ILS and has led to an increased demand
in the product offering. Not only does the asset class still
offer attractive yields (on catastrophe bond funds that have
remained consistently above 5 percent over the last years)
and clearly has gained relative attractiveness over most
plain vanilla fixed-income asset classes. Furthermore, with
increased interventions and controlled capital markets via QE,
proper diversification—in the form of a truly unrelated risk
factor—has also become much more valuable.
4. Do you feel there any new risks that could
be well suited to the ILS market?
independently assessable and where stress test scenarios and
information asymmetries are well understood, and where
there is no material correlation to the financial markets.
Areas where we see a lot of significant potential for newer
risks to be passed into the capital markets are, for example,
on motor business, crop, or on the life reinsurance side (in
particular for value-in-force transactions or shock mortality
where there is a new stress test under Solvency II).
5. Are there any innovations that you would
like to see in the ILS market?
I think that our market will certainly go through several cycles
of innovations and that change is something that will be part
of our daily lives. This is also one of the most exciting aspects
in ILS as changes always present new opportunities too. In
the short term, we would welcome innovations on the claims
reporting side, in the form of more timely and more frequent
information; in particular on the back of the increased
amount of aggregate triggers. Also an interesting (product)
innovation could come in with regard to contingent capital
(standby facilities) linked to events. The capital market seems
to be well positioned for this development. Finally, more
standardized derivative contracts where investors can buy
and sell protection smoothly could certainly be an exciting
development. There have been several attempts that failed
due to the out-of-the-money nature of the strikes. A way
to overcome this would be to trade on ROL levels or their
changes if there is a reliable index.
6. How does this market prosper
in the near and long term?
It is important to have the capital market segments being
considered as long term capital and not an opportunistic
play. Also, it should not be considered as a play for peak risks
only. Hence, it needs to be nourished throughout the cycle.
Catastrophe bonds in particular, where pricing discipline has
held up relatively well, could otherwise face a challenge to
extrapolate their past growth rates into the near- and longterm. However, given their liquidity and transferability, we
consider it a very important market segment. Consequently,
we require more issuers taking a long-term view that consider
catastrophe bonds as one of the key elements and a fixed part
of their risk capital management and become regular and
While we have followed with interest the latest evolvements
repetitive issuers such as USAA, State Farm, or Zenkyoren, for
and initiatives on bringing new types of risks such as
instance. Such consistent presence of high-quality issuers will
operation risk and cyber risk, we think that in order for a risk
also attract additional players, adding to size and depth of the
to become established in our markets a few criteria have
catastrophe bond markets over time and will bring additional
to be met. We generally look for risks that are quantifiable,
fresh exposures. Aon Benfield
35
36
Insurance-Linked Securities
Appendix I
Catastrophe Bond Issuance Statistics
As of June 30, 2016
Source: Aon Securities Inc.
Aon Benfield
37
Figure 1: Catastrophe bond issuance by year, 2007 to 2016 ( years ending June 30)
Property issuance
10,000
Life and health issuance
9,400
8,145
8,000
$ millions
6,431
6,981
6,665
5,914
6,000
4,736
5,190
4,382
4,000
1,705
2,000
0
2007
2008
2009
2010
2011
2012
2013
2014
2015
2016
Source: Aon Securities Inc.
Figure 2: Outstanding and cumulative catastrophe bond volume, 2006 to 2016
(years ending June 30)
Cumulative property
issuance
Total cumulative
bonds
Property
outstanding
Life and health
outstanding
80,000
72,273
70,000
67,083
$ millions
60,000
60,102
50,000
50,702
44,037
40,000
28,487
30,000
20,000
20,867
12,911
33,223
26,782
16,155
13,174 13,167
10,000
0
2007
Source: Aon Securities Inc.
38
Insurance-Linked Securities
37,605
2008
2009
2010
11,504
2011
15,123
2012
17,788
2013
22,422 23,467 22,562
2014
2015
2016
Figure 3: Catastrophe bond issuance by half-year, 2009 – 2016
January - June
9,000
July - December
8,000
2,325
7,000
$ millions
6,000
2,175
3,498
5,000
2,692
2,625
4,000
2,843
3,000
5,902
2,086
2,650
1,000
1,385
0
2009
2010
4,656
3,973
3,588
2,000
3,015
1,757
2011
2012
2013
2014
2015
2016
Source: Aon Securities Inc.
Figure 4: Investor by category (years ending June 30)4
Catastrophe fund
Institutional
Mutual fund
Reinsurer
Hedge fund
2%
6%
10%
8%
9%
9%
47%
57%
20%
32%
2016
2015
Source: Aon Securities Inc.
4 Aon Securities’ analysis of investor category includes only those transactions in which the firm participated.
Aon Benfield
39
Figure 5: Investor by country/region (years ending June 30)5
US
UK
8%
Bermuda
Switzerland
Other
13%
34%
25%
28%
50%
12%
11%
14%
5%
2015
2016
Figure 6: Historical performance of Aon ILS Indices
Aon ILS Index
180%
Aon ILS BB Index
Aon ILS US EQ Index
Jun
2010
Jun
2012
Aon ILS US HU Index
160%
140%
120%
100%
80%
60%
40%
20%
0%
Jun
2006
Jun
2007
Jun
2008
Jun
2009
Jun
2011
Jun
2013
Source: Aon Securities Inc., Bloomberg.
5 40
Aon Securities’ analysis of investor geographic attributes includes only those transactions in which the firm participated.
Insurance-Linked Securities
Jun
2014
Jun
2015
Jun
2016
Figure 7: Aon All Bond ILS index versus financial benchmarks
140%
Aon All Bond ILS Index
3-5 Year BB Cash Pay US High Yield Index
ABS 3-5 Year, Fixed Rate Index
CMBS 3-5 Year, Fixed Rate Index
S&P 500 Index
3-5 Year US Treasury Notes Index
120%
100%
80%
60%
40%
20%
0%
-20%
-40%
-60%
Jun
2006
Jun
2007
Jun
2008
Jun
2009
Jun
2010
Jun
2011
Jun
2012
Jun
2013
Jun
2014
Jun
2015
Jun
2016
Source: Aon Securities Inc., Bloomberg.
Figure 8: Alternative market development
Catastrophe bonds
80
Sidecar
ILW
Collateralized re and others
72
75
70
64
$ billions
60
50
50
44
40
30
28
22
20
19
22
24
10
0
2007
2008
2009
2010
2011
2012
2013
2014
2015
H1 2016
Source: Aon Securities Inc.
Aon Benfield
41
Figure 9: Global reinsurer capital
800
Traditional capital
Alternative capital
Global reinsurer capital
700
600
12%
-3%
18%
$ billions
500
410
400
-17%
18%
470
-2%
6%
7%
540
4%
575
565
585
505
455
400
340
300
200
388
321
378
447
428
461
490
511
493
510
22
19
22
24
28
44
50
64
72
75
2007
2008
2009
2010
2011
2012
2013
2014
2015
H12016
100
0
Source: Individual company reports, Aon Benfield Analytics, Aon Securities.
Figure 10: ILW trade volume and US ANP price movement
Total US trade volume
$80 billion ANP
$50 billion ANP
$30 billion ANP
1,200
120
Total US trade volume
$ millions
150
900
90
600
60
300
30
Price movement by quarter
1,500
0
0
Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2
2012 2012 2013 2013 2013 2013 2014 2014 2014 2014 2015 2015 2015 2015 2016 2016
Legend
ANP — All Natural Perils
Source: The Global Re Specialty team of Aon UK Limited.
42
Insurance-Linked Securities
Appendix II
Property Catastrophe Bonds—Transaction Summary
As of June 30, 2016
Source: Aon Securities Inc.
Aon Benfield
43
Summary of catastrophe bonds — December 1996 through June 2016
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
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
44
Insurance-Linked Securities
Concentric, Ltd.
Series
Series
1999
Class
Size
(thousands)
Perils
*Equity
Issuer
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
Industry index
TRS
$145,500
Mar-00
Lehman Re Ltd.*
Seismic Limited
Industry index
TRS
$4,500
Mar-00
SCOR
Atlas Reinsurance
p.l.c.
Class A
EU Wind,
CA/JP EQ
Indemnity
TRS
$70,000
BBB+
BBB+
Mar-00
SCOR
Atlas Reinsurance
p.l.c.
Class B
EU Wind,
CA/JP EQ
Indemnity
TRS
$30,000
BBB-
BBB-
Mar-00
SCOR
Atlas Reinsurance
p.l.c.
Class C
EU Wind,
CA/JP EQ
Indemnity
TRS
$100,000
B-
B-
Apr-00
Sorema SA
EU/JP Wind, JP EQ
Indemnity
TRS
$17,000
May-00
State Farm Companies
Alpha Wind
2000-A Ltd.
US HU
Indemnity
TRS
$52,500
BB+
May-00
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
Ba3
Halyard Re B.V.
Series
2000
BB
BB
Ba2
BB+
BB+
BB+
Jul-00
Vesta Fire Insurance Corporation
NeHi, Inc.
US HU
Modeled loss
TRS
$41,500
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
Münchener RückversicherungsGesellschaft Aktiengesellschaft
PRIME Capital
CalQuake &
EuroWind Ltd.
US EQ, EU Wind
Parametric
index
TRS
$129,000
Ba3
BB+
BB
Dec-00
Münchener RückversicherungsGesellschaft Aktiengesellschaft*
PRIME Capital
CalQuake &
EuroWind Ltd.
US EQ, EU Wind
Parametric
index
TRS
$6,000
Dec-00
Münchener RückversicherungsGesellschaft Aktiengesellschaft
PRIME Capital
Hurricane Ltd.
US HU
Parametric
index
TRS
$159,000
Ba3
BB+
BB
Dec-00
Münchener RückversicherungsGesellschaft Aktiengesellschaft*
PRIME Capital
Hurricane Ltd.
US HU
Parametric
index
TRS
$6,000
Feb-01
Swiss Reinsurance
Company Ltd.
Western Capital
Limited
US EQ
Industry index
TRS
$97,000
Ba2
BB+
Feb-01
Swiss Reinsurance
Company Ltd.*
Western Capital
Limited
US EQ
Industry index
TRS
$3,000
Class B
Class B
BB
*Equity
Aon Benfield
45
Issuance
Date
Beneficiary
Size
(thousands)
Moody’s
Mar-01
American Re
TRS
$116,400
Ba2
Apr-01
Sorema SA
Indemnity
TRS
$17,000
May-01
Swiss Reinsurance
Company Ltd.*
SR Wind Ltd.
US HU,
EU Wind
Parametric
index
TRS
$1,800
BB
BB
May-01
Swiss Reinsurance
Company Ltd.*
Class B-2
US HU,
EU Wind
Parametric
index
TRS
$1,800
BB
BB
May-01
SR Wind Ltd.
Class A-1
US HU,
EU Wind
Parametric
index
TRS
$58,200
BB+
BB+
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-
Jun-02
Swiss Reinsurance
Company Ltd.
PIONEER 2002
Ltd.
Series
2002-1
Class E
JP EQ
Parametric
index
TRS
$25,000
Ba3
BB+
Perils
Trigger
Collateral
Gold Eagle
Capital 2001
Limited
US HU, EQ
Modeled loss
Halyard Re B.V.
EU Wind,
JP EQ, TY
Class B-1
SR Wind Ltd.
Swiss Reinsurance
Company Ltd.
May-01
*Equity
46
Insurance-Linked Securities
Issuer
Series
Class
S&P
Fitch
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 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-
Jun-03
Zenkyoren
Phoenix Quake
Wind Ltd.
JP TY, EQ
Parametric
index
TRS
$192,500
Baa3
BBB+
Residential
Reinsurance
2003 Limited
Fitch
*Equity
Aon Benfield
47
Issuance
Date
48
Beneficiary
Issuer
Series
Class
Perils
Trigger
Collateral
Size
(thousands)
Moody’s
S&P
Jul-03
Swiss Reinsurance
Company Ltd.
Arbor I Ltd.
Series 1
US/EU Wind,
CA/JP EQ
Parametric
index
TRS
$95,000
Jul-03
Swiss Reinsurance
Company Ltd.
Arbor II Ltd.
Series 1
US/EU Wind,
CA/JP EQ
Parametric
index
TRS
$26,500
A1
A+
Jul-03
Swiss Reinsurance
Company Ltd.
Palm Capital Ltd.
Series 1
US HU
Parametric
index
TRS
$22,350
Ba3
BB+
Jul-03
Swiss Reinsurance
Company Ltd.
Oak Capital Ltd.
Series 1
EU Wind
Parametric
index
TRS
$23,600
Ba3
BB+
Jul-03
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+
Sep-04
Swiss Reinsurance
Company Ltd.
Arbor Ltd.
Series 6
US/EU Wind,
CA/JP EQ
Parametric
index
TRS
$31,800
Insurance-Linked Securities
Formosa Re Ltd.
Helix 04 Limited
Series 5
B
Ba3
BB+
B
B
Fitch
Issuance
Date
Beneficiary
Issuer
Series
Class
Perils
Trigger
Collateral
Size
(thousands)
Moody’s
S&P
Fitch
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,
US HU
Modeled loss
TRS
$200,000
B+
B
Nov-05
Münchener RückversicherungsGesellschaft Aktiengesellschaft
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,
US 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
CAT-Mex Ltd.
Class A
Mexico EQ
Parametric
TRS
$150,000
BB+
May-06
The Fund for Natural Disasters
CAT-Mex Ltd.
Class B
Mexico EQ
Parametric
TRS
$10,000
BB+
May-06
ACE American
Insurance Company
Calabash Re Ltd.
Series
Class A-1
2006-I
US HU
Industry index
TRS
$100,000
BB
Series 8
Cascadia Limited
Arbor I Ltd.
Series 9
KAMP Re 2005
Ltd.
Aiolos Ltd.
Arbor I Ltd.
Foundation Re
Ltd.
Series 10
Series 1
Series
2006-I
Aon Benfield
BB
49
Issuance
Date
50
Beneficiary
Issuer
Series
Class
Perils
Trigger
Collateral
Size
(thousands)
Moody’s
S&P
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
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
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 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
Münchener RückversicherungsGesellschaft Aktiengesellschaft
Carillon Ltd.
Series 1 Class A-2
US HU
Industry index
TRS
$23,500
B+
Jun-06
Münchener RückversicherungsGesellschaft Aktiengesellschaft
Carillon Ltd.
Series 1
Class B
US HU
Industry index
TRS
$10,000
B
Jun-06
Münchener RückversicherungsGesellschaft Aktiengesellschaft
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 Rück SE
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
Dec-06
Swiss Reinsurance
Company Ltd.
Successor Euro
Wind Ltd.
Series 3
Class A
EU Wind
Parametric
index
TRS
$118,000
Fitch
BB+
BB+
BB+
B
Ba3
BB
Aon Benfield
51
Issuance
Date
52
Beneficiary
Size
(thousands)
Issuer
Series
Class
Perils
Trigger
Collateral
Moody’s
S&P
Successor Euro
Wind Ltd.
Series 3
Class C
EU Wind
Parametric
index
TRS
$15,000
Lakeside Re Ltd.
US EQ
Indemnity
Bank
Deposit
$190,000
BB+
JP EQ, EU Wind
Modeled loss
TRS
€120,000
BB+
Dec-06
Swiss Reinsurance
Company Ltd.
Dec-06
Zurich American
Insurance Company
Dec-06
SCOR
Atlas Reinsurance
III p.l.c.
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 Reinsurance Company Ltd.
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
Apr-07
Chubb Group
East Lane Re Ltd.
Series
2007-I
Class A
US HU
Indemnity
TRS
$135,000
BB+
Apr-07
Chubb Group
East Lane Re Ltd.
Series
2007-I
Class B
US HU
Indemnity
TRS
$115,000
BB+
May-07
Münchener RückversicherungsGesellschaft Aktiengesellschaft
Carillon Ltd.
Series 2
Class E
US HU
Industry index
TRS
$150,000
B
May-07
The Travelers
Indemnity Company
Longpoint Re
Ltd.
Series
2007-1
Class A
US HU
Industry index
TRS
$500,000
BB+
May-07
Swiss Reinsurance
Company Ltd.
Successor II Ltd.
Series 2
Class A
NA/EU W,
CA/JP EQ
Modeled loss,
Parametric
index
TRS
$100,000
B
May-07
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
Class 1
US HU, EQ
Indemnity
TRS
$145,000
BB
May-07
United Services
Automobile Association
Residential
Reinsurance
2007 Limited
Series
2007-I
Class 2
US HU, EQ
Indemnity
TRS
$125,000
B
Insurance-Linked Securities
Class E-1
B3
B
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 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
JP EQ
Parametric
TRS
$260,000
BB+
TRS
€155,000
BB+
Spinnaker Capital
Ltd.
Series 3
2007
MIDORI Ltd.
B
BB+
Nov-07
Allianz Argos 14 GmbH
Blue Fin Ltd.
Series 1
Class A
EU Wind
Parametric
index
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
Newton Re
Limited
Series
2007-1
Class A
US EQ
Industry index
Bank
Deposit
$87,500
BB+
Dec-07
Catlin Group
Newton Re
Limited
Series
2007-1
Class B
US HU
Industry index
Bank
Deposit
$137,500
BB+
Dec-07
Swiss Reinsurance
Company Ltd.
GlobeCat Ltd.
Series
Class A-1
LAQ
Latin America EQ
Modeled loss
TRS
$25,000
Ba3
Dec-07
Swiss Reinsurance
Company Ltd.
GlobeCat Ltd.
Series
Class A-1
USW
US HU
Industry index
TRS
$40,000
B3
Atlas Reinsurance
IV Limited
Aon Benfield
53
Issuance
Date
54
Beneficiary
Dec-07
Swiss Reinsurance
Company Ltd.
Dec-07
Groupama S.A.
Dec-07
Issuer
GlobeCat Ltd.
Series
Size
(thousands)
Moody’s
TRS
$20,000
B1
Class
Perils
Trigger
Collateral
Series
Class A-1
CAQ
US EQ
Industry index
S&P
Green Valley Ltd.
Series 1
Class A
EU Wind
Parametric
index
TRS
€200,000
Swiss Reinsurance
Company Ltd.
Successor
Hurricane
Industry Ltd.
Series 6
Class C
US HU
Industry index
TRS
$30,000
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
Münchener RückversicherungsGesellschaft Aktiengesellschaft
Queen Street
Ltd.
Series 1
Class A
EU Wind
Parametric
index
TRS
€70,000
BB+
Mar-08
Münchener RückversicherungsGesellschaft Aktiengesellschaft
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
BB
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
Insurance-Linked Securities
BB+
B2
B
B
Ba2
Fitch
Issuance
Date
Beneficiary
Size
(thousands)
Moody’s
TRS
$40,000
B3
Issuer
Series
Class
Perils
Trigger
Collateral
Valais Re Ltd.
Series
2008-1
Class C
US/EU/JP Wind,
US/JP EQ
Indemnity
S&P
May-08
Flagstone Reinsurance Limited
and Flagstone Reassurance
Suisse SA
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
Apr-09
Allianz Argos 14 GmbH
Blue Fin Ltd.
Series 2
Class A
US HU, EQ
Modeled loss
MTN
$180,000
BB-
Apr-09
Swiss Reinsurance
Company Ltd.
Successor II Ltd.
Series 4
Class F
US HU, EQ
Parametric
index
MMF
$60,000
May-09
Assurant, Inc.
Ibis Re Ltd.
Series
2009-1
Class A
US HU
Industry index
TRS
$75,000
BB
May-09
Assurant, Inc.
Ibis Re Ltd.
Series
2009-1
Class B
US HU
Industry index
TRS
$75,000
BB-
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-
Class A
Aon Benfield
Fitch
55
Issuance
Date
56
Beneficiary
Issuer
Series
Class
Size
(thousands)
Moody’s
MTN
€50,000
B2
Perils
Trigger
Collateral
EU Wind, EQ
Parametric
index,
modeled loss
S&P
Jun-09
Münchener RückversicherungsGesellschaft Aktiengesellschaft
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 Rück SE
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
Ianus Capital Ltd.
Lakeside Re
II Ltd.
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+
Swiss Reinsurance
Company Ltd.
Successor X Ltd.
Series
2010-1
Class
II-CN3
US HU, EU Wind
Industry index,
modeled loss
MMF
$45,000
B-
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.
US HU
Industry index
MMF
$90,000
BB
Insurance-Linked Securities
Merna
Reinsurance
II Ltd.
Ibis Re Ltd.
Series
2010-1
Class A
B1
Fitch
Issuance
Date
Beneficiary
Apr-10
Assurant, Inc.
May-10
Size
(thousands)
Issuer
Series
Class
Perils
Trigger
Collateral
Moody’s
S&P
Ibis Re Ltd.
Series
2010-1
Class B
US HU
Industry index
MMF
$60,000
B+
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
Münchener RückversicherungsGesellschaft Aktiengesellschaft
EOS Wind
Limited
Class A
US HU
Industry index
MMF
$50,000
Ba3
May-10
Münchener RückversicherungsGesellschaft Aktiengesellschaft
EOS Wind
Limited
Class B
US HU, EU Wind
Industry index,
parametric
index
MMF
$30,000
Ba3
May-10
Nationwide Mutual Insurance
Company
$185,000
May-10
May-10
May-10
Caelus Re II
Limited
Series
2010-1
Class A
US HU, EQ
Indemnity
MMF
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
United Services
Automobile Association
Residential
Reinsurance 2010
Limited
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
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
Merna
Reinsurance
III Ltd
Fitch
BB+
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
Dec-10
United Services
Automobile Association
Residential
Reinsurance 2010
Limited
Series
2010-II
Class 1
US HU, EQ, ST,
WS, WF
Indemnity
MMF
$210,000
BB
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
BBa3
Aon Benfield
57
Issuance
Date
58
Beneficiary
Issuer
Series
Mariah Re Ltd.
Series
2010-2
Class
Perils
Trigger
Collateral
US ST
Industry index
MMF
Size
(thousands)
Moody’s
S&P
Dec-10
American Family Mutual
Insurance Company
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
Münchener RückversicherungsGesellschaft Aktiengesellschaft
US HU, EU Wind
Industry index
MMF
$100,000
BB-
Apr-11
Allianz Argos 14 GmbH
Queen Street II
Capital Limited
$100,000
Blue Fin Ltd.
Series 4
Class B
US HU, EQ
Modeled loss
MMF
$40,000
Class A
US HU
Indemnity
MMF
$70,000
BB-
May-11
North Carolina JUA/IUA
Johnston Re Ltd.
Series
2011-1
May-11
North Carolina JUA/IUA
Johnston Re Ltd.
Series
2011-1
Class B
US HU
Indemnity
MMF
$131,835
BB-
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
Münchener RückversicherungsGesellschaft Aktiengesellschaft
Queen Street III
Capital Limited
EU Wind
Industry index
MMF
$150,000
B+
Aug-11
California Earthquake Authority
Embarcadero
Reinsurance Ltd.
CAL EQ
Indemnity
MMF
$150,000
BB-
Insurance-Linked Securities
Series
2011-I
Class A
Fitch
Issuance
Date
Beneficiary
Issuer
Series
Class
Perils
Trigger
Collateral
Size
(thousands)
Moody’s
S&P
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-
Kizuna Re Ltd.
Series
2011-1
AXA Global P&C
Calypso Capital
Limited
Series
2011-1
Oct-11
Münchener RückversicherungsGesellschaft Aktiengesellschaft
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
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
Münchener RückversicherungsGesellschaft Aktiengesellschaft
US HU, EU Wind
Industry index
MMF
$75,000
Mar-12
Liberty Mutual
Insurance Company
US HU,
EQ (ex CA)
Indemnity
MMF
$100,000
Class A
Queen Street V
Re Limited
Mystic Re III Ltd.
Series
2012-1
Class A
Fitch
B-
B2
BB
Aon Benfield
59
Issuance
Date
60
Beneficiary
Issuer
Series
Class
Perils
Trigger
Collateral
Size
(thousands)
Mystic Re III Ltd.
Series
2012-1
Class B
US HU, EQ
Indemnity
MMF
$175,000
B
Moody’s
S&P
Mar-12
Liberty Mutual
Insurance Company
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
Jul-12
Münchener RückversicherungsGesellschaft Aktiengesellschaft
Queen Street VI
Re Limited
US HU, EU Wind
Industry index
MMF
$100,000
B
Jul-12
California Earthquake Authority
Embarcadero
Reinsurance Ltd.
Series
2012-II
Class A
CAL EQ
Indemnity
MMF
$300,000
BB+
Sep-12
Hannover Rück SE
Eurus III Ltd.
Series
2012-1
Class A
EU Wind
Industry index
MTN
€100,000
BB-
Oct-12
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
Münchener RückversicherungsGesellschaft Aktiengesellschaft
Queen Street VII
Re Limited
US HU, EU Wind
Industry index
MMF
$75,000
B
Nov-12
SCOR Global P&C SE
US HU, EQ
Industry index
MTN
$60,000
BB-
Insurance-Linked Securities
Atlas Reinsurance
VII Limited
Class A
BB+
Fitch
Issuance
Date
Beneficiary
Class
Perils
Trigger
Collateral
Size
(thousands)
Nov-12
SCOR Global P&C SE
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
Issuer
Series
Atlas Reinsurance
VII Limited
Lakeside Re III
Ltd.
Caelus Re 2013
Limited
Moody’s
S&P
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+
May-13
Allstate Insurance Company
Sanders Re Ltd.
Series
2013-1
Class B
US HU, EQ
Indemnity
MMF
$150,000
BB
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-
Everglades Re
Ltd. Merna Re IV Ltd.
Aon Benfield
Fitch
61
62
Issuance
Date
Beneficiary
Jun-13
Assurant, Inc.
Jun-13
Münchener RückversicherungsGesellschaft Aktiengesellschaft
Jun-13
Amlin AG
Jul-13
Issuer
Series
Class
Perils
Trigger
Collateral
Size
(thousands)
Ibis Re II Ltd.
Series
2013-1
Class C
US HU
Industry index
MMF
$40,000
US HU, AUS CY
Industry index,
modeled loss
MMF
$75,000
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
Moody’s
S&P
B
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
Dec-13
American International Group
Tradewynd Re
Ltd.
Series
Class 3-B
2013-2
US/CB HU, NA
EQ
Indemnity
MMF
$140,000
Dec-13
Achmea Reinsurance Company
N.V.
Windmill I Re
Ltd.
Series
2013-1
Class A
EU Wind
Indemnity
MMF
€40,000
Dec-13
American Modern Insurance
Group, Inc.
Queen City Re
Ltd.
Series
2013-1
Class A
US HU
Indemnity
MMF
$75,000
Dec-13
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
Insurance-Linked Securities
BB-
BB
Fitch
Issuance
Date
Beneficiary
Issuer
Series
Class
Perils
Trigger
Collateral
Size
(thousands)
Mar-14
Chubb Group
East Lane Re
VI Ltd.
Series
2014-1
Class A
Northeast U.S.
HU, EQ, ST, WS
Indemnity
MMF
$270,000
Mar-14
American Strategic Insurance
Group
Gator Re Ltd.
Series
2014-1
Class A
US HU, ST
Indemnity
MMF
$200,000
Mar-14
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
Lion I Re Limited
Moody’s
S&P
Fitch
BB+
BB-
B+
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
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-
B
BB
B
Aon Benfield
63
64
Issuance
Date
Beneficiary
Issuer
Series
Class
Perils
Trigger
Collateral
Size
(thousands)
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
Mar-15
Safepoint Insurance Company
Manatee Re Ltd.
Series
2015-1
Class A
FL HU
Indemnity
MMF
$100,000
Mar-15
Münchener RückversicherungsGesellschaft Aktiengesellschaft
US HU, AUS CY
Industry index
and modeled
loss
MMF
$100,000
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-
Insurance-Linked Securities
Queen Street X
Re Limited
Moody’s
S&P
Fitch
BB
BBB-
B
BB
Issuance
Date
Beneficiary
Issuer
Series
Class
Perils
Trigger
Collateral
Size
(thousands)
Long Point Re
III Ltd.
Series
2015-1
Class A
Northeast HU,
EQ, ST, WS
Indemnity
MMF
$300,000
Moody’s
S&P
Fitch
May-15
The Travelers Indemnity
Company
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+
Jul-15
Hannover Rück SE
Class A
West coast
NA EQ
Parametric
IBRD
Notes
$300,000
BB
Aug-15
Turkish Catastrophe Insurance
Pool
Turkey EQ
Parametric
index
IBRD
Notes
$100,000
Sep-15
California Earthquake Authority
Oct-15
Acorn Re Ltd.
Series
2015-1
Bosphorus Ltd.
Series
2015-1
Ursa Re Ltd.
Series
2015-1
Class B
CAL EQ
Indemnity
MMF
$250,000
National Railroad Passenger
Corporation
PennUnion Re
Ltd.
Series
2015-1
Class A
US HU (surge
and wind) and
EQ
Parametric
MMF
$275,000
Dec-15
Everest Reinsurance Company
Kilimanjaro Re
Limited
Series
2015-1
Class D
US, CAN, PR HU
and EQ
Industry index
MMF
$300,000
Dec-15
Everest Reinsurance Company
Kilimanjaro Re
Limited
Series
2015-1
Class E
US, CAN, PR HU
and EQ
Industry index
MMF
$325,000
Dec-15
United Services Automobile
Association
Residential
Reinsurance
2015 Limited
Series
2015-II
Class 3
US HU, EQ, ST,
WS, WF, VE, MI
Indemnity
MMF
$125,000
Dec-15
Münchener RückversicherungsGesellschaft Aktiengesellschaft
Queen Street XI
Re dac
US HU and
AUS CY
Industry index,
modeled loss
MMF
$100,000
Dec-15
National Mutual Insurance
Federation of Agricultural
Cooperatives
Nakama Re Ltd.
Series
2015-1
Class 1
JP EQ
Indemnity
MMF
$100,000
Dec-15
National Mutual Insurance
Federation of Agricultural
Cooperatives
Nakama Re Ltd.
Series
2015-1
Class 2
JP EQ
Indemnity
MMF
$200,000
Jan-16
SCOR Global P&C SE
Atlas IX Capital
DAC
Series
2016-1
Class A
US, PR HU and
US, PR, CAN EQ
Industry index
EBRD
Notes
$300,000
Jan-16
XL Insurance (Bermuda) Ltd
Galileo Re Ltd.
Series
2016-1
Class A
US HU, EU wind
and US, CAN EQ
Industry index
MMF
$100,000
Jan-16
XL Insurance (Bermuda) Ltd
Galileo Re Ltd.
Series
2016-1
Class B
US HU, EU wind
and US, CAN EQ
Industry index
MMF
$100,000
Jan-16
XL Insurance (Bermuda) Ltd
Galileo Re Ltd.
Series
2016-1
Class C
US HU, EU wind
and US, CAN EQ
Industry index
MMF
$100,000
Feb-16
Heritage Property & Casualty
Insurance Company and Zephyr
Insurance Company, Inc.
Citrus Re Ltd.
Series
2016-1
Class
D-50
FL, HI HU
Indemnity
MMF
$150,000
Feb-16
Heritage Property & Casualty
Insurance Company and Zephyr
Insurance Company, Inc.
Citrus Re Ltd.
Series
2016-1
Class
E-50
FL, HI HU
Indemnity
MMF
$100,000
Feb-16
Nationwide Mutual Insurance
Company
Caelus Re IV
Limited
Series
2016-1
Class A
US HU, EQ, ST,
WS, WF, VE, MI
Indemnity
MMF
$300,000
Mar-16
United Services Automobile
Association
Espada
Reinsurance
Limited
Series
2016-I
Class 20
US HU, EQ, ST,
WS, WF, VE,
MI, OP
Indemnity
MMF
$50,000
Mar-16
Safepoint Insurance Company
Manatee Re Ltd.
Series
2016-1
Class A
FL, LA HU
Indemnity
MMF
$75,000
BB-
BB-
B-
Aon Benfield
65
66
Issuance
Date
Beneficiary
Issuer
Series
Class
Perils
Trigger
Collateral
Size
(thousands)
Mar-16
Safepoint Insurance Company
Manatee Re Ltd.
Series
2016-1
Class C
FL, LA HU
Indemnity
MMF
$20,000
Mar-16
Mitsui Sumitomo Insurance
Co., Ltd
Akibare Re Ltd.
Series
2016-1
Class A
JP TY
Indemnity
IBRD
Notes
$200,000
Mar-16
Sompo Japan Nipponkoa
Insurance Inc.
Aozora Re Ltd.
Series
2016-1
Class A
JP TY
Indemnity
IBRD
Notes
$220,000
Mar-16
State Farm Fire and Casualty
Company
Merna Re Ltd.
Series
2016-1
Class A
New Madrid EQ
Indemnity
MMF
$300,000
May-16
United Services Automobile
Association
Residential
Reinsurance
2016 Limited
Series
2016-I
Class 10
US HU, EQ, ST,
WS, WF, VE,
MI, OP
Indemnity
MMF
$65,000
May-16
United Services Automobile
Association
Residential
Reinsurance
2016 Limited
Series
2016-I
Class 11
US HU, EQ, ST,
WS, WF, VE,
MI, OP
Indemnity
MMF
$75,000
May-16
United Services Automobile
Association
Residential
Reinsurance
2016 Limited
Series
2016-I
Class 13
US HU, EQ, ST,
WS, WF, VE,
MI, OP
Indemnity
MMF
$110,000
May-16
Münchener RückversicherungsGesellschaft Aktiengesellschaft
US HU and EU
wind
Industry index
IBRD
Notes
$190,000
May-16
Security First Insurance
Company
May-16
Queen Street XII
Re dac
First Coast Re Ltd
Series
2016-1
Class A
FL HU, ST
Indemnity
MMF
$75,000
United Property & Casualty
Insurance Co., Family Security
Insurance Co., Interboro
Insurance Co.
Laetere Re Ltd.
Series
2016-1
Class A
US HU and EQ
Indemnity
MMF
$30,000
May-16
United Property & Casualty
Insurance Co., Family Security
Insurance Co., Interboro
Insurance Co.
Laetere Re Ltd.
Series
2016-1
Class B
US HU and EQ
Indemnity
MMF
$40,000
May-16
United Property & Casualty
Insurance Co., Family Security
Insurance Co., Interboro
Insurance Co.
Laetere Re Ltd.
Series
2016-1
Class C
US HU and EQ
Indemnity
MMF
$30,000
Jun-16
Allianz Risk Transfer (Bermuda)
Limited
Blue Halo Re Ltd.
Series
2016-1
Class A
US HU and EQ
Industry index
MMF
$130,000
Jun-16
Allianz Risk Transfer (Bermuda)
Limited
Blue Halo Re Ltd.
Series
2016-1
Class B
US HU and EQ
Industry index
MMF
$55,000
Insurance-Linked Securities
Moody’s
S&P
BB-
BB-
Fitch
Appendix III
Life and Health Catastrophe Bonds—
Transaction Summary
As of June 30, 2016
Source: Aon Securities Inc.
Aon Benfield
67
Summary of life and health catastrophe bonds — December 1996 through June 2016
68
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
Münchener RückversicherungsGesellschaft Aktiengesellschaft
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+
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+
Insurance-Linked Securities
Issuer
Series
Class
Perils
Trigger
Size
(thousands)
Issuance date
Beneficiary
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
Dec-16
Swiss Reinsurance Company Ltd.
Jan-16
Jan-16
S&P
Vita Capital Limited
Series 2015-1
Class A
Extreme mortality
Index
$100,000
BB
Aetna Life Insurance Company
Vitality Re VII Limited
Series 2016-1
Class A
Health
Indemnity - MBR
$140,000
BBB+
Aetna Life Insurance Company
Vitality Re VII Limited
Series 2016-1
Class B
Health
Indemnity - MBR
$60,000
BB+
Aon Benfield
69
70
Insurance-Linked Securities
Appendix IV
Summary of Sidecar Issuance
As of June 30, 2016
Source: Aon Securities Inc., various company filings and press releases.
Aon Benfield
71
Summary of sidecar issuance
Sidecar
Inception
Lines of business
Size ($ millions)
Top Layer Re
RenaissanceRe Holdings Ltd., SF
Dec-99
High excess U.S. property cat
100.0
Olympus Re
White Mountains Insurance Group, Ltd.
Dec-01
Property cat, property risk, retro and marine
500.0
RenaissanceRe Holdings Ltd., SF
Dec-01
Property cat reinsurance
600.0
DaVinci Re
Rockridge Re
Montpelier Reinsurance Ltd.
Jun-05
High excess cat retrocessional
90.9
Blue Ocean Re
Montpelier Reinsurance Ltd.
Dec-05
Property cat retrocessional
300.0
Cyrus Re
XL Group Ltd
Dec-05
Property cat reinsurance and retrocessional
525.0
Flatiron Re
Arch Reinsurance Company
Dec-05
Property and marine reinsurance
900.0
Helicon Re
White Mountains Insurance Group, Ltd.
Dec-05
Short-tailed property and marine
146.0
Kaith/K5
Olympus Re II
Petrel Re
Hannover Rück SE
Dec-05
Property cat, property risk, aviation and marine
370.0
White Mountains Insurance Group, Ltd.
Jan-06
Property cat, property risk, retro and marine
156.0
Validus Holdings, Ltd.
May-06
Marine and offshore energy reinsurance contracts
125.0
RenaissanceRe Holdings Ltd.
May-06
Short-tailed property and marine
310.5
Harbor Point Limited
Jun-06
US property, marine, retro and workers’ comp
150.0
Sirocco Re
Lancashire Holdings Limited
Jun-06
Marine and offshore energy insurance contracts
75.0
Timicuan Re
RenaissanceRe Holdings Ltd.
Jul-06
Reinstatement premium protection
70.0
Concord Re
Lexington Insurance Company
Aug-06
US commercial property
730.0
Starbound Re
Bay Point Re
Mont Fort Re
Flagstone Reinsurance Holdings, S.A.
Aug-06
Peak zone and ILW
60.0
XL Group Ltd
Nov-06
Property cat reinsurance and retrocessional
635.0
Panther Re
Hiscox Inc.
Dec-06
Property cat reinsurance
360.0
Syncro Ltd.
Lloyd’s #4242 (Chaucer)
Dec-06
Property cat reinsurance
100.0
Brit plc
Dec-06
Property cat retrocessional
107.7
New Point Re
Harbor Point Limited
Dec-06
Property cat retrocessional
250.0
Triomphe Re
Paris Re
Dec-06
Property cat retrocessional
185.0
Sector Re
Swiss Reinsurance Company Ltd.
Jan-07
Property cat, aviation
220.0
MaRI Ltd.
ACE Tempest Re
Jan-07
Property cat reinsurance
400.0
Ark Underwriting
Jan-07
Property cat reinsurance
40.0
Syndicate 6104
Hiscox Inc.
Jan-07
Property cat reinsurance
69.0
Syndicate 6103
MAP Underwriting
Jan-07
Property cat reinsurance
78.6
Swiss Reinsurance Company Ltd.
Apr-07
Property cat, aviation
182.5
RenaissanceRe Holdings Ltd.
Jun-07
Property cat reinsurance
341.5
Flagstone Reinsurance Holdings, S.A.
Jul-07
Property cat reinsurance
60.0
Cyrus Re
Norton Re
Syndicate 6105
Bridge Re
Starbound Re II
Mont Gele Re
Norton Re II
Sector Re II
Cyrus Re ll
New Point Re II
Globe Re
Kaith/K6
Timicuan Re II
72
Principal Sponsor
Insurance-Linked Securities
Brit plc
Dec-07
Property cat retrocessional
118.2
Swiss Reinsurance Company Ltd.
Apr-08
Property cat, aviation
150.0
XL Group Ltd
Dec-07
Property cat reinsurance and retrocessional
140.0
Harbor Point Limited
Dec-07
Property cat retrocessional
100.0
Hannover Rück SE
May-08
Property cat retrocessional
133.0
Hannover Rück SE
Mar-09
Property cat, property risk, aviation and marine
180.0
RenaissanceRe Holdings Ltd.
Jun-09
Property cat retrocessional, primarily Florida
60.4
Sidecar
Principal Sponsor
Inception
Lines of business
Size ($ millions)
Fac Pool Re
Hannover Rück SE
Sep-09
Worldwide facultative
60.0
AlphaCat Re
Accordion Re
New Point Re IV
Upsilon Re
Validus Holdings, Ltd.
May-11
Property cat reinsurance and retrocessional
180.0
Lancashire Holdings Limited
Jul-11
Property cat
200.0
Alterra Capital Group
Jul-11
Property cat retrocessional
225.0
RenaissanceRe Holdings Ltd.
Jan-12
Property cat retrocessional
73.7
SPS 20881
Catlin Insurance Company Ltd.
Jan-12
Various lines (Syndicate 2003 quota share)
77.5
1
SPS 6111
Catlin Insurance Company Ltd.
Jan-12
Various lines (Syndicate 2003 quota share)
93.0
SPS 61121
Catlin Insurance Company Ltd.
Jan-12
Various lines (Syndicate 2003 quota share)
41.9
Validus Holdings, Ltd.
Mar-12
Property cat reinsurance (top layer)
500.0
PacRe
Timicuan Re III
RenaissanceRe Holdings Ltd.
Jun-12
Property cat retrocessional, primarily Florida
73.7
New Point Re V
Alterra Capital Group
Jun-12
Property cat retrocessional
210.0
AlphaCat Re 2012
Validus Holdings, Ltd.
Jun-12
Property cat reinsurance and retrocessional
70.0
Lancashire Holdings Limited
Nov-12
Combined exposure UNL aggregate reinsurance product
250.0
Alterra Capital Group
Dec-12
Property cat retrocessional
37.0
Saltire Re I
New Point Re V
Upsilon Re II
RenaissanceRe Holdings Ltd.
Jan-13
Worldwide aggregate retrocessional reinsurance
185.0
Argo Group International Holdings, Ltd.
Jan-13
Portfolio for both insurance and reinsurance
Undisclosed
AlphaCat Re 2013
Validus Holdings, Ltd.
Jan-13
Worldwide property cat reinsurance and retrocession
230.0
Mt. Logan Re
Harambee Re
Everest Re Group, Ltd.
Jan-13
Worldwide property cat reinsurance
250.0
K Cession
Hannover Rück SE
Mar-13
Peak property cat and whole account XOL non-marine
328.0
Lorenz Re
Partner Reinsurance Company Ltd.
Mar-13
Worldwide property cat reinsurance for select accounts
75.0
ACE Tempest Re
Apr-13
Worldwide property cat insurance and reinsurance
95.0
Lancashire Holdings Limited
Jul-13
Property, energy, marine, aviation and Lloyd’s
270.0
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
XL Group Ltd
Jul-13
Collateralized reinsurance and capital markets
Est. 200
Markel Corporation
Jul-13
Property cat retrocessional
215.0
Montpelier Reinsurance Ltd.
Nov-13
Property cat reinsurance
175.0
Validus Holdings, Ltd.
Dec-13
Worldwide property cat reinsurance
160.0
SCOR Global P&C
Dec-13
Property cat reinsurance
56.0
Aspen Bermuda Limited
Dec-13
Property cat reinsurance
65.0
Münchener RückversicherungsGesellschaft Aktiengesellschaft
Jan-14
Property cat reinsurance
63.0
ACE Tempest Re
Jan-14
Worldwide property cat insurance and reinsurance
95.0
Argo Group International Holdings, Ltd.
Jan-14
Property reinsurance
Undisclosed
RenaissanceRe Holdings Ltd.
Jan-14
Worldwide aggregate cat retrocessional
265.0
Transatlantic Reinsurance Company
May-14
Retrocessional
Undisclosed
Aspen Bermuda Limited
Dec -14
Property cat reinsurance
85.0
Eden Re II
Münchener RückversicherungsGesellschaft Aktiengesellschaft
Dec-14
Property cat reinsurance
75.0
Eden Re I 2015-1
Münchener RückversicherungsGesellschaft Aktiengesellschaft
Dec-14
Property cat reinsurance
Undisclosed
Transatlantic Reinsurance Company
Dec-14
Property cat reinsurance
Undisclosed
Silverton Re
Pangaea Re
1 Converted at £1.00 = $1.55 as of Jan. 1, 2012. Whole account quota share of the Catlin Syndicate at Lloyd’s (Syndicate, 2003).
Aon Benfield
73
Sidecar
Versutus
AlphaCat 2015
Sector Re V
Lorenz Re
Silverton Re
Inception
Lines of business
Size ($ millions)
Brit plc
Jan-15
Worldwide property cat reinsurance
75.0
Validus Holdings, Ltd.
Jan-15
Property cat reinsurance
155.0
Swiss Reinsurance Company Ltd.
Apr-15
Property cat reinsurance
190.7
Partner Reinsurance Company Ltd.
Apr-15
Property cat reinsurance
84.0
Aspen Bermuda Limited
Jan-16
Property cat reinsurance
125.0
Münchener RückversicherungsGesellschaft Aktiengesellschaft
Jan-16
Property cat reinsurance
360.0
Altair Re IV
ACE Tempest Re
Jan-16
Property cat reinsurance
Undisclosed
K-Cessions
Hannover Ruck SE
Jan-16
Property cat reinsurance
500.0
Brit plc
Jan-16
Property cat reinsurance
82.5
Eden Re II
Versutus
74
Principal Sponsor
Insurance-Linked Securities
Contact
Paul Schultz
Chief Executive Officer, Aon Securities Inc.
+1 312 381 5256
[email protected]
About Aon Benfield
Aon Benfield, a division of Aon plc (NYSE: AON), is the world‘s
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© Aon Securities Inc. 2016 | All Rights Reserved
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About Aon
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