Post on 29-Jul-2018
Risk. Reinsurance. Human Resources.
Aon Benfield
Insurance-Linked SecuritiesCapital Revolution—Alternative Markets Fuel Dynamic Environment
September 2014
Aon Benfield Securities, Inc. and Aon Benfield Securities Limited (collectively, “Aon Benfield 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 Benfield 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 Benfield 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 Benfield Securities, Inc. and Aon Benfield Securities Limited are all wholly-owned subsidiaries of Aon plc. Securities advice, products and services described within this report are offered solely through Aon Benfield Securities, Inc. and/or Aon Benfield Securities Limited.
Aon Benfield 3
Foreword
Unless otherwise stated, this report covers the 12-month period ending June 30, 2014, during which
time several records were set in the ILS market. In this period, $9.4 billion of catastrophe bond
issuance was secured—the largest amount in the history of the sector and an increase of 41 percent
from the prior year. Additional highlights included a record second quarter ILS issuance of $4.5
billion across 12 separate transactions, which produced a record first half issuance of $5.9 billion.
Meanwhile, in the 12-month period under review, interest spreads reached historic lows.
This encouraged even more sponsors to consider ILS solutions as part of their risk
transfer strategies—a record 13 new sponsors secured coverage during this time.
Specifically, the 2014 edition of this study offers:
§ Aon Benfield Securities’ comprehensive review of the catastrophe
bond market and the drivers affecting the market;
§ Our exclusive Aon Benfield ILS Indices;
§ A review of investor activity;
§ An overview of sidecar and ILW activity;
§ A review of the U.S., Europe and Asia activity;
§ A dedicated section on the Life and Health sector;
§ An in-depth discussion with the Impact Forecasting catastrophe
model development team.
In all, the catastrophe bond market has seen $60.1 billion of cumulative issuance since 1996,
demonstrating its importance as a strategic and efficient risk management tool. The growth of the
market has accelerated in the 12 months under review, and we expect the strong performance
to continue for the remainder of 2014 and beyond. As of June 30, 2014, $22.4 billion of bonds
were on-risk—a new peak for the sector and an increase of $4.6 billion from the prior year.
We hope you will find this document both useful and informative. If you have any questions relating to
the data herein, or indeed any queries regarding the ILS sector, please contact me or my colleagues.
Paul Schultz,
Chief Executive Officer, Aon Benfield Securities
It is my pleasure to bring to you the seventh iteration of Aon Benfield Securities’ annual Insurance-Linked
Securities (ILS) report. As with all our research, this study aims to offer an authoritative review and analysis
of the ILS asset class and, along with our quarterly ILS updates, is intended to be an important and useful
reference document, both for ILS market participants and those with an active interest in the sector.
4 Insurance-Linked Securities
Contents
Aon Benfield Securities’ Annual Review of the Catastrophe Bond Market . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .5
ILS Investor Activity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .12
The Aon Benfield ILS Indices . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .15
ILS-Related Markets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .17
U.S. Perils . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .19
Europe Perils . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .23
Asia Pacific Perils . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .24
Life and Health Perils . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .26
An In-Depth Discussion with Impact Forecasting . . . . . . . . . . . . . . . . . . .27
Appendix I . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .31 Catastrophe Bond Issuance Statistics
Appendix II . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .37 Property Catastrophe Bonds—Transaction Summary
Appendix III . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .58 Life & Health Catastrophe Bonds—Transaction Summary
Appendix IV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .60 Summary of Sidecar Issuance
Contact . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .63
Aon Benfield 5
OverviewThe 12-month period ending June 30, 2014 was ground-breaking
for the insurance-linked securities (“ILS”) market. Momentum
continued from the previous year as significant investor inflows
continued pushing interest spreads to new lows and resulted
in the highest issuance level in the market’s history. Annual
catastrophe bond issuance reached $9.4 billion (Figure 1)—
an increase of 41 percent over the prior year period.
For the 12-month period under review, the total volume of
catastrophe bonds on risk reached an all-time high of $22.4
billion (Figure 2)—an increase of $4.6 billion from the prior year
period and an all-time record for the sector.
Interestingly, the average duration of catastrophe bonds has
increased steadily over the past three semi-annual issuance
periods. However, the main driver in the market expansion is
the large amount of new issuance, secured by both new and
repeat sponsors. As of June 30, 2014, a total of $60.1 billion in
catastrophe bonds has been issued since the market’s origin.
The record level of catastrophe bonds on risk highlights the
recent expansion of the ILS market. Aon Benfield Securities
forecasts that this market expansion will continue, as new
issuance volumes are expected to outweigh maturities in the
coming years.
Figure 1: Catastrophe Bond Issuance by Year, 2005 to 2014 (Years ending June 30)
Source: Aon Benfield Securities, Inc.
Figure 2: Outstanding and Cumulative Catastrophe Bond Volume, 2005-2014 (Years ending June 30)
Source: Aon Benfield Securities, Inc.
0
2,000
4,000
6,000
8,000
10,000
5,914
1,705
4,3824,736
6,4316,665
9,400
8,145
3,279
1,499
USD
Mill
ions
Property Issuance Life / Health Issuance
20142013
20122011
20102009
20082007
20062005
0
USD
Mill
ion
s
PropertyOutstanding
Life / HealthOutstanding
Cumulative Property Issuance
Total CumulativeBonds
4,741
9,444
12,723
20,867
26,782
28,487
33,223
37,605
44,037
50,702
60,102
6,558
12,911
16,15513,174 13,167
11,504
15,12317,788
22,422
0
6,500
13,000
19,500
26,000
32,500
39,000
45,500
52,000
58,500
65,000
20142013
20122011
20102009
20082007
20062005
Aon Benfield Securities’ Annual Review of the Catastrophe Bond Market
6 Insurance-Linked Securities
Key Market Drivers
§ Supply and DemandSignificant capital continued to flow into the ILS sector, with
an estimated $5-6 billion of new capital having entered the
market over the 12 months to June 30, 2014. This brings total
capital inflows to more than $10 billion for the last two years.
In the traditional reinsurance market, capital grew to $570
billion1 by the end of the first quarter of 2014. The record
reinsurer capital levels and continually building strength
from the ILS market pushed traditional margins for some
programs to levels not seen for a generation.
In the catastrophe bond market, interest spreads continued
to decrease in the 12 months ending June 30, 2014. Building
on the declines seen in 2013, sponsors benefitted from
interest spread reductions of 20 percent or higher during
the period under review. These spreads were achieved
despite record issuance levels. Minimum interest spreads for
select risks in the last 12 months are listed below:
Table 1: Minimum Interest Spreads for Selected Risks
Covered Risk Minimum Interest Spread
U.S. hurricane / multi-peril 2.75 percent
U.S. earthquake 2.00 percent
Europe windstorm 2.25 percent
Japan typhoon 2.00 percent
Japan earthquake 2.25 percent
Health 1.75 percent
Source: Aon Benfield Securities, Inc.
§ Enhanced CoverageThe trend of enhanced coverage continued during the
year ending June 30, 2014. Seventy percent of property
catastrophe bonds utilized indemnity triggers, compared
to 48 percent in the prior year. Indemnity coverage was not
limited to the U.S. as sponsors in regions such as Australia,
Europe and Japan also secured such coverage.
Sponsors were able to secure coverage for longer risk periods,
demonstrating investors’ demand for more issuance and
comfort with the catastrophe bond market’s liquidity. Both
Tradewynd Re Ltd. Series 2013-1 and Sanders Re Ltd. Series
2014-1 Class D, which included U.S. hurricane exposure,
secured capacity for five years—the first time since 2007 such
capacity has been secured for U.S. hurricane. In addition,
Vitality Re V Limited secured five years of coverage for health
risk—up from four years in the prior issuance.
In the 12 months under review, investors showed a
willingness to provide capacity for more complex coverages
and certain non-modeled exposures. This is demonstrated
by American International Group’s Tradewynd Re Ltd. and
Great American Insurance Company’s Riverfront Re Ltd.
§ Benign Loss ActivityIn the calendar year 2013, global catastrophes caused insured
losses of $45 billion—22 percent below the 10-year average
of $58 billion and the lowest since 2009. This trend continued
into the first half of 2014, where insured losses were
$22 billion and down 19 percent from the 10-year average2.
As such, it’s not surprising that the year ending June 30, 2014
remained loss free for the catastrophe bond market.
Aon Benfield estimates that a $100 billion1, or greater,
insured catastrophe event is required to meaningfully
disrupt market pricing for any significant period of time.
Transaction ReviewThirty-five transactions (including two with life and health
exposures) closed during the year ending June 30, 2014. This
represents an increase of 30 percent from the prior 12-month
period, in which 27 issuances closed. U.S. exposures continue
to be the main risk ceded to the catastrophe bond market, with
25 transactions in the past 12 months including such risks.
Notably 70 percent of property catastrophe bonds utilized
indemnity triggers, with the remainder predominantly industry
index based. The use of this trigger expanded more broadly
over the last 12 months to include Australia, Europe and Japan
risks, in addition to the U.S.
The contribution to expected modeled loss from U.S. hurricane
risk for new property catastrophe issuances increased from
56 percent for the year ending June 30, 2013 to 60 percent
for the same period in 2014. U.S. earthquake and Europe
windstorm risk each contributed 13 percent of modeled
expected loss during the past 12 months. Japan perils
contributed 10 percent to the modeled expected loss across
four new issuances.
1 Aon Benfield’s Reinsurance Market Outlook—September 20142 Impact Forecasting’s 1H 2014 Global Catastrophe Recap dated July 2014 and Annual Global Climate and Catastrophe Report
Aon Benfield 7
Third Quarter 2013Eight transactions totaling $1.6 billion closed during the third
quarter of 2013, representing the greatest issuance volume
to date in the historically quiet quarter. The trend of third
quarter issuances emerged recently in the catastrophe bond
market and strengthened in 2013 with issuance more than
doubling from the prior year’s third quarter. New sponsors
included Renaissance Reinsurance Ltd. (“RenRe”), Metropolitan
Transportation Authority (“MTA”) and AXIS Specialty Limited
(“AXIS”) during this period.
The issuances offered investors a diverse selection of perils—
France windstorm, Japan earthquake, U.S. hurricane,
U.S. earthquake, extreme mortality and New York storm surge.
A selection of transactions issued in the third quarter of 2013
includes:
§ Tradewynd Re Ltd., sponsored by American International
Group, provides indemnity U.S. (including the Caribbean)
hurricane and North America earthquake coverage over
a five-year term. The transaction marks the first property
catastrophe bond to include U.S. hurricane with a term
longer than four years since 2007;
§ Nakama Re Ltd. (“Nakama Re”) is the first indemnity
transaction sponsored by National Mutual Insurance
Federation of Agricultural Cooperatives (“Zenkyoren”).
This first issuance from the Nakama Re program provides
Zenkyoren with $300 million in coverage for Japan
earthquakes; and
§ Atlas IX Capital Limited (“Atlas IX”) is the first extreme
mortality transaction for SCOR Global Life SE (“SCOR”). Atlas
IX provides SCOR with $180 million in capacity and represents
the lowest attachment level ever achieved for this type of risk
in the ILS market.
Table 2: Third Quarter 2013 Catastrophe Bond Issuance
Beneficiary Issuer Series Class Size (millions) Covered Perils Trigger Collateral
Groupama S.A. Green Fields II Capital Limited Series 2013-1 Class A € 280* FR Wind Industry Index EBRD
Swiss Reinsurance Company Ltd. Mythen Re Ltd. Series 2013-1 Class B-1 $100 US HU Industry Index MMF
Renaissance Reinsurance Ltd. Mona Lisa Re Ltd. Series 2013-2 Class A $150 US HU, EQ Industry Index MMF
American International Group Tradewynd Re Ltd. Series 2013-1 Class 1 $125 US/CB HU, NA EQ Indemnity MMF
Metropolitan Transportation Authority MetroCat Re Ltd. Series 2013-1 Class A $200 NY Storm Surge Parametric Index MMF
AXIS Specialty Limited Northshore Re Limited Series 2013-1 Class A $200 US HU, EQ Industry Index MMF
National Mutual Insurance Federation of Agricultural Cooperatives Nakama Re Ltd. Series 2013-1 Class 1 $300 JP EQ Indemnity MMF
SCOR Global Life SE Atlas IX Capital Limited Series 2013-1 Class B $180 US Extreme
Mortality Index EBRD
Total $1,620.7
Source: Aon Benfield Securities, Inc. * Converted at €1.000 = $1.306 as of July 1, 2013
LegendCB – CaribbeanEQ – EarthquakeFR – FranceHU – Hurricane
JP – JapanNA – North AmericaNY – New YorkUS – United States
8 Insurance-Linked Securities
Fourth Quarter 2013Eight transactions closed during the fourth quarter of 2013
totaling $1.9 billion as market pricing conditions for ILS
remained in line with the historical lows seen in the first half
of 2013. Several new cedants secured coverage including
American Modern Insurance Group Inc., QBE Insurance Group
Limited (“QBE”) and Achmea Reinsurance Company N.V.
(“Achmea Re”).
A selection of transactions issued in the fourth quarter of 2013
includes:
§ VenTerra Re Ltd. (“VenTerra Re”) marks QBE’s entrance to the
catastrophe bond market. The transaction provides indemnity
coverage for U.S. earthquakes, Australia cyclones and
Australia earthquakes. VenTerra Re provides QBE with $250
million in capacity for three years. The transaction was well-
received by investors and closed at the low end of marketed
guidance. VenTerra Re is the first indemnity transaction to
include a significant amount of Australia exposure; and
§ Windmill I Re Ltd., sponsored by Achmea Re, provides
€40 million indemnity Europe windstorm coverage.
The transaction was marketed and placed with a limited
number investors. Achmea Re is the first company to sponsor
an indemnity catastrophe bond covering Europe risks since
the financial crisis.
As 2013 came to a close, total new catastrophe bond issuance
for the trailing 12-month period was at its highest level since
2007. Total catastrophe bonds outstanding at calendar year end
set a new record of just over $20 billion.
Table 3: Fourth Quarter 2013 Catastrophe Bond Issuance
Beneficiary Issuer Series Class Size (millions) Covered Perils Trigger Collateral
AXA Global P&C Calypso Capital II LimitedClass A € 185*
EU Wind Industry Index EBRDClass B € 165*
Catlin Insurance Company Ltd. Galileo Re Ltd. Series 2013-1 Class A $300 US HU, EQ, EU Wind Industry Index MMF
United Services Automobile Association Residential Reinsurance 2013 Limited Series 2013-II
Class 1 $80 US HU, EQ, ST, WS, WF Indemnity MMF
Class 4 $70
American International Group Tradewynd Re Ltd. Series 2013-2
Class 1-A $100
US, CB HU, NA EQ Indemnity MMFClass 3-A $160
Class 3-B $140
Achmea Reinsurance Company N.V. Windmill I Re Ltd. Series 2013-1 Class A € 40** EU Wind Indemnity MMF
American Modern Insurance Group, Inc. Queen City Re Ltd. Series 2013-1 Class A $75 US HU Indemnity MMF
QBE Insurance Group Limited VenTerra Re Ltd. Series 2013-1 Class A $250 US EQ, AUS CY, EQ Indemnity MMF
Argo Re, Ltd. Loma Reinsurance (Bermuda) Ltd. Series 2013-1
Class A $32US, CB HU, US ST, NA,
CB EQ
Indemnity, Industry Index MMFClass B $75
Class C $65
Total $1,877.0
Source: Aon Benfield Securities, Inc. * Converted at €1.000 = $1.358 as of October 15, 2013 ** Converted at €1.000 = $1.367 as of December 23, 2013
LegendAUS – AustraliaCB – CaribbeanCY – CycloneEQ – Earthquake
EU – EuropeHU – HurricaneNA – North AmericaST – Severe Thunderstorm
US – United StatesWF – WildfireWS – Winter Storm
Aon Benfield 9
First Quarter 2014
Picking up where the strong 2013 year ended, seven
transactions closed during the first quarter of 2014 totaling
$1.4 billion, making it the second most active first quarter
on record. Interest spreads continued to decline following
the historic low rates seen in 2013, as strong demand for
catastrophe bonds continued among sponsors and investors.
Two new sponsors entered the market in the first quarter of
2014—American Strategic Insurance Group and Great American
Insurance Company (“GAIC”).
A selection of transactions issued in the first quarter of 2014
includes:
§ Riverfront Re Ltd. (“Riverfront Re”) provides multi-peril
coverage in the U.S. and Canada for GAIC. The transaction for
the first time sponsor also includes some non-modeled risks.
Riverfront Re was well-received by investors and priced at
4.00 percent, below marketed guidance.
§ Kizuna Re II Ltd. is the second indemnity catastrophe bond
for Tokio Marine & Nichido Fire Insurance Co., Ltd. (“Tokio
Marine”). It is the first earthquake bond with significant
commercial and industrial exposures in Japan, and provides
the insurer with $245 million in coverage; and
§ Merna Re V Ltd. provides State Farm Fire and Casualty
Company (“State Farm”) with $300 million of indemnity
coverage against earthquakes in the New Madrid region.
In total, State Farm now has $600 million in protection
for these exposures. The offering closed in March with an
interest spread of 2.00 percent, 50 basis points lower than
Merna Re IV Ltd., which closed 12 months prior. This further
demonstrates the lower rate environment.
Table 4: First Quarter 2014 Catastrophe Bond Issuance
Beneficiary Issuer Series Class Size (millions) Covered Perils Trigger Collateral
Aetna Life Insurance Company Vitality Re V Limited Series 2014-1Class A $140 US Medical
Benefits Ratio Indemnity MMFClass B $60
Münchener Rückversicherungs-Gesellschaft Aktiengesellschaft in München
Queen Street IX Re Limited $100 US HU, AUS CY Industry Index, Modeled Loss MMF
Chubb Group East Lane Re VI Ltd. Series 2014-1 Class A $270 NE US HU, EQ, ST, WS Indemnity MMF
American Strategic Insurance Group Gator Re Ltd. Series 2014-1 Class A $200 US HU, ST Indemnity MMF
Tokio Marine & Nichido Fire Insurance Co., Ltd. Kizuna Re II Ltd. Series 2014-1
Class A $200JP EQ Indemnity MMF
Class B $45
Great American Insurance Company Riverfront Re Ltd. $95 NA HU, EQ, ST, WS Indemnity MMF
State Farm Fire and Casualty Company Merna Re V Ltd. $300 NM EQ Indemnity MMF
Total $1,410.0
Source: Aon Benfield Securities, Inc. LegendAUS – AustraliaCY – CycloneEQ – EarthquakeHU – Hurricane
JP – JapanNA – North AmericaNE – NortheastNM – New Madrid
ST – Severe ThunderstormUS – United StatesWS – Winter Storm
10 Insurance-Linked Securities
Second Quarter 2014In response to the continued advantageous market conditions
witnessed in the first quarter of 2014, 12 catastrophe bond
transactions closed during the second quarter of 2014,
representing $4.5 billion of issuance—the most of any quarter in
the history of the ILS market. Notably, $2.1 billion—almost half
of the issuance in the quarter—covered Florida-only risks.
A selection of transactions issued in the second quarter of 2014
includes:
§ Sanders Re Ltd. Series 2014-1 provides Allstate Insurance
Company (“Allstate”) with $750 million in U.S. multi-peril
coverage across three classes of notes. The Series 2014-2
notes, provide Allstate’s dedicated Florida property insurance
companies (Castle Key Insurance Company and Castle
Key Indemnity Company), with $200 million in indemnity
coverage; and
§ Kilimanjaro Re Limited provides first time sponsor Everest
Reinsurance Company (“Everest Re”) with $450 million in
coverage for four years. The transaction, which includes both
an aggregate and occurrence tranche, gives the reinsurer
North American index protection against hurricanes and
earthquakes. The transaction was well received by investors,
allowing Everest Re to upsize its issuance by 80 percent, while
the interest spreads for each class of notes closed 50 basis
points below the low ends of initial price guidance.
Catastrophe bond pricing remained at historic lows during
the second quarter, as investor demand kept pace with the
increased supply. This allowed sponsors to expand coverage
at competitive rates.
New sponsors, Heritage Property & Casualty Insurance
Company, Assicurazioni Generali S.p.A., Everest Re, Sompo
Japan Nipponkoa Insurance Inc. and Texas Windstorm Insurance
Association joined first quarter newcomers American Strategic
Insurance Group and GAIC, representing a total of seven new
sponsors for the first half of 2014. This figure matches the total
number of new sponsors for the full year 2013. During the
12-month period under review, a total of 13 new sponsors
secured capacity.
Table 5: Second Quarter 2014 Catastrophe Bond Issuance
Beneficiary Issuer Series Class Size (millions) Covered Perils Trigger Collateral
Heritage Property & Casualty Insurance Company Citrus Re Ltd.
Series 2014-1 Class A $150FL HU Indemnity MMF
Series 2014-2 Class 1 $50
Assicurazioni Generali S.p.A. Lion I Re Limited € 190* EU Wind Indemnity EBRD
Everest Reinsurance Company Kilimanjaro Re Limited Series 2014-1Class A $250 US HU
Industry Index MMFClass B $200 NA HU, EQ
Citizens Property Insurance Corporation Everglades Re Ltd. Series 2014-1 Class A $1,500 FL HU Indemnity MMF
American Coastal Insurance Company Armor Re Ltd. Series 2014-1 Class A $200 FL HU Indemnity MMF
Allstate Insurance Company Sanders Re Ltd. Series 2014-1
Class B $330
US HU, EQ Industry Index MMFClass C $115
Class D $305
Castle Key Insurance Company and Castle Key Indemnity Company Sanders Re Ltd. Series 2014-2 Class A $200 FL HU, EQ, ST Indemnity MMF
Sompo Japan and Nipponkoa Insurance Inc. Aozora Re Ltd. Series 2014-1 Class B ¥10,125** JP TY Indemnity MMF
National Mutual Insurance Federation of Agricultural Cooperatives Nakama Re Ltd. Series 2014-1
Class 1$150 JP EQ Indemnity MMF
Class 2
United Services Automobile Association Residential Reinsurance 2014 Limited Series 2014-I
Class 10 $80 US HU, EQ, ST, WS, WF Indemnity MMF
Class 11 $50
Texas Windstorm Insurance Association Alamo Re Ltd. Series 2014-1 Class A $400 TX HU Indemnity MMF
Total $4,492.2
Source: Aon Benfield Securities, Inc. *For Lion Re: Converted at €1.000 = $1.383 as of April 24, 2014 **For Aozora Re: Converted at ¥1.000 = $0.009825 as of May 30, 2014
LegendEQ – EarthquakeEU – EuropeFL – FloridaHU – Hurricane
JP – JapanNA – North AmericaST – Severe ThunderstormTY – Typhoon
TX– TexasUS – United StatesWF – WildfireWS – Winter Storm
Aon Benfield 11
OutlookWhen combined with a near-record first quarter, catastrophe
bond issuance for the first half of 2014 was the highest on
record, exceeding the prior year period by almost 50 percent.
This reflects the increasing utilization by repeat and new
sponsors of the capital markets and the ever-growing investor
appetite for this sector. Catastrophe bond issuance for the 2014
calendar year is on track to exceed $8 billion.
As of June 30, 2014, total outstanding bonds remained at a record
high of $22.4 billion, reflecting the sustained deployment of
additional investor capital into catastrophe bonds.
Figure 3: Catastrophe Bond Issuance by Half-Year 2007-2014
Source: Aon Benfield Securities, Inc.
0
1,000
2,000
3,000
4,000
5,000
6,000
7,000
8,000
9,000
20142013201220112010200920082007
3,588
2,692
3,973
5,902
3,498
2,842
2,625
2,086320
1,757
2,650
4,976
3,404
2,510
1,385
USD
Mill
ions
July - DecemberJanuary - June
12 Insurance-Linked Securities
Capacity ProvidersFigure 4: Investor by Category (Years ending June 30)3
3 Aon Benfield Securities’ analysis of investor category and geographic attributes includes only those transactions in which the firm participated Source: Aon Benfield Securities, Inc.
Dedicated catastrophe funds and institutional investors remained the largest providers of capacity for the year ending June 30, 2014,
making up almost 80 percent of the total catastrophe bond market. Catastrophe funds increased their market share slightly to
46 percent in 2014. The market share for institutional investors decreased to 32 percent compared to 41 percent in the 2013 period,
despite an increase in absolute participation in the catastrophe bond market. Hedge funds and reinsurers both increased their
participation from two percent in the 2013 period to five percent and six percent, respectively, in 2014.
Capital OriginsFigure 5: Investor By Country/Region (Years ending June 30)4
4 Aon Benfield Securities’ analysis of investor category and geographic attributes includes only those transactions in which the firm participated Source: Aon Benfield Securities, Inc.
2013
Institutional ReinsurerMutual Fund Hedge FundCatastrophe Fund
2014
32%
5%
11%
6%
46%
41%
2%
12%
2%
43%
20132014
26%
7%
11%
9%
47%
8%
25%
14%
9%
44%
U.K. SwitzerlandBermuda OtherU.S.
ILS Investor Activity
Aon Benfield 13
Most regions increased their market share in the year ending
June 30, 2014, offset by the continued decrease in Bermuda’s
participation. In the 2012 period, Bermuda comprised 19
percent of the market share; this decreased to 14 percent in
the 2013 period and had dropped by half at June 30, 2014 to
7 percent. The U.S. continues to be the main source of capital,
comprising 47 percent of the market in the 2014 period. The
increase in capital deployed by catastrophe funds is the main
driver of the increase in market share for the U.S.. Other regions
with increases in market share in 2014 included France, Canada,
Italy, Germany and Japan.
General Market TrendsThird Quarter 2013The third quarter of 2013 was the largest issuance ever for a
third quarter in the catastrophe bond market, with $1.6 billion
in new issuance closing—double that of the 2012 period.
Issuances included the first bond issued in August since 2011—
Northshore Re Limited (“Northshore Re”). Investors welcomed
the activity during the typically quiet quarter, as heightened
demand for catastrophe bonds continued.
New issues during the quarter provided a variety of peril types
and geographic regions for investors. Perils included New York
storm surge, France windstorm, Japan earthquake and U.S.
extreme mortality. Reinsurers accessed the catastrophe bond
market via PCS index transactions, drawing significant interest
from investors via Mythen Re, Mona Lisa Re and Northshore Re.
As discussed in last year’s report, Insurance-Linked Securities:
Capital Revolution—ILS Market Expands to New Heights 2013, the
catastrophe bond market has demonstrated an interest in
assuming complex commercial and some non-modeled risks.
Tradewynd Re Ltd. Series 2013-1 demonstrated investors’
willingness to broaden the scope of indemnity coverage. The
transaction opened the door for more sponsors to utilize the
catastrophe bond market for complex commercial business and
non-modeled perils.
Secondary trading throughout the third quarter was relatively
active compared to prior years. This was partly due to the
increase in new issuance in the period resulting in active
rebalancing throughout the quarter. Many investors increased
exposure to diversifying risks by selling U.S. hurricane exposed
bonds. There was ample demand from investors with excess
capital looking to increase allocations to peak risks.
Fourth Quarter 2013 The ILS market remained strong as 2013 came to a close.
Investors secured $1.8 billion in the fourth quarter, bringing
the second half of 2013 total issuance to $3.5 billion—the
largest amount issued during any second half year period.
Strong investor demand continued with the diverse range of
transactions offered. Many transactions increased from initial
issuance sizes and priced at the low end of, or below, marketed
price guidance. During the fourth quarter, secondary market
buyers showed interest in accumulating higher yielding bonds
and short-dated U.S. hurricane bonds.
Investors sourced a variety of peril types during the fourth
quarter. In addition to U.S. exposures, there was a significant
amount of issuance including Europe and Australia risks. Each
diversifying transaction, as well as most transactions that
included peak perils, issued during the period were priced at
the low end or below marketed price guidance.
Traditional markets responded to the competition driven by
spread compression in the ILS market with rate decreases, as
well as enhanced terms and conditions. Given the amount of
catastrophe bonds issued with low coupons throughout 2013,
investor demand for high-yielding transactions was strong.
The fourth quarter saw the issuance of several bonds with
higher coupons. Loma Reinsurance (Bermuda) Ltd. Series
2013-1, covering U.S. multi-peril, included three tranches with
yields ranging from 9.75 percent for the Class A notes to 17.00
percent for the Class C notes. The highest yielding transaction
of the year was also issued during the fourth quarter. Residential
Reinsurance 2013 Limited Series 2013-II Class 1 notes, covering
U.S. perils, pays investors a coupon of 20.00 percent. Strong
demand for these notes pushed the interest spread below the
modeled sensitivity case attachment probability, a first for the
catastrophe bond market.
Despite compressing yields and increases in the size of new
issuances, the secondary market was active during the fourth
quarter. October and November were particularly active for
trading as investors looked to round out portfolios, paying a
premium to secure bonds shortly after issuance. In December,
trading slowed as buyers focused on the multiple new issuances
in the market before the calendar year end.
14 Insurance-Linked Securities
First Quarter 2014 The catastrophe bond market started with strength in 2014 as
capital continued to be allocated to ILS strategies. Investors
secured $1.4 billion in new issuance during the period, up from
$670 million in the first quarter of 2013. Investors redeployed
capital from maturing catastrophe bonds. Many transactions
increased in issuance size and priced at the lower end of, or
below, marketed price guidance. However, even with the
110 percent year-over-year increase in issuance, new issuances
did not keep pace with the $2.4 billion of bonds that matured
during the quarter.
Many of the new issuances coming to market during the
quarter enabled investors to diversify portfolios with non-
peak exposures. These risks included New Madrid earthquake,
Japan earthquake, Australia cyclone and medical benefit
reinsurance. The interest in assuming non-peak perils provides
a good backdrop for expansion into new perils, as the market
continues to expand its coverage.
Interest spreads were pushed to new lows with investors’
demand for portfolio diversification. Strong investor demand
in Merna Re V Ltd. reduced the interest spread to 2.00 percent,
representing a 20 percent decline compared to the 2013
issuance and the lowest interest spread for a non-investment
grade bond in six years. Similarly, the investment grade Class
A of Vitality Re V Limited closed at 1.75 percent—a 36 percent
decline year-over-year. The ILS market’s interest in assuming
some non-modeled risks continued, as demonstrated through
Riverfront Re Ltd.
To complement diversification, investors sought opportunities
to increase absolute return on portfolios by sourcing higher
yielding bonds in the secondary market. Investors holding an
inventory of bonds demanded a premium to exit their positions.
This drove secondary prices higher throughout the quarter.
Interestingly, only one primary issuance provided an interest
spread above 6.00 percent (Gator Re Ltd.)—the return target of
a number of ILS funds. Given the recent high issuance volumes
of low-yielding transactions, higher-yielding transactions are
likely to be in demand going forward by portfolio managers as a
means to improve portfolio returns.
Second Quarter 2014 Investors had many opportunities to put capital to work
throughout the second quarter of 2014. A record of $4.5 billion in
new catastrophe bond issuance was brought to market allowing
investors to allocate capacity efficiently. New issuance outpaced
the $1.4 billion of bonds maturing over the same period.
For some sponsors, ILS became a more significant portion
of their reinsurance spend in 2014. For example, Allstate
increased its catastrophe bond protection by 2.7x compared
to 2013 and Florida Citizens purchased twice the amount
of its maturing capacity.
New issuance during the quarter enabled investors to add a
variety of perils and regions to their ILS portfolios, including
Europe windstorm, Japan earthquake, Japan typhoon and
Texas hurricane. Investors demonstrated interest in portfolio
diversification for non-U.S. risks by pushing yields in these
bonds to as low as 2.00 percent. Investors were also receptive
to new currencies. Aozora Re Ltd. launched the first
catastrophe bond denominated in Japanese yen.
However, there was a particular emphasis on Florida hurricane
during the second quarter. A total of $2.1 billion was secured
across five transactions with exposures solely in Florida.
April and May were active months in the secondary market. The
large volume of new bonds issued during this period resulted in
some investors reallocating their portfolios to free-up capacity
for new purchases. Demand in the secondary market was strong
both for diversifying perils and higher yielding transactions. As
we approached June, the secondary market began to slow as
investors assessed their allocations from the primary issuance
market and focused their attention on the June 1 traditional
reinsurance renewal season. As the quarter closed, investors
accessed a record amount of catastrophe bonds on the primary
market and many put a large proportion of their capital to work.
This led to small pricing declines in the secondary market in June.
Outlook Even with the reductions in spread levels witnessed since the
first quarter of 2013, we continue to see new capital attracted
to ILS strategies. As an example, Aon Benfield Securities has
established several new trading relationships with start-up funds
and established investors over the past year. These include new
dedicated catastrophe funds, managed accounts with existing
funds and large institutions looking to access the ILS market
to add catastrophe risk into their broader portfolios. Spreads
for ILS continue to be competitive with traditional reinsurance
rates. In the absence of severe catastrophes, we believe spreads
will continue to face downward pressure. Sponsors continue to
have interest in accessing the catastrophe bond market, and we
expect the coming year to see continued expansion as sponsors
purchase a greater share of their reinsurance program via the ILS
market, and new sponsors take advantage of investor demand for
new issuance in the market.
Aon Benfield 15
The Aon Benfield ILS Indices are calculated by Thomson Reuters using month-end price data provided by Aon Benfield Securities.
Table 6: Aon Benfield ILS Indices5
Index titleReturn for Annual Period
Ended June 30 5 yr Avg Annual Return 10 yr Avg Annual Return
Aon Benfield ILS Indices 2014 2013 2009-2014 2004-2014
All Bond Bloomberg Ticker (AONCILS)
7.96% 12.14% 9.41% 8.28%
BB-rated Bond Bloomberg Ticker (AONCBB)
5.22% 8.16% 7.82% 6.79%
U.S. Hurricane Bond Bloomberg Ticker (AONCUSHU)
8.94% 13.19% 10.81% 9.35%
U.S. Earthquake Bond Bloomberg Ticker (AONCUSEQ)
4.33% 6.89% 5.99% 6.47%
Benchmarks
3-5 Year U.S. Treasury Notes 1.75% -0.61% 3.15% 4.13%
3-5 Year BB US High Yield Index 10.11% 7.50% 11.21% 7.67%
S&P 500 22.04% 17.92% 16.34% 5.56%
ABS 3-5 Year, Fixed Rate 3.91% 1.55% 7.28% 3.93%
CMBS 3-5 Year, Fixed Rate 4.26% 4.73% 10.32% 6.72%
The Aon Benfield ILS Indices
On an annual basis, through June 30, 2014, all Aon Benfield ILS
Indices posted gains. The Aon Benfield All Bond and BB-rated
Bond Indices posted returns of 7.96 percent and 5.22 percent,
respectively. The U.S. Hurricane and U.S. Earthquake Bond
Indices returned 8.94 percent and 4.33 percent, respectively.
For the 12 months ending June 30, 2014, each of the Aon
Benfield ILS Indices outperformed most of the comparable
fixed income benchmarks. The 3-5 Year BB High Yield Index and
the S&P 500 index, however, produced superior returns with
increases from the prior annual period of 10.11 percent and
22.04 percent, respectively.
The annual returns for all Aon Benfield ILS Indices in the
12 months ending June 30, 2014 underperformed the prior
one year, five-year average and ten-year average periods.
However, despite these decreases the ten-year average annual
return of the Aon Benfield All Bond Index again produced
superior returns relative to the other benchmarks. This
demonstrates the value a diversified book of pure insurance
risks can bring to long-term investors’ portfolios.
5 The 3-5 Year U.S. Treasury Note Index is calculated by Bloomberg and simulates the performance of U.S. Treasury notes with maturities ranging from three to five years.
The 3-5 Year BB U.S. High Yield Index is calculated by Bank of America Merrill Lynch (BAML) and tracks the performance of U.S. dollar denominated corporate bonds with a remaining term to final maturity ranging from three to five years and are rated BB1 through BB3. Qualifying securities must have a rating of BB1 through BB3, a remaining term to final maturity ranging from three to five years, fixed coupon schedule and a minimum amount outstanding of $100 million. Fixed-to-floating rate securities are included provided they are callable within the fixed rate period and are at least one year from the last call prior to the date the bond transactions from a fixed to a floating rate security.
The S&P 500 is Standard & Poor’s broad-based equity index representing the performance of a broad sample of 500 leading companies in leading industries. The S&P 500 Index represents price performance only, and does not include dividend reinvestments or advisory and trading costs.
The ABS 3-5 Year, Fixed Rate Index is calculated by BAML and tracks the performance of U.S. dollar denominated investment grade fixed rate asset backed securities publicly issued in the U.S. domestic market with terms ranging from three to five years. Qualifying securities must have an investment grade rating, a fixed rate coupon, at least one year remaining term to final stated maturity, a fixed coupon schedule and an original deal size for the collateral group of at least $250 million.
The CMBS 3-5 Year, Fixed Rate Index is calculated by BAML and tracks the performance of U.S. dollar denominated investment grade fixed rate commercial mortgage backed securities publicly issued in the U.S. domestic market with terms ranging from three to five years. Qualifying securities must have an investment grade rating, at least one year remaining term to final maturity, a fixed coupon schedule and an original deal size for the collateral group of at least $250 million.
The performance of an index will vary based on the characteristics of, and risks inherent in, each of the various securities that comprise the index. As such, the relative performance of an index is likely to vary, often substantially, over time. Investors cannot invest directly in the Aon Benfield ILS Indices.
While the information in this table has been compiled from sources believed to be accurate, Aon Benfield Securities makes no representation or warranty as to the accuracy of such information, as such information should not be relied upon in making investment or other decisions.
Past performance is no guarantee of future results.
16 Insurance-Linked Securities
Maintaining the average annual returns realized over the past five and ten years is challenging given current market dynamics. As
spreads have continued tightening, interest payments to investors are lower than those received in prior years. Additionally, price
increases in the secondary market will be muted relative to the previous periods—the ability for spreads to continue tightening to
the same degree is reduced. This situation, however, is not limited to the ILS sector: fixed income investors face similar situations as
interest rates have tightened over the past several years.
Figure 6: Aon Benfield All Bond Index versus Financial Benchmarks
Source: Aon Benfield Securities, Inc., Bloomberg
Figure 7: Historical Performance of Aon Benfield ILS Indices
Source: Aon Benfield Securities, Inc.
CMBS Fixed Rate 3-5 Yrs. ABS, 3-5 Yrs, Fixed Rate
3-5 Year BB US High Yield IndexAon ILS Index
S&P 500
June 2004
June 2005
June 2006
June 2007
June 2008
June 2009
June 2010
June 2011
June 2012
June 2013
June 2014
-60%
-30%
0%
30%
60%
90%
120%
150%
Aon ILS US EQAon ILS BB Index
Aon ILS IndexAon ILS US Hurricane
June 2004
June 2005
June 2006
June 2007
June 2008
June 2009
June 2010
June 2011
June 2012
June 2013
June 2014
-30%
0%
30%
60%
90%
120%
150%
Aon Benfield 17
In the 12 months to June 30, 2014, 11 side-car transactions were completed, totaling $1.4 billion. During this period, capital was
raised for new sidecars, established sidecars and the renewal of existing vehicles. The transactions provided plenty of opportunities
for investors looking to expand their access to risks that were not available in the catastrophe bond market. The trend away from an
opportunistic market, such as that seen post-Katrina, continued, with investors accepting lower returns than seen in prior years—
a consequence of benign loss activity and increased competition seen in the traditional markets.
In addition, different structures were available for investors. These ranged from whole account quota-share sidecars with fixed time
horizons, to fund-like structures with the infrastructure to manage and underwrite risks.
Table 7: Sidecars Launched During 12 Months to June 30, 20146
Sidecar Date Principal Sponsor/ Manager Size (millions) Line of Business
Kinesis Jul-13 Lancashire $2706 Property, energy, marine, aviation
New Ocean Capital Management Jul-13 XL $306 Collateralized reinsurance and capital markets
New Point VI Jul-13 Markel $215 Collateralized reinsurance and capital markets
Blue Capital Re Holdings Nov-13 Montpelier $175 Property catastrophe reinsurance business
Atlas Reinsurance X Dec-13 SCOR $56 Property catastrophe reinsurance for select regions
Silverton Re Dec-13 Aspen Re $65 Whole account property catastrophe reinsurance
Alpha Cat 2014 Dec-13 Validus $160 Worldwide property catastrophe reinsurance
Eden Re Jan-14 Munich Re $63 Property catastrophe reinsurance business
Altair Re II Jan-14 ACE $95 Worldwide property catastrophe insurance and reinsurance
Harambee Re Jan-14 Argo Undisclosed Property reinsurance
Upsilon RFO Jan-14 RenaissanceRe $265 Worldwide aggregate retrocessional reinsurance
Pangaea IX May-14 TransRe Undisclosed Retrocessional
Total 1,394
6 Estimated capital as of June 30, 2014 Source: Press releases, public filings
The high volume of sidecars and catastrophe bond transactions
allowed the alternative market to capture a 20 percent market
share within the global catastrophe reinsurance market over
the 12-month period under review. This market share was
predominantly driven by catastrophe bonds and collateralized
reinsurance. The significant growth of collateralized reinsurance
demonstrated investors’ continued appetite for risks not
available in the catastrophe bond market.
Figure 8: Form of Transaction
Source: Aon Benfield, Aon Benfield Securities, Inc.
20102011
20122013
20142009
20082007
20062005
20042003
2002
70%
75%
80%
85%
90%
95%
100%
ILWSidecarCat BondsTraditional UNL Collateralized Re
ILS-Related Markets
18 Insurance-Linked Securities
Industry Loss Warranty (ILW) ReviewCollateralized markets continue to have appetite to deploy
capital in the ILW market. Lloyd’s markets will remain an
important supply source—syndicates were willing to quote and
support ILW buyers with increased line sizes towards year end
2013. This trend occurred at the same time as syndicates gained
transparency on their inwards reinsurance portfolios. Generally,
markets continue to broaden their coverage in the ILW market
to include crop, terrorism, marine and other risks. The current
estimate of the ILW sector size is $3.5 billion.
Interest in ILWs remained strong through June 30, 2014 as
premiums reverted to pre-Katrina levels. This downward pricing
pressure was present across the board; particularly for all-natural
perils (“ANP”) aggregate cover. The heaviest pricing pressure was
on peak U.S. and Europe triggers with buyers taking advantage
of competitively priced capacity. Structured products gained
popularity among buyers, in particular aggregate, multi-section,
multi-year and non-peak specific structures.7
Figure 9: Total U.S. ILW Trade Volume and Price Movement since 20117
7 Source: The Global Re Specialty team of Aon UK Limited
Hedge Fund Reinsurers ReviewThe activity seen in 2012 with the launch of Third Point Re, PaC Re, and SAC Re has continued with the formation of two additional
hedge fund reinsurers in the past 12 months. Hamilton Re and Watford Re each raised roughly $1 billion of capital—both are
domiciled in tax-advantaged Bermuda. These vehicles have introduced casualty risks to the alternative markets. The vehicles are set
up to provide investors access to superior investment returns by leveraging assets, which are managed by select hedge funds.
Table 8: Recent Hedge Fund Re Activity
Reinsurer Date Principal Sponsor/ManagerSize
(millions) Lines of Business
Third Point Re Jan-12 Third Point and private equity investors $780 Lower volatility property and catastrophe reinsurance
PaC Re Jun-12 Paulson & Co. and Validus $500 Top-layer property catastrophe
Hamilton Re Dec-13 Former S.A.C. Capital and now Two Sigma $1,000 High-margin property catastrophe and low-severity casualty reinsurance
Watford Re Jan-14 Arch Capital Group and Highbridge Principal Strategies
$1,130 Primarily casualty reinsurance oriented, but considers also insurance opportunities
Source: Press releases, public filings
Pric
e M
ove
men
t b
y Q
uart
er
Total U
.S. Trade V
olum
e (USD
Millio
ns)
Total U.S. Trade Volume $30 billion ANP
$50 billion ANP $80 billion ANP
2013 Q2
2013 Q3
2013 Q4
2014 Q1
2014 Q2
2013 Q1
2012 Q4
2012 Q3
2012 Q2
2012 Q1
2011 Q4
2011 Q3
2011 Q2
2011 Q1
$0
$200
$400
$600
$800
$1,000
$1,200
$1,400
0
20
40
60
80
100
120
140
Aon Benfield 19
For the 12 months to June 30, 2014, market pricing conditions remained in line with the lows seen in the first half of 2013. This led to
strong demand for catastrophe bonds among sponsors and investors. Over 75 percent of new property issuances during the period
included U.S. exposures. Eleven property transactions—as shown in Table 6 below—that closed in the second half of 2013 included
U.S. coverage. During this period, there were a significant number of new sponsors that utilized capacity including RenRe, the MTA,
AXIS, QBE and American Modern.
Table 9: Second Half of 2013 Property Catastrophe Bonds Covering U.S. Perils8
Beneficiary Issuer Series ClassSize
(millions)Covered
Perils Trigger RatingExpected
Loss8Interest Spread
Swiss Reinsurance Company Ltd. Mythen Re Ltd. Series 2013-1 Class B-1 $100 US HU Industry
Index Not Rated 2.98% 8.00%
Renaissance Reinsurance Ltd. Mona Lisa Re Ltd. Series 2013-2 Class A $150 US HU, EQ Industry
Index BB- 2.08% 7.30%
American International Group Tradewynd Re Ltd. Series 2013-1 Class 1 $125 US, CB HU,
NA EQ Indemnity B+ 1.49% 8.25%
Metropolitan Transportation Authority MetroCat Re Ltd. Series
2013-1 Class A $200 NY Storm Surge
Parametric Index BB- 1.68% 4.50%
AXIS Specialty Limited Northshore Re Limited Series 2013-1 Class A $200 US HU, EQ Industry
Index BB- 2.17% 7.25%
Catlin Insurance Company Ltd. Galileo Re Ltd. Series 2013-1 Class A $300 US HU, EQ,
EU WindIndustry
Index Not Rated 2.38% 7.40%
United Services Automobile Association
Residential Reinsurance 2013 Limited
Series 2013-II
Class 1 $80 US HU, EQ, ST, WS, WF Indemnity
Not Rated 14.23% 20.00%
Class 4 $70 BB- 1.80% 5.25%
American International Group Tradewynd Re Ltd. Series 2013-2
Class 1-A $100
US, CB HU, NA EQ Indemnity Not Rated
1.28% 6.25%
Class 3-A $160 1.26% 6.25%
Class 3-B $140 1.60% 7.00%
American Modern Insurance Group, Inc. Queen City Re Ltd. Series
2013-1 Class A $75 US HU Indemnity Not Rated 0.57% 3.50%
QBE Insurance Group Limited VenTerra Re Ltd. Series 2013-1 Class A $250 US EQ,
AUS CY, EQ Indemnity BB 1.34% 3.75%
Argo Re, Ltd. Loma Reinsurance (Bermuda) Ltd.
Series 2013-1
Class A $32US, CB HU, US ST, NA,
CB EQ
Indemnity, Industry
IndexNot Rated
3.94% 9.75%
Class B $75 5.26% 12.00%
Class C $65 8.15% 17.00%
8 Annualized modeled expected losses; sensitivity cases if U.S. hurricane is covered peril Source: Aon Benfield Securities, Inc.
U.S. Perils
LegendAUS – AustraliaCB – CaribbeanCY – CycloneEQ – EarthquakeEU – Europe
FL – FloridaHU – HurricaneNA – North AmericaNY – New YorkST – Severe Thunderstorm
US – United StatesWF – WildfireWS – Winter Storm
Sponsors secured coverage for a variety of U.S. perils in the
second half of 2013. Hurricane and earthquake risks were well
represented in addition to severe thunderstorm, winter storm,
wildfire and extreme mortality.
RenRe sponsored its first broadly marketed catastrophe bond
in July 2013. Mona Lisa Re Ltd. provides the reinsurer with four
years’ coverage on an industry index basis for U.S. hurricanes
and earthquakes. The annual aggregate transaction was
upsized to $150 million and closed with an interest spread of
7.30 percent.
Also in July, American International Group (“AIG”) returned
to the market and secured indemnity coverage for the first
time. The ground-breaking Tradewynd Re Ltd. Series 2013-1
transaction, which includes commercial property and energy
risks, provides AIG with $125 million in capacity. Tradewynd
Re Ltd. provides AIG with protection from U.S. (including
Caribbean) hurricanes and North America earthquakes for five
years. In December, AIG returned to the market and secured an
additional $400 million across three classes of notes. The risk
periods for these additional classes ranges from one to three
years—highlighting investors’ capacity constraints for the earlier
transaction’s five-year risk period.
20 Insurance-Linked Securities
As July came to a close, the MTA’s captive insurance company
placed MetroCat Re Ltd. securing $200 million in coverage for
New York storm surge. The issuance, prompted by Superstorm
Sandy, utilizes a parametric index mechanism based on
measured surge heights at various points around New York.
Notably, the MTA is the first U.S. corporate sponsor to utilize
the catastrophe bond market since 2006—demonstrating the
competitiveness of rates in the current environment.
AXIS’ first catastrophe bond issuance, Northshore Re, provides
the reinsurer with $200 million of protection against hurricane
and earthquake events in the U.S. on an annual aggregate
basis. Investors welcomed the issuance, which was upsized
by $50 million and closed below marketed price guidance.
The transaction, which closed in early August, was the last
catastrophe bond to include hurricane exposure for the 2013
season. The last transaction with U.S. hurricane exposure to
close in August was Topiary Capital Limited in 2008 for Platinum
Underwriters Bermuda, Ltd.
In October, Catlin Insurance Company Ltd. (“Catlin”) returned
to the catastrophe bond market with its first issuance since
2008. Galileo Re Ltd. (“Galileo Re”) provides Catlin with
coverage against U.S hurricanes, U.S. earthquakes and Europe
windstorms on an industry index basis. The transaction was
significantly upsized to $300 million and provides protection on
an annual aggregate basis for three years.
One of the last transactions to close before 2013 year end was
for first time sponsor QBE. VenTerra Re is the first catastrophe
bond sponsored by an Australian insurer and provides QBE
with $250 million in indemnity coverage for three years. The
transaction covers Australia cyclones, Australia earthquakes and
U.S. earthquakes. VenTerra Re is the first catastrophe bond to
include a significant amount of Australia risks on an indemnity
basis. The transaction was well-received by investors and closed
at the low end of marketed price guidance.
Thirteen property transactions covering U.S. perils closed
during the first half of 2014.
In March 2014, Chubb Group returned to the market with its
sixth catastrophe bond—East Lane Re VI Ltd. (“East Lane Re
VI”). The transaction provides the insurer with $270 million
in indemnity coverage against hurricanes, earthquake, severe
thunderstorms and winter storms in the Northeast. East Lane Re
VI set a new benchmark low for U.S hurricane coverage—closing
at an interest spread of 2.75 percent.
As the first quarter of 2014 closed, Great American Insurance
Company (“Great American”) secured coverage for its first
catastrophe bond—Riverfront Re Ltd. (“Riverfront Re”).
The transaction provides Great American with $95 million
in coverage for losses from North America hurricanes,
earthquakes, severe thunderstorms and winter storms.
Riverfront Re demonstrates the enhancements in coverage
provided by the catastrophe bond market recently. The
transaction is closely aligned to Great American’s traditional
coverage and includes some non-modeled risks.
Another first time sponsor entered the catastrophe bond
market in April. Everest Reinsurance Company (“Everest Re”)
secured $450 million in coverage on an industry index basis
with Kilimanjaro Re Limited (“Kilimanjaro Re”). The transaction
includes two classes of notes—the first provides coverage on
an occurrence basis for southeast U.S. hurricanes; the second
provides coverage on an annual aggregate basis for North
America hurricanes and earthquakes. Investors responded well
to Everest Re’s first transaction, allowing both classes of notes
to be significantly upsized and close below the low end of
marketed price guidance.
Aon Benfield 21
Table 10: First Half 2014 Property ILS Transactions Covering U.S. Perils9
Beneficiary Issuer Series ClassSize
(millions)Covered
Perils Trigger RatingExpected
Loss9Interest Spread
Münchener Rückversicherungs-Gesellschaft Aktiengesellschaft in München
Queen Street IX Re- Limited $100 US HU, AUS CY
Industry Index, Modeled Loss Not Rated 2.92% 5.50%
Chubb Group East Lane Re VI Ltd. Series 2014-1 Class A $270 NE US HU, EQ, ST, WS Indemnity BB+ 0.88% 2.75%
American Strategic Insurance Group Gator Re Ltd. Series 2014-1 Class A $200 US HU, ST Indemnity Not Rated 1.73% 6.50%
Great American Insurance Company Riverfront Re Ltd. $95 NA HU, EQ, ST, WS Indemnity BB- 1.34% 4.00%
State Farm Fire and Casualty Company Merna Re V Ltd. $300 NM EQ Indemnity Not Rated 0.40% 2.00%
Heritage Property & Casualty Insurance Company Citrus Re Ltd.
Series 2014-1 Class A $150FL HU Indemnity
Not Rated 1.53% 4.25%
Series 2014-2 Class 1 $50 Not Rated 1.21% 3.75%
Everest Reinsurance Company Kilimanjaro Re Limited Series 2014-1Class A $250 US HU
Industry IndexBB- 1.79% 4.75%
Class B $200 NA HU, EQ BB- 1.62% 4.50%
Citizens Property Insurance Corporation Everglades Re Ltd. Series 2014-1 Class A $1,500 FL HU Indemnity B 2.68% 7.50%
American Coastal Insurance Company Armor Re Ltd. Series 2014-1 Class A $200 FL HU Indemnity Not Rated 0.62% 4.00%
Allstate Insurance Company Sanders Re Ltd. Series 2014-1
Class B $330
US HU, EQ Industry Index
BB+ 0.79% 3.00%
Class C $115 BB 0.97% 3.25%
Class D $305 BB 1.28% 3.90%
Castle Key Insurance Company and Castle Key Indemnity Company Sanders Re Ltd. Series 2014-2 Class A $200 FL HU, EQ,
ST Indemnity Not Rated 0.88% 3.90%
United Services Automobile Association
Residential Reinsurance 2014 Limited Series 2014-I
Class 10 $80 US HU, EQ, ST, WS, WF Indemnity
Not Rated 11.31% 15.00%
Class 13 $50 Not Rated 0.63% 3.50%
Texas Windstorm Insurance Association Alamo Re Ltd. Series 2014-1 $400 TX HU Indemnity B 3.09% 6.35%
9 Annualized modeled expected losses; sensitivity cases if U.S. hurricane is covered peril Source: Aon Benfield Securities, Inc.
Two repeat sponsors, Allstate Insurance Company (“Allstate”)
and Citizens Property Reinsurance Company (“Florida Citizens”)
saw the favorable market environment as an opportunity
to expand the share of ILS in their risk transfer programs.
Allstate, along with its dedicated Florida property insurance
companies (Castle Key Insurance Company and Castle Key
Indemnity Company), utilized Sanders Re Ltd. to secure $950
million of capacity during the quarter. Florida Citizens doubled
its previous largest issuance from 2012 with Everglades Re
Ltd. 2014-1, which provides the sponsor with $1.5 billion in
aggregate indemnity coverage. Notably, $2.1 billion in coverage
was secured for Florida across five transactions on a standalone
basis in the second quarter of 2014.
Alamo Re Ltd. (“Alamo Re”) was the final transaction to close
in the first half of 2014. Alamo Re is the first catastrophe bond
for the Texas Windstorm Insurance Association (“TWIA”).
The transaction provides $400 million in annual aggregate
indemnity coverage for Texas windstorms. Investors responded
well the single state and peril coverage, allowing Alamo Re to
upsize and close below the low end of marketed price guidance.
LegendAUS – AustraliaCY – CycloneEQ – EarthquakeFL – FloridaHU – Hurricane
NA – North AmericaNE – NortheastNM – New MadridST – Severe ThunderstormTX – Texas
US – United StatesWF – WildfireWS – Winter Storm
22 Insurance-Linked Securities
Model UpdatesA number of model updates were released recently for the U.S.
and Canada. In February 2014, Risk Management Solutions,
Inc. (“RMS”) announced its new view of risk for U.S. and
Canada Severe Convective Storms. According to RMS, the
model shows that average annual losses from tornado and hail
events now rank a close second to hurricane-driven losses,
proving this peril is a material risk to the industry. The new
view of risk is calibrated with the results of the company’s
extensive analysis into location-level claims and exposure
data, together with thousands of hail and wind observations
and radar images from more than 70 new industry events that
occurred in the past five years.
In July 2014, AIR Worldwide Corporation (“AIR”) announced
updates to its Canada Earthquake and U.S. Severe Thunderstorm
models. The updates to the Severe Thunderstorm model
include enhancements to the hazard, engineering and financial
components. These are based on a decade’s worth of new data
and scientific research, including data from the major outbreaks
in 2008, 2011 and 2013. To produce a more complete picture
of risk from the severe thunderstorm peril, the AIR model not
only captures the large outbreaks that produce insured losses
in excess of $25 million but also the smaller events that may last
only a day and produce much lower losses—but still impact a
company’s portfolio on an aggregate basis. In addition to the
standard 10,000-year simulation, AIR will release 50,000 and
100,000-year stochastic simulations and a historical catalogue
containing several key recent events. AIR also released its Crop
Hail model for the U.S. The fully probabilistic model captures
the effects of hail on insured crops and uses the 10,000-year
stochastic catalog from AIR’s Severe Thunderstorm Model for
the United States, in which hailstorms are a modeled peril.
Also in July 2014, AIR announced enhancements to its Canada
Earthquake model. According to AIR, the model reflects an up-
to-date view of seismicity based on the latest hazard information
from the Geological Survey of Canada and collaboration with
leading academics. In addition to the ability to estimate losses
from shake, fire following, and liquefaction, the release is the
first in the industry to include fully probabilistic landslide and
tsunami models for Canada.
Aon Benfield 23
In the 12-month period ending June 30, 2014 five catastrophe bonds with Europe exposures came to market, as shown in
Table 11 below. Primary insurers dominated the Europe issuances, with repeat reinsurer sponsors notably absent. First time sponsors
Assicurazioni Generali S.p.A. (“Generali”) and Achmea Re both secured indemnity coverage for Europe windstorm. These milestone
transactions are the first indemnity catastrophe bonds to cover Europe windstorm since 2008. This demonstrates investors’ increased
acceptance of indemnity coverage outside the U.S. and is expected to lead to increased issuance by European cedants.
Table 11: Catastrophe Bond Transactions Covering Europe Perils10
Beneficiary Issuer Series Class Size (millions)Covered
Perils Trigger RatingExpected
Loss10Interest Spread
Groupama S.A. Green Fields II Limited Series 2013-1 Class A € 280 FR Wind Industry Index BB 0.82% 2.75%
AXA Global P&C Calypso Capital II LimitedClass A € 185
EU Wind Industry IndexBB- 0.95% 2.60%
Class B € 165 B+ 1.56% 2.90%
Catlin Insurance Company Ltd. Galileo Re Ltd. Series 2013-1 Class A $300 US HU, NA EQ,
EU Wind Industry Index Not rated 2.59% 7.40%
Achmea Reinsurance Company N.V. Windmill I Re Ltd. Series 2013-1 Class A € 40 EU Wind Indemnity Not rated 1.35% 3.25%
Assicurazioni Generali S.p.A. Lion I Re Limited € 190 EU Wind Indemnity B+ 1.01% 2.25%
10 Annualized modeled expected losses; sensitivity cases if U.S. hurricane is covered peril Source: Aon Benfield Securities, Inc.
In July 2013, Groupama S.A. returned to the ILS bond market
for its fourth catastrophe bond issuance and its first since 2010.
Investors provided strong demand for the single peril and single
country issuance. Green Fields II Limited (“Green Fields II”)
almost doubled in size from the initial guidance and provides
Groupama S.A. with €280 million in coverage. In addition to
the significant upsize, Green Fields II closed at the low end
of marketed price guidance at 2.75 percent. The transaction
utilizes PERILS AG as the reporting agency.
In October 2013, AXA Global P&C (“AXA”) secured €350 million
in coverage across two classes of notes with Calypso Capital
II Limited (“Calypso Capital II”). The transaction is the largest
issuance ever secured for Europe windstorm. Class A and Class
B provide three and four years’ protection, respectively. The
offering was well received by investors, with each class pricing
at the low end of marketed guidance.
Also in October, Catlin returned to the catastrophe bond
market with its first issuance since the 2008 Newton Re Limited.
Galileo Re Ltd. provides Catlin and its subsidiaries with annual
aggregate protection against U.S. named storms, North America
earthquakes and Europe windstorms. The industry index
transaction secured $300 million in capacity and closed below
the low end of marketed price guidance.
Achmea Re sponsored its first catastrophe bond in December
2013. Windmill I Re Ltd. provides Achmea with €40 million in
coverage for Europe windstorms on an indemnity basis. The
transaction was marketed to a limited group of investors.
A second new sponsor, Generali, secured coverage during
this annual period. Lion I Re Limited closed in April 2014 and
provides the Italian insurer with protection against Europe
windstorms. The indemnity transaction was upsized to €190
million and provides Generali with coverage for three years.
Model UpdatesIn July 2014, EQECAT, which was acquired by CoreLogic in
December 2013, announced updates to its Europe Windstorm
Model, including the ability to analyze offshore wind farm
turbines. Spain and Portugal are newly included, extending
the existing coverage to 24 countries. The model also includes
two views of frequencies—the Empirical Model based on the
historical record from 1960 to present, and the Analytic Model
with a continuous 1200-year simulation of an Earth System
Model driven by climatic background conditions to characterize
the frequency and severity of Europe windstorms.
Europe Perils
LegendEQ – EarthquakeEU – EuropeFR – France
HU – HurricaneNA – North AmericaUS – United States
24 Insurance-Linked Securities
During the 12-month period ending June 30 2014, four catastrophe bonds covering Japan perils were issued, compared to none
in the prior year period, proving the strong and increased interest from Japanese sponsors in the use of the capital markets for risk
transfer. Further, QBE Insurance Group Limited secured $250 million in indemnity coverage for U.S. earthquakes, as well Australia
cyclones and earthquakes through VenTerra Re Ltd. The transaction represents the first issuance by an Australian insurer and
is discussed in more detail in the “U.S. Perils” section of this report. Notably, all transactions for the Asia Pacific region secured
indemnity coverage.
Table 12: Catastrophe Bond Transactions Covering Japan Perils11
Beneficiary Issuer Series Class Size (millions)
Covered Perils
Trigger Rating Expected Loss11
Interest Spread
National Mutual Insurance Federation of Agricultural Cooperatives Nakama Re Ltd. Series 2013-1 Class 1 $300 JP EQ Indemnity BB+ 0.90% 2.75%
Tokio Marine & Nichido Fire Insurance Co., Ltd. Kizuna Re II Ltd. Series 2014-1
Class A $200JP EQ Indemnity Not Rated
0.21% 2.25%
Class B $45 0.57% 2.50%
Sompo Japan and Nipponkoa Insurance Inc. Aozora Re Ltd. Series 2014-1 Class B ¥10,125 JP TY Indemnity BB 0.52% 2.00%
National Mutual Insurance Federation of Agricultural Cooperatives Nakama Re Ltd. Series 2014-1
Class 1 $150JP EQ Indemnity Not Rated
0.75% 2.25%
Class 2 $150 0.75% 2.50%
11 Annualized modeled expected losses; sensitivity cases if U.S. hurricane is covered peril Source: Aon Benfield Securities, Inc.
In September 2013, the National Mutual Insurance Federation of
Agricultural Cooperatives (“Zenkyoren”) secured $300 million
in capacity through Nakama Re Ltd. Series 2013-1 (“Nakama
Re 2013”). The transaction provides coverage for Zenyoren’s
predominantly residential portfolio against Japan earthquakes
on an indemnity basis. The deal is the first catastrophe bond to
solely cover Japan earthquake on an indemnity basis. Nakama Re
2013 is the sixth transaction for Zenkyoren that has utilized the
catastrophe bond market; however, it is the first time the cedant
has secured cover directly rather than using a separate legal
sponsor. The deal was significantly oversubscribed, leading to a
final issuance size that was double the initial guidance.
In March 2014, Tokio Marine & Nichido Fire Insurance Co., Ltd.
(“Tokio Marine”) successfully sponsored its second indemnity
catastrophe bond. Kizuna Re II Ltd. (“Kizuna Re II”) represents
the fourth time that Tokio Marine has utilized catastrophe bond
capacity and is the first indemnity Japan earthquake bond to
cover significant commercial and industrial exposures. Kizuna
Re II provides the insurer with $245 million in coverage was and
priced at the low end of marketed price guidance.
A new sponsor, Sompo Japan and Nipponkoa Insurance Inc.
(“SJNK”) entered the market with Aozora Re Ltd. (“Aozora
Re”). The transaction is the first Japanese Yen-denominated
catastrophe bond and provides SJNK with ¥10.125 billion in
coverage for Japan typhoons. Aozora Re was the only Japan
typhoon risk offered to investors during the past 12 months.
The transaction closed at an interest spread of 2.00 percent,
representing the lowest spread ever secured for a non-
investment grade property catastrophe bond transaction.
In May 2014, Zenkyoren returned to the market and raised an
additional $300 million under its Nakama program. The Series
2014-1 transaction again provides coverage against Japan
earthquake on an indemnity basis. The Class 1 and Class 2 notes
cover the same layer of Zenkyoren’s traditional reinsurance
program, but recover on a per-occurrence and annual
aggregate basis, respectively.
All the catastrophe bonds closed during this 12-month period
were sponsored directly by cedants. Additionally, each
transaction provided indemnity coverage, demonstrating the
increased understanding of the risks by investors. This flexibility
to fit into the cedants’ traditional reinsurance programs is likely to
result in increased issuance going forward, with ILS becoming a
fixed component of larger insurers’ overall risk transfer programs.
LegendEQ – Earthquake JP – Japan TY – Typhoon
Asia Pacific Perils
Aon Benfield 25
The current trend is for Japanese cedants to secure catastrophe
bond protection for remote layers of their reinsurance
programs. For investors seeking higher spreads for this
diversifying risk, less remote layers may become increasingly
competitive compared to traditional markets.
April 1 Reinsurance RenewalsThe April 1, 2014 reinsurance renewal period marked an abrupt
turn from the flat pricing of 2013. Placements for primary
insurers secured risk-adjusted rate reductions as capacity
was abundant, even for the largest programs. Exchange rates
remained a positive influence.
New capital applied pricing pressure at the April renewals. As
Japanese cedants have become more comfortable with the ILS
market, a few large ILS managers have secured an increased share
in the traditional reinsurance programs of some large cedants.
However, since many Japanese cedants prefer to have well-
established business relationships with the traditional reinsurance
markets, it is likely to take some time before the new ILS capacity
more fully penetrates the Japanese reinsurance market.
Model UpdatesIn February 2014, RMS updated its China Typhoon model. The
model covers losses from storm surge-driven coastal flooding
and rainfall-driven flood and wind, in a region where flood
can contribute up to 80 percent of the total risk. The model
includes coastal flood for the entire China coastline. In addition,
the RMS industrial facilities model has been developed to
enable property damage and business interruption from wind
and flood-related Typhoon damage to be modelled for such
complex risks. RMS has stated that the modeled losses have
been calibrated using 10 years of event loss data from 50
percent of the market, in an effort to reduce model uncertainty.
In July 2014, EQECAT announced updates to its Japan
Earthquake and Singapore Earthquake models. The Japan
Earthquake model utilizes December 2013 research released by
the Japanese government and national research organizations.
The model accounts for previously un-modeled, very large
magnitude events with updated seismic source zones and
increased maximum magnitudes. New damage and loss
data from the 2011 Great East Japan Earthquake prompted a
complete review and update to model vulnerability functions,
including major changes to performance-based effects of deep
building foundations and base isolation. In addition, tsunami is
a sub-peril, with both a fully probabilistic and a scenario-based
tsunami risk model, using 30-meter digital elevation maps for
more granular evaluations.
The update to the Singapore Earthquake model accounts
for an increased probability of a near-term, large-magnitude
earthquake on the Sunda (Java) megathrust fault. This new
model accounts for seismic risk factors specific to Singapore,
such as soft soils that amplify intermediate-period ground
motions from distant large earthquakes and the existence of
reinforced concrete high-rise buildings.
26 Insurance-Linked Securities
In the 12 months to June 30, 2014, two transactions closed in the life and health market which secured $380 million in capacity.
SCOR Global Life SE (“SCOR”) sponsored its first extreme mortality transaction and Aetna Life Insurance Company (“Aetna”) closed
its fifth health transaction.
Table 13: Life and Health Issuances in the 12 Months ending June 30, 2014
Beneficiary Issuer Series Class Size (millions) Perils Trigger Collateral
SCOR Global Life SE Atlas IX Capital Limited Series 2013-1 Class B $180 Extreme Mortality CDC Index EBRD
Aetna Life Insurance Company Vitality Re V Limited Series 2014Class A $140
Health Indemnity—Medical Benefits Ratio
MMF
Class B $60 MMF
Source: Aon Benfield Securities, Inc.
SCOR’s first extreme mortality catastrophe bond, Atlas IX
Capital Limited (“Atlas IX”), was issued in September 2013 to
become the first extreme mortality catastrophe bond brought
to market by a new sponsor since 2008. The $180 million
transaction more than tripled in size from launch and closed
at a 3.25 percent interest spread—the low end of marketed
price guidance. Recoveries for the index trigger transaction are
based on data reported by the Centers for Disease Control and
Prevention (“CDC”), a U.S. governmental organization. Notably,
the attachment level for the bond is the lowest achieved
for any extreme mortality transaction, at 102 percent of the
baseline mortality. Proceeds are invested in notes issued by the
European Bank for Reconstruction and Development (“EBRD”)
and provide investors with LIBOR returns in addition to the risk
interest spread. The transaction helped SCOR to manage an
increase in mortality exposures following an acquisition in its
U.S. life reinsurance operations.
Aetna continued its annual issuance strategy with Vitality
Re V Limited (“Vitality Re V”). Launched in December 2013,
the bond provides the health insurer with $200 million of
coverage—an increase from its typical $150 million annual
purchase—and brings the firm’s total historical issuance to
$800 million. Aetna has stated that the use of insurance-linked
securities is part of its long-term capital management strategy;
Vitality Re V again utilizes Aetna’s Vermont captive insurance
company, Health Re, Inc., which allows the company to
reduce its required capital and provides collateralized excess
of loss reinsurance coverage. A number of features of Vitality
Re V highlight the improved terms available as the market
has developed. Firstly, Vitality Re V provides coverage for a
five-year term, compared to Aetna’s 2013 issuance and pre-
2013 issuances, which were four and three years in duration,
respectively. Since its first issuance in 2010, which had an MBR
attachment point of 104 percent, Aetna has been reducing the
remoteness of the attachment level for the coverage. The table
below, which lists the complete range of Vitality issuances,
highlights the substantial year-on-year reductions in interest
spreads of around 35 percent since 2012.
Life and Health Perils
Table 14: Health Catastrophe Bonds on Risk as of June 30, 2014
Issuance Date Issuer Class Risk Period Size (millions)MBR
Attachment PointAttachment Probability Interest Spread Rating
Jan-12 Vatality Re III Class A 3 years $105 103% 0.05% 4.20% BBB+
Jan-13 Vitality Re IV Class A 4 years $105 102% 0.06% 2.75% BBB+
Jan-14 Vitality Re V Class A 5 years $140 102% 0.05% 1.75% BBB+
Jan-12 Vitality Re III Class B 3 years $45 97% 0.59% 6.20% BB+
Jan-13 Vitality Re IV Class B 4 years $45 96% 0.63% 3.75% BB+
Jan-14 Vitality Re V Class B 5 years $60 96% 0.53% 2.50% BB+
Sources: Standard & Poor’s reports dated January 11, 2012, January 23, 2013, and January 24, 2014
Investors continue to appreciate the diversification these risks bring to their portfolios. A number of ILS managers have dedicated
funds to the space, reflecting the increased comfort investors have developed with these types of risks. As a result of the enhanced
terms secured over the past 12 months, we expect more sponsors will utilize the life and health capital markets.
Aon Benfield 27
Aon Benfield Securities recently spoke with Impact Forecasting’s President, Steven Jakubowski, and Global Head of R&D, Siamak
Daneshvaran, about the latest developments in flood, wildfire and typhoon models, as well as leveraging their capabilities to support
insurers and reinsurers worldwide.
1. What is Impact Forecasting and how does it support insurers and reinsurers?Impact Forecasting is Aon Benfield’s catastrophe modeling
development team with offices in Chicago, London,
Prague, Bangalore and Singapore. Our goal is to enable
insurers and reinsurers to develop their own view of
risk through our suite of over 100 catastrophe models
for natural and human linked perils. In total, Impact
Forecasting has around 70 team members’ worldwide
including hazard experts and programmers.
2. Can you provide an overview of current model coverage in regard to geographies and perils?We have extensive model coverage for various regions
worldwide and perils. In the U.S., we have a complete suite
of models for hurricane, earthquake, severe thunderstorm,
wildfire, terrorism and flood. We recently released a pan-
European windstorm model in cooperation with the
University of Cologne in Germany, which now joins our broad
suite of earthquake and flood models for Western, Central,
and Eastern Europe. We also have an extensive suite of models
for the Asia Pacific region, including Japanese typhoon and
earthquake, and Thailand flood.
3. Could you describe your development methodology?The development of catastrophe models comprises a
breadth of information and disciplines. Each model needs
to incorporate information with regard to the hazard,
vulnerability and exposure components. Our research
and development team is comprised of civil and structural
engineers, seismologists, meteorologists and other
technical specialists who build scientific simulation models
which represent historical and expected future behavior.
Our research is derived on historical frequency and severity
data from various governmental and public domain
sources such as U.S. organizations including the National
Hurricane Center, Storm Prediction Center, and U.S.
Geological Survey, as well as university research forums.
Our software development team incorporates the models
and technology into our ELEMENTS catastrophe modeling
platform, which accepts portfolio exposure information
and determines expected losses based on the peril hazard
and details of the exposure.
4. How is Impact Forecasting different from other third-party modeling companies?Impact Forecasting provides a broad suite of models on a platform that allows scientific simulation analysis using Monte Carlo methods. Our platform called ELEMENTS has many unique features, such as: openness, transparency and customization. The platform has a modular approach which allows users to embed their own internal models, if desired. In addition, model customization is very user friendly in a methodology called “Parameter Adjustment”, which allows the analyst to modify either the severity or the frequency of the model interactively at run-time. Sensitivity on vulnerability can be adjusted either up or down by 10 percent to see the effect on net losses after deductibles or other policy terms. Peril frequency rates can also apply “what if” analyses. For example, an active tropical cyclone season forecast which has increases in hurricane activity can be used to modify the existing or long term event occurrence rates by the increase factor. Thus expected losses for various return periods will be adapted for the season’s forecast occurrence rate.
Impact Forecasting has had many innovative features in
the development of its suite of peril models. The Impact
Forecasting hurricane model was the first model to
consider the entire lifecycle of a storm from inception to
final dissipation. Following Hurricane Katrina, the Impact
Forecasting model was one of the first models to incorporate
the use of the National Hurricane Center SLOSH model on
the entire catalogue of storm tracks to make a probabilistic
surge model in ELEMENTS. Impact Forecasting was also
the first model vendor to incorporate inland flooding due
to riverine flooding for a U.S. model, for which will soon be
updated. We have provided innovative solutions for the peril
of wildfire; Impact Forecasting was the first model developer
to consider questions of time and duration of wildfire losses
on a portfolio, and we are currently the only model vendor to
include wildfire modeling for the U.S. western states, as well
as California. For the peril of severe thunderstorm, we recently
produced RePlay, a new suite of scenario events based on
data collected and processed from the Storm Prediction
Center catalogue. This collection of historical scenarios can be
used for recast analysis based on a 10-year span.
An In-Depth Discussion with Impact Forecasting
28 Insurance-Linked Securities
5. As one of the first modelers to develop an inland flood model, how does it differ from other commercially available models?Impact Forecasting has been advising clients on flood risk
since Hurricane Katrina. The team released its first storm
surge model in 2007, which was the first numerically-based
storm surge model to employ SLOSH (NOAA’s forecast
model) both in the stochastic and scenario modes. SLOSH
is a numerical model developed by NOAA to estimate
storm surge depths resulting from historical, hypothetical
or predicted hurricanes by taking into account a storm’s
pressure, size, forward speed, forecast track, wind speeds
and topographical data. This numerical model incorporates
information on coastline, bathymetry, barriers and channel
flow. Impact Forecasting has combined its catalogue of
storm tracks and data with the SLOSH model in order to
produce a stochastic suite of likely hurricane surge scenarios
in the Atlantic Basin. The simulation model incorporates the
shallow water wave equations that are applied to various
SLOSH basins using a polar grid mapping scheme in a finite
difference analysis algorithm. The primary outputs of the
hazard component include probabilistic and scenario-based
event-sets and a series of flood extents; both generated
using physical properties of the simulated/scenario
hurricanes and SLOSH model. Flood depths are calculated
by combining digital elevation model (DEM) data with flood
heights (storm surge) based on SLOSH.
Impact Forecasting is the first firm that used a fully
hydrodynamic model to estimate inundation depth. In
addition to the storm surge model, the team released the first
complete U.S. model for the inland riverine risk to its clients.
6. When will your new model for riverine flood be released and how different it is from your current river model?Impact Forecasting’s new inland flood model will be released
in September 2014. It will be a state-of-the-art river model
which incorporates an engineering approach in estimating
flood extents and stochastic event-set combined with the
latest data available on river network and digital elevation
data. The resolution of the new model in resolving inundation
depth is superior to other vendor models in the market. The
currently available static flood maps in the market do not
provide insured loss estimates and cannot account for loss
correlations across multiple risk locations. Impact Forecasting’s
models account for both spatial and temporal correlation in
both river and coastal flood models. It incorporates the latest
information on river network system, topography, full and
consistent analysis of historical river gauge data. It combines
more accurate information on river basins in a high resolution
grid system with an engineering application of both,
hydraulic and vulnerability models to estimate flood extents
and provide more reliable portfolio and location-based flood
risk assessment to the clients.
The updated model uses the 10-m (DEM) based on the U.S.
Geological Survey (USGS) to evaluate the elevation of each
risk. A hydraulic-based engineering model estimates the
impact of flood on properties based on attributes including
construction type, basement option, and building first
occupied floor elevation.
The initial 2008 version of the river model utilizes a
stochastic event-set, which consists of 4,000 simulated
consistent scenarios. In an effort to provide a reasonable
evaluation of location-level risk, Impact Forecasting has
leveraged its strong experience in flood modeling to come
up with a richer event-set with better flood extent analysis.
The 2014 Impact Forecasting flood event-set contains
about 75,000 simulated events resulting in a 10,000-year
catalogue of realistic simulated events. In comparison, the
new model has a superior spatial coverage. The derived
river discharge data from the simulated even-set is used as
input to a hydraulic-based model to estimate flood extent
and inundation depth. Impact Forecasting’s U.S. flood
model covers 2.3 million kilometers of river network as part
of 202 Hydrological Units that accounts for over 8.2 million
squared kilometers of drainage, whereas the current model
only covers about one million kilometers of river networks.
Impact Forecasting’s inland flood model accounts for
approximately 80 percent of all U.S. flood defense protection
which incorporates extensive levee data covering about
53,000 km of rivers.
Aon Benfield 29
7. How much uncertainty is there in modeling river flood?The overall uncertainty using Global Climate Models,
Regional Climate Models and Statistical Downscaling, in
general ranges from 20 to 50 percent, especially in the
extreme events associated with higher return periods. On
the other hand, the uncertainties in rainfall-runoff modeling
estimating discharge values on the stream networks are
somewhere between 20 and 35 percent.
In order to avoid the difficulties and large uncertainties
associated with different components in GCM-based
methodology, Impact Forecasting used the USGS stream
gauge historical discharge data (from 1940 to present) to
simulate flooding events. The USGS stream flow data is
typically accurate to within 5 to 10 percent of actual observed
flows. As such, Impact Forecasting’s model begins with
more accurate discharge results and removes uncertainty
underlying the precipitation and runoff calculations by
explicitly using historical measure data and develops
consistent simulated events using such measured data.
Impact Forecasting’s stochastic event set is generated
using perturbations of historical data and matching the tail
at high return periods. This method preserves the natural
correlation existing between the gauges in a given historical
event while propagating the historical pattern through
the simulated event set. This method helps by taking into
account the inter- and intra-event uncertainty.
8. You mentioned that you have a unique approach to modeling wildfire. How does Impact Forecasting’s wildfire modeling compare to other peril models?Each peril model has its own characteristics and nuances
that make them interesting. Unlike earthquakes, which can
be a rare occurrence, especially for large events, wildfire
occurs with some regularity. We gather intelligence on the
hazard from various governmental bureaus like Cal Fire
(California Dept. of Forestry and Fire) and the U.S. Forest
Service. In addition, new tools like satellite data, such as
MODIS, provide better understanding of the spatial extent
of the fire in real-time. Wildfires are also similar to severe
thunderstorm, in that it can occur in outbreaks, rather than
just a single event. An outbreak of wildfires in a local region
is called a fire complex. Sometimes multiple fires can grow
and merge into one large event. Large wildfires are also
similar to severe thunderstorm, in that its behavior strongly
correlated to weather conditions that drive the hazard.
9. What kind of weather conditions affect wildfire hazard?Severe fire weather is closely monitored by the National
Weather Service and advisories are provided before and
during extreme conditions. Typically fire weather is comprised
of the following: high temperatures (such as greater than 800
F), low humidity (relative humidity less than 20 percent) and
strong winds (gusts higher than 30 mph).
10. What were some of the notable fire events in recent history?
Historically, California has experienced some of the largest
historical losses in 1991, 1993, 2003 and 2007. All of these
remarkable fire sieges experienced severe fire weather in the
form of Santa Ana winds. Santa Ana winds are a condition
which often occur in late fall as a high pressure system
develops inland across the high desert which causes low
humidity, high temperatures and strong winds which travel
offshore away from the normally cool Mediterranean climate
along the coast. In fact, the winds were so strong in 2007,
that ISO classified the event as a wind loss event. We also
had large wildfire losses in Texas, Colorado, Florida and
other regions.
11. What other characteristics are important to wildfire behavior?In addition to difficulties in fire suppression posed by hilly or
mountainous terrain, fuel types are important characteristics.
Timber, brush, or grassy fuels affect likely fire behavior. Fire
behavior may be amplified by particularly dry conditions
(such as those found in late season activity in the fall around
October or November when Santa Ana winds may occur).
12. Are current conditions conducive to wildfire outbreaks?In 2013, California experienced the worst drought in history.
With precipitation records for San Francisco dating back to
1849, data shows that California has not experienced a year
as dry as 2013. In fact, a recent update to the U.S. Drought
Monitor shows that some 82 percent of the state is suffering
either “extreme” or “exceptional” drought. The lack of
precipitation is creating dry conditions in fuel beds which
may exacerbate a wildfire, should it occur. The drought is
having the overall effect of lengthening the fire season by
starting earlier and ending later than normal.
30 Insurance-Linked Securities
13. Do you have a Japan typhoon model and what differentiates it from other models?Yes, we recently completed the development of our Japan
typhoon model in which we collaborated with SWISS ETH
group. The model provides a large number of simulated
typhoon tracks using Markov Chain model, using sea
surface temperature as one of the variables. In addition, it
incorporates the effect of topography and terrain using a new
approach which takes the direction of wind in to account.
14. Are there any other recent developments which you would like to mention?
One of the newest models within Impact Forecasting’s
ELEMENTS suite is RePlay for Severe Thunderstorm. The
model incorporates the last ten years of historical severe
thunderstorm data and runs them through the ELEMENTS
Severe Thunderstorm (STS) model. Recent historic
experience, which has been quite active, contains a richer
catalogue of activity based on better data capture using
Doppler radar and other technological advancements within
the field of meteorology. The model helps address the
concerns of model users when comparing AALs generated
by stochastic models against recent experience. The STS
RePlay model is not designed to be a replacement for a full
stochastic analysis, but rather a rich historical scenario based
model. The event set contains over 67,000 event days with
over 6.5 million individual tornado, hail and thunderstorm
wind occurrences. The RePlay model can be used in many
different cases:
§ To recast historical severe thunderstorm events to quantify
current loss expectations and to better understand current
loss behavior
§ To obtain a view of average yearly losses as an alternative to
Average Annual Losses (AAL) produced by stochastic models
§ To create a view of historical experience that represents a
current underwriting paradigm
§ To create credible loss experience where none currently
exists due to exposure expansion into new regions
15. Can someone license your software, or is this an internal model?Our software modeling platform, called ELEMENTS, and
the various peril models for the U.S. and worldwide are
available for licensing.
Aon Benfield 31
Appendix ICatastrophe Bond Issuance Statistics
As of June 30, 2014
Source: Aon Benfield Securities, Inc.
32 Insurance-Linked Securities
Figure 1: Catastrophe Bond Issuance by Year, 2005 to 2014 (Years ending June 30)
Source: Aon Benfield Securities, Inc.
Figure 2: Outstanding and Cumulative Catastrophe Bond Volume, 2005-2014 (Years ending June 30)
Source: Aon Benfield Securities, Inc.
0
2,000
4,000
6,000
8,000
1,0000
2014201320122011201020092008200720062005
5,914
1,705
4,3824,736
6,4316,665
9,400
8,145
3,279
1,499
USD
Mill
ions
Property Issuance Life / Health Issuance
USD
Mill
ion
s
PropertyOutstanding
Life / HealthOutstanding
Cumulative PropertyIssuance
Total CumulativeBonds
4,741
9,44412,723
20,867
26,78228,487
33,223
37,605
44,037
50,702
60,102
6,558
12,911
16,15513,174 13,167
11,504
15,12317,788
22,422
0
6,500
13,000
19,500
26,000
32,500
39,000
45,500
52,000
58,500
65,000
2014201320122011201020092008200720062005
Aon Benfield 33
Figure 3: Catastrophe Bond Issuance by Half-Year 2007-2014
Source: Aon Benfield Securities, Inc.
Figure 4: Investor by Category (Years ending June 30)5
Source: Aon Benfield Securities, Inc. 5 Aon Benfield Securities’ analysis of investor category and geographic attributes includes only those transactions in which the firm participated
0
1,000
2,000
3,000
4,000
5,000
6,000
7,000
8,000
9,000
20142013201220112010200920082007
3,588
2,692
3,973
5,902
3,498
2,842
2,625
2,086320
1,757
2,650
4,976
3,404
2,510
1,385
USD
Mill
ions
July - DecemberJanuary - June
2013
Institutional ReinsurerMutual Fund Hedge FundCatastrophe Fund
2014
32%
5%
11%
6%
46%
41%
2%
12%
2%
43%
34 Insurance-Linked Securities
Figure 5: Investor By Country/Region (Years ending June 30)4
Source: Aon Benfield Securities, Inc. 4 Aon Benfield Securities’ analysis of investor category and geographic attributes includes only those transactions in which the firm participated
Figure 6: Aon Benfield All Bond Index versus Financial Benchmarks
Source: Aon Benfield Securities, Inc., Bloomberg
20132014
26%
7%
11%
9%
47%
8%
25%
14%
9%
44%
U.K. SwitzerlandBermuda OtherU.S.
-60%
-30%
0%
30%
60%
90%
120%
150%CMBS Fixed Rate 3-5 Yrs. ABS, 3-5 Yrs, Fixed Rate
3-5 Year BB US High Yield IndexAon ILS Index
S&P 500
Jun2004
Jun2005
Jun2006
Jun2007
Jun2008
Jun2009
Jun2010
Jun2011
Jun2012
Jun2013
Jun2014
Aon Benfield 35
Figure 7: Historical Performance of Aon Benfield ILS Indices
Source: Aon Benfield Securities, Inc.
Figure 8: Form of Transaction
Source: Aon Benfield
-30%
0%
30%
60%
90%
120%
150% Aon ILS US EQAon ILS BB IndexAon ILS Index Aon ILS US Hurricane
Jun2004
Jun2005
Jun2006
Jun2007
Jun2008
Jun2009
Jun2010
Jun2011
Jun2012
Jun2013
Jun2014
2010 2011 2012 2013 20142009200820072006200520042003200270%
75%
80%
85%
90%
95%
100%ILWSidecarCat BondsTraditional UNL Collateralized Re
36 Insurance-Linked Securities
Figure 9: Total U.S. ILW Trade Volume and Price Movement since 2011
Source: The Global Re Specialty team of Aon UK Limited
Pric
e M
ove
men
t b
y Q
uart
er
Total U
.S. Trade V
olum
e (USD
Millio
ns)
Total U.S. Trade Volume $30 billion ANP $50 billion ANP $80 billion ANP
2013 Q2
2013 Q3
2013 Q4
2014 Q1
2014 Q2
2013 Q1
2012 Q4
2012 Q3
2012 Q2
2012 Q1
2011 Q4
2011 Q3
2011 Q2
2011 Q1
$0
$200
$400
$600
$800
$1,000
$1,200
$1,400
0
20
40
60
80
100
120
140
Aon Benfield 37
Appendix IIProperty Catastrophe Bonds—Transaction Summary
As of June 30, 2014
Source: Aon Benfield Securities, Inc.
38 Insurance-Linked Securities
Summary of Catastrophe Bonds — December 1996 through June 2014
Issuance Date Beneficiary Issuer Series Class Perils Trigger Collateral
Size (thousands) MIS S&P Fitch
Dec-96 St Paul Re U.K. George Town Re, Ltd.
Worldwide All Perils incl. Marine
& AviationIndemnity TRS $44,500
Dec-96 St Paul Re U.K.* George Town Re, Ltd.
Worldwide All Perils incl. Marine
& AviationIndemnity TRS $24,000 Aaa AAA
Jun-97 United Services Automobile Association
Residential Reinsurance
LimitedClass A-1 US HU Indemnity TRS $163,800 Aaa AAA
Jun-97 United Services Automobile Association
Residential Reinsurance
LimitedClass A-2 US HU Indemnity TRS $313,180 Ba2 BB BB
Oct-97 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
LimitedUS HU Indemnity TRS $450,000 Ba2 BB BB
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 Ba2 BB+
Mar-99 Kemper* Domestic, Inc. US EQ Indemnity TRS $20,000
Apr-99 Sorema S..A Halyard Re B.V. Series 1999 EU, JP EQ, TY Indemnity TRS $17,000
May-99 Oriental Land Co., Ltd. Concentric, Ltd. JP EQ Parametric TRS $100,000 Ba1 BB+
Jun-99 United Services Automobile Association
Residential Reinsurance
LimitedUS HU Indemnity TRS $200,000 Ba2 BB
*Equity
Aon Benfield 39
Issuance Date Beneficiary Issuer Series Class Perils Trigger Collateral
Size (thousands) MIS S&P Fitch
Jun-99Gerling-Konzern Globale
Rückversicherungs-Aktienfesellschaft
Juno Re, Ltd. US HU Indemnity TRS $80,000 BB BB+
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-99Gerling-Konzern Globale
Rückversicherungs-Aktienfesellschaft
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 Ba2 BB+
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 Halyard Re B.V. Series 2000 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 LimitedUS HU Indemnity TRS $200,000 Ba2 BB+
Jul-00 Vesta Fire Insurance Corporation NeHi, Inc. US HU Modeled Loss TRS $41,500 Ba3 BB
Jul-00 Vesta Fire Insurance Corporation* NeHi, Inc. US HU Modeled Loss TRS $8,500
Nov-00 Assurances Generales de France I.A.R.T.
Mediterranean Re p.l.c. Class A EU Wind, EQ Modeled Loss TRS $41,000 Baa3 BBB+ BBB
Nov-00 Assurances Generales de France I.A.R.T.
Mediterranean Re p.l.c. Class B EU Wind, EQ Modeled Loss TRS $88,000 Ba3 BB+ BB+
Dec-00 Munich RePRIME Capital
CalQuake & EuroWind Ltd.
US EQ, EU Wind Parametric Index TRS $129,000 Ba3 BB+ BB
Dec-00 Munich Re*PRIME Capital
CalQuake & EuroWind Ltd.
Class B US EQ, EU Wind Parametric Index TRS $6,000
Dec-00 Munich Re PRIME Capital Hurricane Ltd. US HU Parametric
Index TRS $159,000 Ba3 BB+ BB
Dec-00 Munich Re* PRIME Capital Hurricane Ltd. Class B 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
Mar-01 American ReGold Eagle
Capital 2001 Limited
US HU, EQ Modeled Loss TRS $116,400 Ba2 BB+
*Equity
40 Insurance-Linked Securities
Issuance Date Beneficiary Issuer Series Class Perils Trigger Collateral
Size (thousands) MIS S&P Fitch
Apr-01 Sorema SA Halyard Re B.V. EU Wind, JP EQ, TY Indemnity TRS $17,000
May-01 Swiss Reinsurance Company Ltd.* SR Wind Ltd. Class B-1 US HU,
EU WindParametric
Index TRS $1,800 BB BB
May-01 Swiss Reinsurance Company Ltd.* SR Wind Ltd. Class B-2 US HU,
EU WindParametric
Index TRS $1,800 BB BB
May-01 Swiss Reinsurance Company Ltd. SR Wind Ltd. Class A-1 US HU,
EU WindParametric
Index TRS $58,200 BB+ BB+
May-01 Swiss Reinsurance Company Ltd. SR Wind Ltd. Class A-2 US HU,
EU WindParametric
Index TRS $58,200 BB+ BB+
Jun-01 United Services Automobile Association
Residential Reinsurance
2001 LimitedUS 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
IndexTRS $50,000 A3 A
Dec-01 SCOR Atlas Reinsurance II p.l.c. Class B EU Wind,
CA/JP EQ
Parametric/Parametric
IndexTRS $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 LimitedUS 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+
Jun-02 Swiss Reinsurance Company Ltd.
PIONEER 2002 Ltd.
Series 2002-1 Class F US/EU Wind,
US/JP EQParametric
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+
*Equity
Aon Benfield 41
Issuance Date Beneficiary Issuer Series Class Perils Trigger Collateral
Size (thousands) MIS S&P Fitch
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 EQParametric
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 EQParametric
Index TRS $8,140 Ba3 BB+
May-03 United Services Automobile Association
Residential Reinsurance
2003 LimitedUS 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+
Jul-03 Swiss Reinsurance Company Ltd. Arbor I Ltd. Series 1 US/EU Wind,
CA/JP EQParametric
Index TRS $95,000 B
Jul-03 Swiss Reinsurance Company Ltd. Arbor II Ltd. Series 1 US/EU Wind,
CA/JP EQParametric
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+
*Equity
42 Insurance-Linked Securities
Issuance Date Beneficiary Issuer Series Class Perils Trigger Collateral
Size (thousands) MIS S&P Fitch
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) Formosa Re Ltd. Taiwan EQ Indemnity TRS $100,000 NR
Sep-03 Swiss Reinsurance Company Ltd. Arbor I Ltd. Series 2 US/EU Wind,
CA/JP EQParametric
Index TRS $60,000 B
Dec-03 Swiss Reinsurance Company Ltd. Palm Capital Ltd. Series 2 US HU Parametric
Index TRS $19,000 Ba3 BB+
Dec-03 Swiss Reinsurance Company Ltd. Arbor I Ltd. Series 3 US/EU Wind,
CA/JP EQParametric
Index TRS $8,850 B
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 EQParametric
Index TRS $21,000 B
May-04 United Services Automobile Association
Residential Reinsurance
2004 LimitedClass A US HU, EQ Indemnity TRS $127,500 BB
May-04 United Services Automobile Association
Residential Reinsurance
2004 LimitedClass B US HU, EQ Indemnity TRS $100,000 B
Jun-04 Converium Ltd. Helix 04 Limited US/EU Wind, US/JP EQ Modeled Loss Bank
Deposit $100,000 BB+
Jun-04 Swiss Reinsurance Company Ltd. Arbor Ltd. Series 5 US/EU Wind,
CA/JP EQParametric
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 EQParametric
Index TRS $31,800 B
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 EQParametric
Index TRS $15,000 B
Dec-04 Swiss Reinsurance Company Ltd.
Redwood Capital V, Ltd. US EQ Industry Index TRS $150,000 Ba2 BB+
*Equity
Aon Benfield 43
Issuance Date Beneficiary Issuer Series Class Perils Trigger Collateral
Size (thousands) MIS S&P Fitch
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. Series 8 US/EU Wind,
CA/JP EQParametric
Index TRS $20,000 B
May-05 United Services Automobile Association
Residential Reinsurance
2005 LimitedClass A US HU, EQ Indemnity TRS $91,000 BB
May-05 United Services Automobile Association
Residential Reinsurance
2005 LimitedClass B US HU, EQ Indemnity TRS $85,000 B
Jun-05 Factory Mutual Insurance Company Cascadia Limited US EQ Parametric TRS $300,000 BB+ BB
Jun-05 Swiss Reinsurance Company Ltd. Arbor I Ltd. Series 9 US/EU Wind,
CA/JP EQParametric
Index TRS $25,000 B
Jul-05 Zurich American Insurance Company
KAMP Re 2005 Ltd. 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 Munich Re Aiolos Ltd. EU Wind Parametric Index TRS € 110,000 BB+
Dec-05 Swiss Reinsurance Company Ltd. Arbor I Ltd. Series 10 US/EU Wind,
CA/JP EQParametric
Index TRS $18,000 B
Dec-05 PXRE Reinsurance Ltd.Atlantic &
Western Re II Limited
Class A US/EU Wind, US 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. Series 1 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
Foundation Re Ltd.
Series 2006-I 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
2006-I Class A-1 US HU Industry Index TRS $100,000 BB
May-06 United Services Automobile Association
Residential Reinsurance
2006 LimitedClass A US HU, EQ Indemnity TRS $47,500 B
May-06 United Services Automobile Association
Residential Reinsurance
2006 LimitedClass 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
*Equity
44 Insurance-Linked Securities
Issuance Date Beneficiary Issuer Series Class Perils Trigger Collateral
Size (thousands) MIS S&P Fitch
Jun-06 Swiss Reinsurance Company Ltd.
Successor Hurricane
Industry Ltd.Series 2 Class E US HU Industry Index TRS $35,000 NR
Jun-06 Swiss Reinsurance Company Ltd.
Successor Japan Quake Ltd. Series 2 Class C JP EQ Modeled Loss TRS $3,000 B
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 B
Jun-06 Swiss Reinsurance Company Ltd.
Successor Hurricane
Industry Ltd.Series 1 Class E US HU Industry Index TRS $5,000 NR
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
IndexTRS $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
IndexTRS $154,250 NR
Jun-06 Swiss Reinsurance Company Ltd. Successor III Ltd. Series 1 Class A US/EU Wind,
JP EQ
Modeled Loss, Parametric
IndexTRS $7,200 NR
Jun-06 Swiss Reinsurance Company Ltd. Successor IV Ltd. Series 1 Class A US/EU Wind,
US/JP EQ
Modeled Loss, Parametric
IndexTRS $30,000 B
Jun-06 Munich Re Carillon Ltd. Series 1 Class A-2 US HU Industry Index TRS $23,500 B+
Jun-06 Munich Re Carillon Ltd. Series 1 Class B US HU Industry Index TRS $10,000 B
Jun-06 Munich Re Carillon Ltd. Series 1 Class A-1 US HU Industry Index TRS $51,000 B+
*Equity
Aon Benfield 45
Issuance Date Beneficiary Issuer Series Class Perils Trigger Collateral
Size (thousands) MIS S&P Fitch
Jun-06 Liberty Mutual Insurance Company Mystic Re Ltd. Series
2006-1 Class A US HU Industry Index TRS $200,000 BB+
Jun-06 Balboa Insurance Group VASCO Re 2006 Ltd. US HU Indemnity Bank
Deposit $50,000 BB+
Jun-06 Dominion Resources DREWCAT Capital, Ltd. Class A US HU Parametric
Index TRS $50,000 NR
Jul-06 Hannover Re Eurus Ltd. 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. Fhu-Jin Ltd. Series 1 Class B JP TY Parametric
Index TRS $200,000 BB+
Aug-06 Swiss Reinsurance Company Ltd.
Successor Hurricane
Industry Ltd.Series 3 Class E US HU Industry Index TRS $50,000 NR
Aug-06 Factory Mutual Insurance Company
Cascadia II Limited US EQ Parametric Bank
Deposit $300,000 BB+ BB+
Nov-06 Hartford Fire Insurance Company
Foundation Re II Ltd.
Series 2006-I Class G US (HU, EQ, ST) Industry Index TRS $67,500 B
Nov-06 Hartford Fire Insurance Company
Foundation Re II Ltd.
Series 2006-I Class A US HU Industry Index TRS $180,000 BB+
Nov-06 Liberty Mutual Insurance Company Mystic Re Ltd. Series
2006-2 Class A US HU Industry Index TRS $200,000 BB+
Nov-06 Liberty Mutual Insurance Company Mystic Re Ltd. Series
2006-2 Class B US HU Industry Index TRS $125,000 BB
Dec-06 Swiss Reinsurance Company Ltd. Successor I Ltd. Series 1 Class B NA/EU W,
CA/JP Q
Industry Index, Modeled Loss,
Parametric Index
TRS $4,000 NR
Dec-06 Swiss Reinsurance Company Ltd.
Successor Hurricane
Industry Ltd.Series 4 Class E US HU Industry Index TRS $4,000 NR
Dec-06 Swiss Reinsurance Company Ltd. Successor I Ltd. Series 2 Class B NA/EU W,
CA/JP Q
Industry Index, Modeled Loss,
Parametric Index
TRS $24,500 NR
Dec-06 Swiss Reinsurance Company Ltd.
Successor Hurricane
Industry Ltd.Series 5 Class E US HU Industry Index TRS $26,000 NR
Dec-06 Swiss Reinsurance Company Ltd.
Successor Euro Wind Ltd. Series 3 Class A EU Wind Parametric
Index TRS $118,000 Ba3 BB
Dec-06 Swiss Reinsurance Company Ltd.
Successor Euro Wind Ltd. Series 3 Class C EU Wind Parametric
Index TRS $15,000 B3 B
Dec-06 Zurich American Insurance Company Lakeside Re Ltd. US EQ Indemnity Bank
Deposit $190,000 BB+
Dec-06 SCOR Atlas Reinsurance III p.l.c. JP EQ, EU Wind Modeled Loss TRS €120,000 BB+
Dec-06 Swiss Reinsurance Company Ltd.
Redwood Capital IX Ltd. Series 1 Class A US EQ Parametric
Index TRS $125,000 Ba2 BB+
Dec-06 Swiss Reinsurance Company Ltd.
Redwood Capital IX Ltd. Series 1 Class B US EQ Parametric
Index TRS $125,000 Ba2 BB+
Dec-06 Swiss Reinsurance Company Ltd.
Redwood Capital IX Ltd. Series 1 Class C US EQ Parametric
Index TRS $18,000 Baa3 BBB-
*Equity
46 Insurance-Linked Securities
Issuance Date Beneficiary Issuer Series Class Perils Trigger Collateral
Size (thousands) MIS S&P Fitch
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 2006-I Class A-1 US HU Modeled Loss TRS $100,000 BB
Jan-07 ACE American Insurance Company
Calabash Re II Ltd.
Series 2006-I Class D-1 US EQ Modeled Loss TRS $50,000 B+
Jan-07 ACE American Insurance Company
Calabash Re II Ltd.
Series 2006-I Class E-1 US HU, EQ Modeled Loss TRS $100,000 BB
Mar-07 Swiss Re Australis Ltd. Series 2 AU CY, EQ Parametric Index TRS $50,000 BB
Apr-07 Allianz Global Corporate & Specialty AG Blue Wings Ltd. Series 1 Class A US EQ, UK Flood
Modeled Loss, Parametric
IndexTRS $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 Munich Re 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 Q
Modeled Loss, Parametric
IndexTRS $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
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, US Q Industry Index,
Modeled Loss TRS $75,000 B
Jun-07 Allstate Insurance Company Willow Re Ltd. Series 2007-1 Class B US HU Industry Index TRS $250,000 BB+
Jun-07 Swiss Reinsurance Company Ltd.
Spinnaker Capital Ltd.
Series 1 2007 US HU Industry Index TRS $200,000 B1
*Equity
Aon Benfield 47
Issuance Date Beneficiary Issuer Series Class Perils Trigger Collateral
Size (thousands) MIS S&P Fitch
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-07State Farm Mutual
Automobile Insurance Company
Merna Reinsurance Ltd.
Tranche A
US/Canada (Wind, EQ, ST,
WS, WF)Indemnity TRS $350,000 Aa2 AAA
Jul-07State Farm Mutual
Automobile Insurance Company
Merna Reinsurance Ltd.
Tranche B
US/Canada (Wind, EQ, ST,
WS, WF)Indemnity TRS $666,600 A2 AA+
Jul-07State Farm Mutual
Automobile Insurance Company
Merna Reinsurance Ltd.
Tranche C
US/Canada (Wind, 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.
Spinnaker Capital Ltd.
Series 3 2007 US HU Industry Index TRS $50,000 NR
Oct-07 East Japan Railway Company MIDORI Ltd. JP EQ Parametric TRS $260,000 BB+
Nov-07 Allianz Argos 14 GmbH Blue Fin Ltd. Series 1 Class A EU Wind Parametric Index TRS €155,000 BB+
Nov-07 Allianz Argos 14 GmbH Blue Fin Ltd. Series 1 Class B EU Wind Parametric Index TRS $65,000 BB+
Nov-07 SCOR Global P&C SE Atlas Reinsurance IV Limited 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
LAQ Class A-1 Latin America EQ Modeled Loss TRS $25,000 Ba3
Dec-07 Swiss Reinsurance Company Ltd. GlobeCat Ltd. Series
USW Class A-1 US HU Industry Index TRS $40,000 B3
Dec-07 Swiss Reinsurance Company Ltd. GlobeCat Ltd. Series
CAQ Class A-1 US EQ Industry Index TRS $20,000 B1
Dec-07 Groupama S.A. Green Valley Ltd. Series 1 Class A EU Wind Parametric Index TRS €200,000 BB+
Dec-07 Swiss Reinsurance Company Ltd.
Successor Hurricane
Industry Ltd.Series 6 Class C US HU Industry Index TRS $30,000 B2 B
Dec-07 Swiss Reinsurance Company Ltd.
Successor Hurricane
Industry Ltd.Series 6 Class D US HU Industry Index TRS $30,000 B
Dec-07 Swiss Reinsurance Company Ltd. Successor II Ltd. Series 3 Class C US/EU Wind,
US/JP EQParametric
Index TRS $50,000
*Equity
48 Insurance-Linked Securities
Issuance Date Beneficiary Issuer Series Class Perils Trigger Collateral
Size (thousands) MIS S&P Fitch
Dec-07 Swiss Reinsurance Company Ltd. Successor II Ltd. Series 3 Class E US/EU Wind,
US/JP EQParametric
Index TRS $50,000
Dec-07 Swiss Reinsurance Company Ltd.
Redwood Capital X Ltd. Series 1 Class A US EQ Parametric
Index TRS $25,000 Baa3
Dec-07 Swiss Reinsurance Company Ltd.
Redwood Capital X Ltd. Series 1 Class B US EQ Parametric
Index TRS $227,700 Ba2
Dec-07 Swiss Reinsurance Company Ltd.
Redwood Capital X Ltd. Series 1 Class C US EQ Parametric
Index TRS $50,200 Ba3
Dec-07 Swiss Reinsurance Company Ltd.
Redwood Capital X Ltd. Series 2 Class D US EQ Industry Index TRS $130,500 Ba3
Dec-07 Swiss Reinsurance Company Ltd.
Redwood Capital X Ltd. Series 2 Class E US EQ Industry Index TRS $45,200 B2
Dec-07 Swiss Reinsurance Company Ltd.
Redwood Capital X Ltd. Series 2 Class F US EQ Industry Index TRS $20,000 NR
Feb-08 Catlin Group Newton Re Limited
Series 2008-1 Class A US/EU/JP Wind,
US/JP EQ Indemnity TRS $150,000 BB
Mar-08 Munich Re Queen Street Ltd. Series 1 Class A EU Wind Parametric
Index TRS €70,000 BB+
Mar-08 Munich Re Queen Street Ltd. Series 1 Class B EU Wind Parametric
Index TRS €100,000 B
Mar-08 Chubb Group East Lane Re II Ltd.
Series 2008-I Class A Northeast US All
Natural Perils Indemnity TRS $75,000 BB
Mar-08 Chubb Group East Lane Re II Ltd.
Series 2008-I Class B Northeast US All
Natural Perils Indemnity TRS $70,000 BB
Mar-08 Chubb Group East Lane Re II Ltd.
Series 2008-I Class C US/Canada 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-08Flagstone Reinsurance Limited and Flagstone Reassurance Suisse SA
Valais Re Ltd. Series 2008-1 Class A US/EU/JP Wind,
US/JP EQ Indemnity TRS $64,000 Ba2
May-08Flagstone Reinsurance Limited and Flagstone Reassurance Suisse SA
Valais Re Ltd. Series 2008-1 Class C US/EU/JP Wind,
US/JP EQ Indemnity TRS $40,000 B3
Jun-08 Glacier Reinsurance AG Nelson Re Ltd. Series 2008-I Class G US HU, EQ Indemnity TRS $67,500 B3
Jun-08 Glacier Reinsurance AG Nelson Re Ltd. Series 2008-I Class H EU Wind Indemnity TRS $45,000 B3
Jun-08 Glacier Reinsurance AG Nelson Re Ltd. Series 2008-I Class I EU Wind Indemnity TRS $67,500 B1
Jun-08 Allstate Insurance Company Willow Re Ltd. Series 2008-1 Class D US HU Industry Index TRS $250,000 BB+
*Equity
Aon Benfield 49
Issuance Date Beneficiary Issuer Series Class Perils Trigger Collateral
Size (thousands) MIS S&P Fitch
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 Class A 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-
Jun-09 Munich Re Ianus Capital Ltd. EU Wind, EQParametric
Index, Modeled Loss
MTN €50,000 B2
Jun-09 ACE American Insurance Company
Calabash Re III Ltd.
Series 2009-I Class A US HU, EQ Modeled Loss MTN $86,000 BB-
Jun-09 ACE American Insurance Company
Calabash Re III Ltd.
Series 2009-I Class B US EQ Modeled Loss MTN $14,000 BB+
Jul-09 North Carolina JUA/IUA Parkton Re Ltd. Series 2009-1 NC Wind Indemnity MMF $200,000 B+
Jul-09 Hannover Re Eurus II Ltd. Series 2009-1 Class A EU Wind Parametric
Index TPR €150,000 BB
Oct-09 The Fund for Natural Disasters
MultiCat Mexico 2009 Limited
Series 2009-I Class A Mex EQ Parametric MMF $140,000 B
*Equity
50 Insurance-Linked Securities
Issuance Date Beneficiary Issuer Series Class Perils Trigger Collateral
Size (thousands) MIS S&P Fitch
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
2009-1 Class I-S1 US HU, EQ, EU Wind
Industry Index, Parametric
IndexMMF $50,000
Dec-09 Swiss Reinsurance Company Ltd. Successor X Ltd. Series
2009-1Class I-U1 US HU, EQ
Industry Index, Parametric
IndexMMF $50,000 B-
Dec-09 Swiss Reinsurance Company Ltd. Successor X Ltd. Series
2009-1Class I-X1 US HU, EQ
Industry Index, Parametric
IndexMMF $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-09Zurich American Insurance
Company, Zurich Insurance Company Ltd
Lakeside Re II Ltd. CA EQ Indemnity MMF $225,000 BB-
Dec-09 Swiss Reinsurance Company Ltd.
Redwood Capital XI Ltd.
Series 2009-1 Class A CA EQ Industry Index MMF $150,000 B1
Jan-10 Hartford Fire Insurance Company
Foundation Re III Ltd.
Series 2010-1 Class A US HU Industry Index MMF $180,000 BB+
Mar-10 Swiss Reinsurance Company Ltd. Successor X Ltd. Series
2010-1Class
II-CN3 US HU, EU Wind Industry Index, Modeled Loss MMF $45,000 B-
Mar-10 Swiss Reinsurance Company Ltd. Successor X Ltd. Series
2010-1Class
II-CL3 US HU, EU Wind Industry Index, Modeled Loss MMF $35,000
Mar-10 Swiss Reinsurance Company Ltd. Successor X Ltd. Series
2010-1Class
II-BY3US HU, EQ EU
Wind, JP EQIndustry Index,
Modeled Loss MMF $40,000
Apr-10 State Farm Fire and Casualty Company
Merna Reinsurance
II Ltd.US EQ Indemnity MMF $350,000 BB+
Apr-10 Assurant, Inc. Ibis Re Ltd. Series 2010-1 Class A US HU Industry Index MMF $90,000 BB
Apr-10 Assurant, Inc. Ibis Re Ltd. Series 2010-1 Class B US HU Industry Index MMF $60,000 B+
May-10 North Carolina JUA/IUA Johnston Re Ltd. Series 2010-1 Class A US HU Indemnity MMF $200,000 BB-
May-10 North Carolina JUA/IUA Johnston Re Ltd. Series 2010-1 Class B US HU Indemnity MMF $105,000 BB-
May-10National Union Fire
Insurance Company of Pittsburgh
Lodestone Re Ltd.
Series 2010-1 Class A US HU, EQ Industry Index MMF $175,000 BB+
May-10National Union Fire
Insurance Company of Pittsburgh
Lodestone Re Ltd.
Series 2010-1 Class B US HU, EQ Industry Index MMF $250,000 BB
May-10 Munich Re EOS Wind Limited Class A US HU Industry Index MMF $50,000 Ba3
*Equity
Aon Benfield 51
Issuance Date Beneficiary Issuer Series Class Perils Trigger Collateral
Size (thousands) MIS S&P Fitch
May-10 Munich Re EOS Wind Limited Class B US HU, EU Wind
Industry Index, Parametric
IndexMMF $30,000 Ba3
May-10 Nationwide Mutual Insurance Company
Caelus Re II Limited
Series 2010-1 Class A US HU, EQ Indemnity MMF $185,000 BB+
May-10 Allianz Argos 14 GmbH Blue Fin Ltd. Series 3 Class A US HU, EQ Modeled Loss MMF $90,000 B-
May-10 Allianz Argos 14 GmbH Blue Fin Ltd. Series 3 Class B US HU, EQ Modeled Loss MMF $60,000 BB
May-10 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-10State Farm Mutual
Automobile Insurance Company
Merna Reinsurance
III Ltd
NA HU, EQ, ST, WS, WF Indemnity MMF $250,000
Jul-10Massachusetts Property Insurance Underwriting
AssociationShore Re Ltd. Series
2010-1 Class A US HU Indemnity MMF $96,000 BB
Sep-10 Groupama S.A. Green Valley Ltd. Series 2 Class A EU Wind Parametric Index MTN €100,000 BB+
Oct-10 AXA Global P&C Calypso Capital Limited
Series 2010-1 Class A EU Wind Industry Index TPR €275,000 BB
Nov-10 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 B-
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 Ba3
Dec-10 Swiss Reinsurance Company Ltd. Vega Capital Ltd. Series
2010-I Class D US/EU/JP Wind, US/JP EQ Multiple MTN $42,600
Dec-10 American Family Mutual Insurance Company Mariah Re Ltd. Series
2010-2 US ST Industry Index MMF $100,000
Dec-10National Union Fire
Insurance Company of Pittsburgh
Lodestone Re Ltd.
Series 2010-2 Class A-1 US HU, EQ Industry Index MMF $125,000 BB+
Dec-10National Union Fire
Insurance Company of Pittsburgh
Lodestone Re Ltd.
Series 2010-2 Class A-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
*Equity
52 Insurance-Linked Securities
Issuance Date Beneficiary Issuer Series Class Perils Trigger Collateral
Size (thousands) MIS S&P Fitch
Dec-10 Flagstone Reassurance Suisse SA Montana Re Ltd. Series
2010-1 Class EUS HU,
Q/EU Wind, JP TY, JP EQ
Multiple TPR $60,000 B-
Dec-10 Swiss Reinsurance Company Ltd. Successor X Ltd. Series
2011-1Class III-R3
US HU, EQ , AUS EQ
Modeled Loss, Parametric
IndexMTN $65,000 B-
Dec-10 Swiss Reinsurance Company Ltd. Successor X Ltd. Series
2011-1Class III-S3
US HU, EQ , AUS EQ
Modeled Loss, Parametric
IndexMTN $50,000 B-
Dec-10 Swiss Reinsurance Company Ltd. Successor X Ltd. Series
2011-1Class III-T3
US HU, EQ , AUS EQ
Modeled Loss, Parametric
IndexMTN $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
2011-2Class IV-E3 US HU, EQ Industry Index MTN $160,000 B
Feb-11 Swiss Reinsurance Company Ltd. Successor X Ltd. Series
2011-2Class
IV-AL3 US HU, EQ Industry Index MTN $145,000
Mar-11 Chubb Group East Lane Re IV Ltd.
Series 2011-I Class A US HU, EQ,
ST, WS Indemnity MMF $225,000 BB+
Mar-11 Chubb Group East Lane Re IV Ltd.
Series 2011-I Class B US HU, EQ,
ST, WS Indemnity MMF $250,000 BB
Mar-11 Munich Re Queen Street II Capital Limited US HU, EU Wind Industry Index MMF $100,000 BB-
Apr-11 Allianz Argos 14 GmbH Blue Fin Ltd. Series 4 Class B US HU, EQ Modeled Loss MMF $40,000
May-11 North Carolina JUA/IUA Johnston Re Ltd. Series 2011-1 Class A US HU Indemnity MMF $70,000 BB-
May-11 North Carolina JUA/IUA Johnston Re Ltd. Series 2011-1 Class B US HU Indemnity MMF $131,835 BB-
May-11 United Services Automobile Association
Residential Reinsurance 2011
Limited
Series 2011-I Class 1 US HU, EQ, ST,
WS, WF Indemnity MMF $57,000 B+
May-11 United Services Automobile Association
Residential Reinsurance 2011
Limited
Series 2011-I Class 2 US HU, EQ, ST,
WS, WF Indemnity MMF $33,000 B-
May-11 United Services Automobile Association
Residential Reinsurance 2011
Limited
Series 2011-I Class 5 US HU, EQ, ST,
WS, WF Indemnity MMF $160,000 B+
Jun-11 Argo Re, Ltd. Loma Reinsurance Ltd.
Series 2011-1 Class A US HU, EQ, EU
Wind, JP EQ Industry Index TPR $100,000 BB-
Jul-11 Munich Re Queen Street III Capital Limited EU Wind Industry Index MMF $150,000 B+
Aug-11 California Earthquake Authority
Embarcadero Reinsurance Ltd.
Series 2011-I Class A CAL EQ Indemnity MMF $150,000 BB-
Aug-11 Electricité Réseau Distribution France
Pylon II Capital Limited Class A FR Wind Parametric
Index TPR €65,000 B+
Aug-11 Electricité Réseau Distribution France
Pylon II Capital Limited Class B FR Wind Parametric
Index TPR €85,000 B-
Aug-11 Tokio Marine & Nichido Fire Insurance Co., Ltd. Kizuna Re Ltd. Series
2011-1 JP TY Indemnity MTN $160,000
Oct-11 AXA Global P&C Calypso Capital Limited
Series 2011-1 Class A EU Wind Industry Index MTN €180,000 BB-
Oct-11 Munich Re Queen Street IV Capital Limited US HU, EU Wind Industry Index MMF $100,000 BB-
*Equity
Aon Benfield 53
Issuance Date Beneficiary Issuer Series Class Perils Trigger Collateral
Size (thousands) MIS S&P Fitch
Nov-11 Swiss Reinsurance Company Ltd. Successor X Ltd. Series
2011-3Class V-F4 US HU Industry Index MMF $80,000
Nov-11 Swiss Reinsurance Company Ltd. Successor X Ltd. Series
2011-3Class V-X4 US HU, EU W Industry Index MMF $50,000 B-
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-11National Union Fire
Insurance Company of Pittsburgh
Compass Re Ltd. Series 2011-1 Class 1 US HU, EQ Industry Index MMF $75,000 BB-
Dec-11National Union Fire
Insurance Company of Pittsburgh
Compass Re Ltd. Series 2011-1 Class 2 US HU, EQ Industry Index MMF $250,000 BB-
Dec-11National 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
2012-1Class
V-AA3 US HU, EU Wind Industry Index MMF $23,000
Feb-12 Swiss Reinsurance Company Ltd. Successor X Ltd. Series
2012-1Class V-D3 US HU Industry Index MMF $40,000 B2
Feb-12 Munich Re Queen Street V Re Limited US HU, EU Wind Industry Index MMF $75,000
Mar-12 Liberty Mutual Insurance Company Mystic Re III Ltd. Series
2012-1 Class A US HU, EQ (ex CA) Indemnity MMF $100,000 BB
Mar-12 Liberty Mutual Insurance Company Mystic Re III Ltd. Series
2012-1 Class B US HU, EQ Indemnity MMF $175,000 B
Mar-12 Chubb Group East Lane Re V Ltd.
Series 2012 Class A Southeast HU, ST Indemnity MMF $75,000 BB
Mar-12 Chubb Group East Lane Re V Ltd.
Series 2012 Class B Southeast HU, ST Indemnity MMF $75,000 BB-
Mar-12 COUNTRY Mutual & North Carolina Farm Bureau Mutual Combine Re Ltd. Class A US HU, EQ,
ST, WS Indemnity MMF $100,000 Baa1
Mar-12 COUNTRY Mutual & North Carolina Farm Bureau Mutual Combine Re Ltd. Class B US HU, EQ,
ST, WS Indemnity MMF $50,000 Ba3
*Equity
54 Insurance-Linked Securities
Issuance Date Beneficiary Issuer Series Class Perils Trigger Collateral
Size (thousands) MIS S&P Fitch
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,
US, CAN 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 BB+
Jul-12 Munich Re 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 Re 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 Munich Re Queen Street VII Re Limited US HU, EU Wind Industry Index MMF $75,000 B
Nov-12 SCOR Global P&C SE Atlas Reinsurance VII Limited Class A US HU, EQ Industry Index MTN $60,000 BB-
Nov-12 SCOR Global P&C SE Atlas Reinsurance VII Limited Class B EU Wind Industry Index MTN €130,000 BB
Nov-12 Swiss Reinsurance Company Ltd. Mythen Re Ltd. Series
2012-2 Class A US HU, UK 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
*Equity
Aon Benfield 55
Issuance Date Beneficiary Issuer Series Class Perils Trigger Collateral
Size (thousands) MIS S&P Fitch
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-12National Union Fire
Insurance Company of Pittsburgh
Compass Re Ltd. Series 2012-1 Class 1 US HU, EQ Industry Index MMF $400,000
Dec-12Zurich American Insurance
Company, Zurich Insurance Company, Ltd.
Lakeside Re III Ltd. US, CAN EQ Indemnity MMF $270,000 B+
Mar-13 Nationwide Mutual Insurance Company
Caelus Re 2013 Limited
Series 2013-1 Class A US HU, EQ Indemnity MMF $270,000 BB-
Mar-13 Citizens Property Insurance Company
Everglades Re Ltd.
Series 2013-1 Class A FL HU Indemnity MMF $250,000 B
Apr-13 State Farm Fire and Casualty Company Merna Re IV Ltd. New Madrid EQ Indemnity MMF $300,000
Apr-13 Nationwide Mutual Insurance Company
Caelus Re 2013 Limited
Series 2013-2 Class A US HU, EQ Indemnity MMF $320,000
Apr-13 North Carolina JUA/IUA Tar Heel Re Ltd. Series 2013-1 Class A NC Hurricane Parametric
Index MMF $500,000 B+
Apr-13 Turkish Catastrophe Insurance Pool
Bosphorus 1 Re Ltd.
Series 2013-1 Class A Turkey EQ Industry Index MMF $400,000 BB+
May-13 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 &
US, CAN EQ Industry Index MTN $175,000 BB+
May-13 United Services Automobile Association
Residential Reinsurance 2013
Limited
Series 2013-I Class 11 US HU, EQ, ST,
WS, CAL WF Indemnity MMF $205,000
May-13 United Services Automobile Association
Residential Reinsurance 2013
Limited
Series 2013-I Class 3 US HU, EQ, ST,
WS, CAL WF Indemnity MMF $95,000 B-
Jun-13 Assurant, Inc. Ibis Re II Ltd. Series 2013-1 Class A US HU Industry Index MMF $110,000 BB+
Jun-13 Assurant, Inc. Ibis Re II Ltd. Series 2013-1 Class B US HU Industry Index MMF $35,000 BB-
Jun-13 Assurant, Inc. Ibis Re II Ltd. Series 2013-1 Class C US HU Industry Index MMF $40,000 B
Jun-13 Munich Re Queen Street VIII Re Limited US HU, AUS CY Industry Index,
Modeled Loss MMF $75,000
Jun-13 Amlin AG Tramline Re II Ltd.
Series 2013-1 Class A US, CAN EQ Industry Index MMF $75,000
Jul-13 Groupama S.A. Green Fields II Capital Limited
Series 2013-1 Class A FR Wind Industry Index MTN €280,000 BB
Jul-13 Swiss Reinsurance Company Ltd. Mythen Re Ltd. Series
2013-1 Class B-1 US HU Industry Index MMF $100,000
Jul-13 Renaissance Reinsurance Ltd. Mona Lisa Re Ltd. Series
2013-2 Class A US HU, EQ Industry Index MMF $150,000 BB-
*Equity
56 Insurance-Linked Securities
Issuance Date Beneficiary Issuer Series Class Perils Trigger Collateral
Size (thousands) MIS S&P Fitch
Jul-13 American International Group
Tradewynd Re Ltd.
Series 2013-1 Class 1 US, CB HU,
NA EQ Indemnity MMF $125,000 B+
Jul-13 Metropolitan Transportation Authority MetroCat Re Ltd. Series
2013-1 Class A Northeast Storm Surge
Parametric Index MMF $200,000 BB-
Aug-13 AXIS Specialty Limited Northshore Re Limited
Series 2013-1 Class A US HU, EQ Industry Index MMF $200,000 BB-
Sep-13National Mutual Insurance Federation of Agricultural
CooperativesNakama Re Ltd. Series
2013-1 Class 1 JP EQ Indemnity MMF $300,000 BB+
Oct-13 AXA Global P&C Calypso Capital II Limited Class A EU Wind Industry Index MTN €185,000 BB-
Oct-13 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 BB-
Dec-13 American International Group
Tradewynd Re Ltd.
Series 2013-2 Class 1-A US, CB HU,
NA EQ Indemnity MMF $100,000
Dec-13 American International Group
Tradewynd Re Ltd.
Series 2013-2 Class 3-A US, CB HU,
NA EQ Indemnity MMF $160,000
Dec-13 American International Group
Tradewynd Re Ltd.
Series 2013-2 Class 3-B 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, US ST,
NA, CB EQIndemnity,
Industry Index MMF $32,000
Dec-13 Argo Re, Ltd.Loma
Reinsurance (Bermuda) Ltd.
Series 2013-1 Class B US,CB HU, US ST,
NA, CB EQIndemnity,
Industry Index MMF $75,000
Dec-13 Argo Re, Ltd.Loma
Reinsurance (Bermuda) Ltd.
Series 2013-1 Class C US, CB HU, US
ST, NA, CB EQIndemnity,
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 BB
Feb-14
Münchener Rückversicherungs-
Gesellschaft Aktiengesellschaft
Queen Street IX Re Limited US HU, AUS CY Multiple MMF $100,000
Mar-14 Chubb Group East Lane Re VI Ltd.
Series 2014-1 Class A Northeast US
HU, EQ, ST, WS Indemnity MMF $270,000 BB+
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 BB-
Mar-14 State Farm Fire and Casualty Company Merna Re V Ltd. New Madrid EQ Indemnity MMF $300,000
*Equity
Aon Benfield 57
Issuance Date Beneficiary Issuer Series Class Perils Trigger Collateral
Size (thousands) MIS S&P Fitch
Apr-14Heritage Property &
Casualty Insurance Company
Citrus Re Ltd. Series 2014-1 Class A FL HU Indemnity MMF $150,000
Apr-14Heritage 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. Lion I Re Limited EU Wind Indemnity MTN €190,000 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 B
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-14Castle 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-14National Mutual Insurance Federation of Agricultural
CooperativesNakama Re Ltd. Series
2014-1 Class 1 JP EQ Indemnity MMF $150,000
May-14National Mutual Insurance Federation of Agricultural
CooperativesNakama 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-14Sompo Japan and
Nipponkoa Insurance Company
Aozora Re Ltd. Series 2014-1 Class B JP TY Indemnity MMF ¥10,125,000 BB
Jun-14 Texas Windstorm Insurance Association Alamo Re Ltd. Series
2014-1 Class A TX HU Indemnity MMF $400,000 B
*Equity
58 Insurance-Linked Securities
Appendix IIILife & Health Catastrophe Bonds— Transaction Summary
As of June 30, 2014
Source: Aon Benfield Securities, Inc.
Aon Benfield 59
Summary of Life and Health Catastrophe Bonds — December 1996 through June 2014
Issuance date Beneficiary Issuer Series Class Perils TriggerSize
(thousands) S&P
Dec-03 Swiss Reinsurance Company, Ltd. Vita Capital Ltd. Series 1 Extreme Mortality Index $400,000 A+
Apr-05 Swiss Reinsurance Company, Ltd. Vita Capital II Ltd. Series 1 Class B Extreme Mortality Index $62,000 A-
Apr-05 Swiss Reinsurance Company, Ltd. Vita Capital II Ltd. Series 1 Class C Extreme Mortality Index $200,000 BBB+
Apr-05 Swiss Reinsurance Company, Ltd. Vita Capital II Ltd. Series 1 Class D Extreme Mortality Index $100,000 BBB-
Apr-06 Scottish Annuity & Life Insurance Company (Cayman) Ltd. Tartan Capital Limited Series 1 Class A Extreme Mortality Index $75,000 AAA
Apr-06 Scottish Annuity & Life Insurance Company (Cayman) Ltd. Tartan Capital Limited Series 1 Class B Extreme Mortality Index $80,000 A-
Nov-06 AXA Cessions OSIRIS Capital plc Series 1 Class B Extreme Mortality Index €100,000 BBB
Nov-06 AXA Cessions OSIRIS Capital plc Series 2 Class B Extreme Mortality Index €50,000 BB+
Nov-06 AXA Cessions OSIRIS Capital plc Series 3 Class C Extreme Mortality Index $150,000 A
Nov-06 AXA Cessions OSIRIS Capital plc Series 3 Class D Extreme Mortality Index $100,000 A
Dec-06 Swiss Reinsurance Company, Ltd. Vita Capital III Ltd. Series 1 Class B Extreme Mortality Index $90,000 A
Dec-06 Swiss Reinsurance Company, Ltd. Vita Capital III Ltd. Series 2 Class B Extreme Mortality Index $50,000 AAA
Dec-06 Swiss Reinsurance Company, Ltd. Vita Capital III Ltd. Series 3 Class B Extreme Mortality Index €30,000 AAA
Jan-07 Swiss Reinsurance Company, Ltd. Vita Capital III Ltd. Series 4 Class A Extreme Mortality Index $100,000 AAA
Jan-07 Swiss Reinsurance Company, Ltd. Vita Capital III Ltd. Series 5 Class A Extreme Mortality Index $100,000 AAA
Jan-07 Swiss Reinsurance Company, Ltd. Vita Capital III Ltd. Series 5 Class B Extreme Mortality Index $50,000 AAA
Jan-07 Swiss Reinsurance Company, Ltd. Vita Capital III Ltd. Series 6 Class A Extreme Mortality Index €55,000 AAA
Jan-07 Swiss Reinsurance Company, Ltd. Vita Capital III Ltd. Series 6 Class B Extreme Mortality Index €55,000 AAA
Jan-07 Swiss Reinsurance Company, Ltd. Vita Capital III Ltd. Series 7 Class A Extreme Mortality Index €100,000 AA-
Feb-08 Munich Re Nathan Ltd. Series 1 Class A Extreme Mortality Index $100,000 A-
Jan-09 Swiss Reinsurance Company, Ltd. Vita Capital IV Ltd. Series 1 Class E Extreme Mortality Index $75,000 BB+
May-10 Swiss Reinsurance Company, Ltd. Vita Capital IV Ltd. Series III Class E Extreme Mortality Index $50,000 BB+
Oct-10 Swiss Reinsurance Company, Ltd. Vita Capital IV Ltd. Series III Class E Extreme Mortality Index $100,000 BB+
Oct-10 Swiss Reinsurance Company, Ltd. Vita Capital IV Ltd. Series IV Class E Extreme Mortality Index $75,000 BB+
Dec-10 Aetna Life Insurance Company Vitality Re Limited Series 2010-1 Class A Health Indemnity - MBR $150,000 BBB-
Dec-10 Swiss Reinsurance Company, Ltd. Kortis Capital Ltd. Series 2010-1 Class E Longevity Index $50,000 BB+
Apr-11 Aetna Life Insurance Company Vitality Re II Limited Series 2011-1 Class A Health Indemnity - MBR $110,000 BBB
Apr-11 Aetna Life Insurance Company Vitality Re II Limited Series 2011-1 Class B Health Indemnity - MBR $40,000 BB+
Aug-11 Swiss Reinsurance Company Ltd. Vita Capital IV Ltd. Series V Class D Extreme Mortality Index $100,000 BBB-
Aug-11 Swiss Reinsurance Company Ltd. Vita Capital IV Ltd. Series VI Class E Extreme Mortality Index $80,000 BB+
Jan-12 Aetna Life Insurance Company Vitality Re III Limited Series 2012-1 Class A Health Indemnity - MBR $105,000 BBB+
Jan-12 Aetna Life Insurance Company Vitality Re III Limited Series 2012-1 Class B Health Indemnity - MBR $45,000 BB+
Jul-12 Swiss Reinsurance Company Ltd. Vita Capital V Ltd. Series 2012-I Class D-1 Extreme Mortality Index $125,000 BBB-
Jul-12 Swiss Reinsurance Company Ltd. Vita Capital V Ltd. Series 2012-I Class E-1 Extreme Mortality Index $150,000 BB+
Jan-13 Aetna Life Insurance Company Vitality Re IV Limited Series 2013-1 Class A Health Indemnity - MBR $105,000 BBB+
Jan-13 Aetna Life Insurance Company Vitality Re IV Limited Series 2013-1 Class B Health Indemnity - MBR $45,000 BB+
Sep-13 SCOR Global Life SE Atlas IX Capital Limited Series 2013-1 Class B Extreme Mortality Index $180,000 BB
Jan-14 Aetna Life Insurance Company Vitality Re V Limited Series 2014-1 Class A Health Indemnity $140,000 BBB+
Jan-14 Aetna Life Insurance Company Vitality Re V Limited Series 2014-1 Class B Health Indemnity $60,000 BB+
60 Insurance-Linked Securities
Appendix IVSummary of Sidecar Issuance
As of June 30, 2014
Source: Aon Benfield Securities, Inc.
Aon Benfield 61
Summary of Sidecar Issuance
Sidecar Principal Sponsor Inception Lines of Business Size ($ millions)
Top Layer Re RenaissanceRe, SF Dec-99 High excess U.S. property cat 100.0
Olympus Re White Mountains Re Dec-01 Property cat, property risk, retro and marine 500.0
DaVinci Re RenaissanceRe, SF Dec-01 Property cat reinsurance 600.0
Rockridge Re Montpelier Re Jun-05 High excess cat retrocessional 90.9
Blue Ocean Re Montpelier Re Dec-05 Property cat retrocessional 300.0
Cyrus Re XL Capital Dec-05 Property cat reinsurance and retrocessional 525.0
Flatiron Re Arch Re Dec-05 Property and marine reinsurance 900.0
Helicon Re White Mountains Re Dec-05 Short-tailed property and marine 146.0
Kaith/K5 Hannover Re Dec-05 Property cat, property risk, aviation and marine 370.0
Olympus Re II White Mountains Re Jan-06 Property cat, property risk, retro and marine 156.0
Petrel Re Validus May-06 Marine and offshore energy reinsurance contracts 125.0
Starbound Re RenaissanceRe May-06 Short-tailed property and marine 310.5
Bay Point Re Harbor Point Jun-06 U.S. property, marine, retro and workers’ comp 150.0
Sirocco Re Lancashire Jun-06 Marine and offshore energy insurance contracts 75.0
Timicuan Re RenaissanceRe Jul-06 Reinstatement premium protection 70.0
Concord Re Lexington Insurance Co Aug-06 U.S. commercial property 730.0
Mont Fort Re Flagstone Re Aug-06 Peak zone and ILW 60.0
Cyrus Re XL Capital Nov-06 Property cat reinsurance and retrocessional 635.0
Panther Re Hiscox Dec-06 Property cat reinsurance 360.0
Syncro Ltd. Lloyd’s #4242 (Chaucer) Dec-06 Property cat reinsurance 100.0
Norton Re Brit Insurance Dec-06 Property cat retrocessional 107.7
New Point Re Harbor Point Dec-06 Property cat retrocessional 250.0
Triomphe Re Paris Re Dec-06 Property cat retrocessional 185.0
Sector Re Swiss Re Jan-07 Property cat, aviation 220.0
MaRI Ltd. ACE Jan-07 Property cat reinsurance 400.0
Syndicate 6105 Ark Underwriting Jan-07 Property cat reinsurance 40.0
Syndicate 6104 Hiscox Jan-07 Property cat reinsurance 69.0
Syndicate 6103 MAP Underwriting Jan-07 Property cat reinsurance 78.6
Bridge Re Swiss Re Apr-07 Property cat, aviation 182.5
Starbound Re II RennaisanceRe Jun-07 Property cat reinsurance 341.5
Mont Gele Re Flagstone Re Jul-07 Property cat reinsurance 60.0
Norton Re II Brit Insurance Dec-07 Property cat retrocessional 118.2
Sector Re II Swiss Re Apr-08 Property cat, aviation 150.0
Cyrus Re ll XL Capital Dec-07 Property cat reinsurance and retrocessional 140.0
New Point Re II Harbor Point Dec-07 Property cat retrocessional 100.0
Globe Re Hannover Re May-08 Property cat retrocessional 133.0
Kaith/K6 Hannover Re Mar-09 Property cat, property risk, aviation and marine 180.0
Timicuan Re II RenaissanceRe Jun-09 Property cat retrocessional, primarily florida 60.4
Fac Pool Re Hannover Re Sep-09 Worldwide facultative 60.0
AlphaCat Re Validus May-11 Property cat reinsurance and retrocessional 180.0
62 Insurance-Linked Securities
Sidecar Principal Sponsor Inception Lines of Business Size ($ millions)
DaVinci Re* RenaissanceRe Jun-11 Property cat, specialty 100.0
Accordion Re Lancashire Re Jul-11 Property cat 200.0
New Point Re IV Alterra Jul-11 Property cat retrocessional 225.0
AlphaCat Re 2011* Validus Dec-11 Property cat reinsurance and retrocessional 71.0
Upsilon Re RenaissanceRe Jan-12 Property cat retrocessional 73.7
SPS 20881 Catlin Jan-12 Various lines (Syndicate 2003 quota share) 77.5
SPS 61111 Catlin Jan-12 Various lines (Syndicate 2003 quota share) 93.0
SPS 61121 Catlin Jan-12 Various lines (Syndicate 2003 quota share) 41.9
AlphaCat Re 2011*2 Validus Feb-12 Property cat reinsurance and retrocessional 39.9
PacRe Validus Mar-12 Property cat reinsurance (top layer) 500.0
Accordion Re* Lancashire Apr-12 Property cat 75.0
Timicuan Re III RenaissanceRe Jun-12 Property cat retrocessional, primarily Florida 73.7
New Point Re V Alterra Jun-12 Property cat retrocessional 210.0
AlphaCat Re 2012 Validus Jun-12 Property cat reinsurance and retrocessional 70.0
Saltire Re I Lancashire Re Nov-12 Combined exposure UNL aggregate reinsurance product 250.0
New Point Re V Alterra Capital Dec-12 Property cat retrocessional 37.0
Upsilon Re II RenaissanceRe Jan-13 Worldwide aggregate retrocessional reinsurance 185.0
Harambee Re Argo Group Jan-13 Portfolio for both insurance and reinsurance Undisclosed
AlphaCat Re 2013 Validus Jan-13 Worldwide property catastrophe reinsurance and retrocession 230.0
Mt. Logan Re Everest Re Jan-13 Worldwide property catastrophe reinsurance 250.0
K Cession Hannover Re Mar-13 Peak property cat and whole account XOL non-marine 328.0
Lorenz Re PartnerRe Mar-13 Worldwide property catastrophe reinsurance for select accounts 75.0
Altair Re ACE Apr-13 Worldwide property catastrophe insurance and reinsurance 95.0
Kinesis Lancashire Jul-13 Property, energy, marine, aviation and Lloyd’s 270.0
New Ocean Capital Management XL Jul-13 Collateralized reinsurance and capital markets 30.0
New Point VI Markel Jul-13 Collateralized reinsurance and capital markets 215.0
Blue Capital Re. Holdings Montpelier Nov-13 Property catastrophe 175.0
Alpha Cat 2014 Validus Dec-13 Worldwide property catastrophe reinsurance 160.0
Atlas Reinsurance X SCOR Dec-13 Specific lines 56.0
Silverton Re Aspen Re Dec-13 Whole account property catastrophe 65.0
Eden Re Munich Re Jan-14 Property catastrophe business 63.0
Altair Re II ACE Jan-14 Worldwide property catastrophe insurance and reinsurance 95.0
Harambee Re Argo Jan-14 Property reinsurance Undisclosed
Upsilon RFO RenaissanceRe Jan-14 Worldwide aggregate retrocessional 265.0
Pangaea IX TransRe May-14 Retrocessional Undisclosed
* Additional equity raise for existing vehicle1 Converted at £1.00 = $1.55 as of January 1, 2012. Whole account quota share of the Catlin Syndicate at Lloyd's (Syndicate 2003)2 Net of Validus' investment reduction
ContactPaul SchultzChief Executive Officer, Aon Benfield Securities+1.312.381.5256paul.schultz@aonbenfield.com
Aon Benfield, a division of Aon plc (NYSE: AON), is the world‘s
leading reinsurance intermediary and full-service capital
advisor. We empower our clients to better understand, manage
and transfer risk through innovative solutions and personalized
access to all forms of global reinsurance capital across treaty,
facultative and capital markets. As a trusted advocate, we
deliver local reach to the world‘s markets, an unparalleled
investment in innovative analytics, including catastrophe
management, actuarial and rating agency advisory.
Through our professionals’ expertise and experience, we advise
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results and improve operational effectiveness for their business.
With more than 80 offices in 50 countries, our worldwide
client base has access to the broadest portfolio of integrated
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empower results, please visit aonbenfield.com.
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