Aon Benfield
Insurance-Linked Securities Alternative Markets Find Growth Through Innovation
September 2016
Risk. Reinsurance. Human Resources. Aon Securities Inc. and Aon Securities Limited (collectively, “Aon Securities”) provide insurance and reinsurance clients with a full suite of insurance-linked securities products, including catastrophe bonds, contingent capital, sidecars, collateralized reinsurance, industry loss warranties, and derivative products.
As one of the most experienced investment banking firms in this market, Aon Securities offers expert underwriting and placement of new debt and equity issues, financial and strategic advisory services, as well as a leading secondary trading desk. Aon Securities’ integration with Aon Benfield’s reinsurance operation expands its capability to provide distinctive analytics, modeling, rating agency, and other consultative services.
Aon Benfield Inc., Aon Securities Inc. and Aon Securities Limited are all wholly-owned subsidiaries of Aon plc. Securities advice, products and services described within this report are offered solely through Aon Securities Inc. and/or Aon Securities Limited. Foreword
It is my pleasure to bring to you the ninth edition of Aon Securities’ annual Insurance-Linked Securities (ILS) report. The study aims to offer an authoritative review and analysis of the ILS asset class, and an overview of mergers and acquisitions activity, which represent two key areas of focus for our team.
Along with our quarterly ILS Updates, the report is intended to be an important and useful reference document, both for ILS market participants and those with an active interest in the sector. Unless otherwise stated, its analyses cover the 12-month period ending June 30, 2016, during which time substantial progress was made in the ILS market.
In the period under review, $5.2 billion of catastrophe bond issuance was secured and overall alternative capital continued to grow across ILS products—reaching a new height of $75.1 billion. By June 30, 2016, catastrophe bonds on-risk had reached $22.6 billion, a slight contraction from June 30, 2015. During this period, sponsors continued to enhance coverage on catastrophe bond transactions in a variety of ways, including the incorporation of additional perils and aggregate structures. Earlier in the year, we saw the UK outline proposals to develop an ILS hub in the region that would compete with existing domiciles, such as Bermuda, Cayman Islands, Guernsey, and Ireland. Although draft legislation was slated for the end of this year, the coming months will test the importance of this issue following the UK’s “Brexit” decision to leave the European Union.
The 2016 edition of this annual ILS report, Alternative Markets Find Growth Through Innovation, covers a wide range of topics in the ILS market, including:
§§ Aon Securities’ comprehensive review of the catastrophe bond market and its key drivers;
§§ A review of ILS investor activity;
§§ Our exclusive Aon ILS Indices;
§§ A summary of mergers and acquisitions (re)insurer activity;
§§ An overview of ILS-related markets, including trends in ILW, sidecars, actively managed vehicles, surplus notes, and subordinated debt;
§§ A review of North America, Europe, and Asia Pacific activity;
§§ A dedicated section on the Life and Health sector; and
§§ In-depth discussions with our ILS investor panel
Despite a lower overall catastrophe bond issuance than prior years, capital markets investors accessed risks through additional channels—collateralized reinsurance, sidecars, start-up vehicles, and managing general agencies. This growing capital deployment demonstrates the commitment of the alternative markets to the reinsurance and insurance industries.
We hope you will find this document useful and informative, and if you have any questions relating to the data herein, or any queries regarding any aspect of the ILS sector, please contact me or my colleagues.
Paul Schultz, Chief Executive Officer, Aon Securities Inc. Contents
Aon Securities’ Annual Review of the Catastrophe Bond Market...... 1
ILS Investor Activity...... 8
The Aon ILS Indices...... 11
Mergers and Acquisitions (Re)Insurer Activity...... 13
ILS-Related Markets...... 15
North America Perils...... 19
Europe Perils...... 23
Asia Pacific Perils...... 25
Life and Health Perils...... 28
A Market Discussion with ILS Investors...... 31
Appendix I...... 37
Appendix II...... 43
Appendix III...... 67
Appendix IV...... 71
Contact...... 75 Aon Securities’ Annual Review of the Catastrophe Bond Market
Overview Catastrophe bond issuance in the 12 months ending June 30, Bermuda continued to be the domicile of choice for most 2016 reached $5.2 billion—the lowest for the period since 2011. cedents during the 12 months under review. Fifteen of the The year-over-year reduction of $1.8 billion was largely due 24 new issues utilized the jurisdiction, followed by six in the to the lack of issuance in the first half of 2016, which was down Cayman Islands and three in Ireland, with Gibraltar still seeking over $1.6 billion from the same period in 2015. Despite this to gain more traction with Europe sponsors. Just 26 percent drop in issuance volume, the total outstanding volume was only of the limit offered by new issuances was rated, reflecting reduced by $825 million—mitigated by the longer coverage investors’ ongoing sophistication, and acceptance with the periods witnessed in recent years. The overall lower issuance risks ceded. levels were driven by a number of factors including competition from traditional markets and longer coverage periods, both of which resulted in some cedents renewing capacity less frequently, as well as certain cedents increasing their risk retentions. Despite the lower catastrophe bond issuance, alternative capital continues to grow in the (re)insurance space. Investors found more ways to deploy capacity, such as via sidecars, collateralized reinsurance, and other private arrangements. Collateralized reinsurance, in particular, continues to grow overall market share within cedents’ risk transfer programs.
Figure 1: Catastrophe bond issuance by year, Figure 2: Outstanding and cumulative catastrophe bond 2007 to 2016 (years ending June 30) volume, 2007 to 2016 (years ending June 30)
Property Life and health Property Life and health Cumulative Total issuance issuance outstanding outstanding property cumulative issuance bonds
80,000 10,000 9,400 72,273
70,000 67,083 8,145 8,000 60,102 60,000 6,981 6,665 50,702 6,431 5,914 50,000 6,000 44,037 5,190 37,605 4,736 40,000 4,382 33,223 $ millions
$ millions 28,487 4,000 30,000 26,782 20,867 22,422 23,46722,562 20,000 17,788 16,155 15,123 2,000 1,705 12,911 13,174 13,167 11,504 10,000
0 0 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016
Source: Aon Securities Inc. Source: Aon Securities Inc.
Aon Benfield 1 Key market drivers
Enhanced coverage Loss activity2 Coverage provided by the alternative markets continued Global natural disasters in 2015 combined to cause economic to expand with longer coverage periods and additional losses of $123 billion, an amount 30 percent below the 15-year perils. The average coverage period for catastrophe bonds average of $175 billion. The disasters caused insured losses of outstanding on June 30, 2016 was higher than prior periods at $35 billion—31 percent below the 15-year mean of $51 billion. 3.6 years. A variety of aggregate structures, including annual, This was the fourth consecutive calendar year with declining rolling, and entire risk periods, were also placed at competitive global catastrophe losses since the record-setting year of rates in the alternative markets. For the 12-month period under 2011. However, this trend did not continue into the first half review, approximately 30 percent of transactions—based of 2016, with both overall economic and insured losses above on both the total limit and number of issuances—utilized their 16-year averages and at their highest levels since 2011. aggregate structures. North America, in particular, experienced several billion dollar loss events during the 12-month period under review. This The majority of new issuances, including each of those included severe weather outbreaks in the United States, which for primary cedents, secured indemnity protection while amounted to $12.3 billion of aggregate losses in the first half of reinsurers continued to favor industry index coverage. 2016. In addition, the Fort McMurray wildfires in Canada that Two corporate beneficiaries and the Turkish Catastrophe commenced in May 2016 are estimated to have caused CAD4.67 Insurance Pool (TCIP) secured parametric protection, which billion ($3.63 billion) of insured losses3—the costliest natural provides the benefit of speedier payouts and coverage for disaster in the country’s history. Finally, Hurricane Patricia hard-to-capture lines such as contingent business interruption. made landfall in Mexico in October 2015 and was the strongest ever recorded in the eastern Pacific. The MultiCat Mexico Supply and demand Limited Series 2012-I Class C (MultiCat Mexico 2012-I C) notes Aon Securities estimates the size of the alternative market experienced a partial loss of principal due to Hurricane Patricia increased 10 percent to $75.1 billion1 in the 12-month period which, despite the strength of the storm, caused only relatively ending June 30, 2016. As equity market volatility and negative minor damage by making landfall in a sparsely populated area. interest rates in certain regions persist, the ILS market Despite the uptick in natural catastrophes during this period, represents an attractive investment opportunity for many there was limited impact to the catastrophe bond market. investors. As discussed earlier, demand outstripped supply during the first half of 2016. As a result, catastrophe bond cedents were able to secure enhanced coverage—such as additional perils and aggregate structures—at favorable rates. With fewer opportunities to invest in catastrophe bonds than recent years, investors deployed capital in other products with the collateralized reinsurance segment experience the largest growth. Furthermore, investors are continuing to look at innovative ways to access (re)insurance risks. For example, Nephila Capital Ltd. (Nephila) established a managing general agent and Credit Suisse Asset Management (CSAM) formed an additional rated carrier.
1 Source: Aon Securities Inc. 2 Aon Benfield Impact Forecasting. 2015 Annual Global Climate and Catastrophe Report, Jan. 2016; and Global Catastrophe Recap: First Half of 2016, July 2016. 3 Source: Property Claim Services estimate as of Aug. 16, 2016 and converted at 1 CAD = $0.7777.
2 Insurance-Linked Securities Transaction review
Third quarter 2015 §§ TCIP sponsored its second issuance—Bosphorus Ltd. Series §§ In September 2015, the California Earthquake Authority 2015-1 (Bosphorus 2015-1)—in the third quarter of 2015. The (CEA) utilized the catastrophe bond market for the fifth parametric index transaction provided an additional $100 time since 2011. The latest issuance from Ursa Re Ltd. million in coverage for the disaster fund, until the prior issuance provides the CEA with an additional $250 million in annual of $400 million matured in May 2016. The transaction was one aggregate protection, and brought the total limit provided by of two transactions in the quarter to utilize AAA-rated medium catastrophe bonds to $650 million as of June 30, 2016. term notes from the International Bank for Reconstruction and Development (IBRD) as collateral.
Table 1: Third quarter 2015 catastrophe bond issuance
Beneficiary Issuer Series Class Size (millions) Covered perils Trigger Recovery Collateral
Hannover Rück SE Acorn Re Ltd. Series 2015-1 Class A $300 West coast NA EQ Parametric Occurrence IBRD
Turkish Catastrophe Insurance Pool Bosphorus Ltd. Series 2015-1 Class A $100 Turkey EQ Parametric index Occurrence IBRD
California Earthquake Authority Ursa Re Ltd. Series 2015-1 Class B $250 CAL EQ Indemnity Annual aggregate MMF
Total $650
Source: Aon Securities Inc. Legend CAL — California IBRD — International Bank NA — North America for Reconstruction and EQ — Earthquake Development Notes MMF — US Treasury Money Market Funds
Aon Benfield 3 Fourth quarter 2015 §§ In December 2015, Everest Reinsurance Company (Everest §§ Swiss Reinsurance Company Ltd. (Swiss Re), historically the Re) returned to the catastrophe bond market with its third largest sponsor of catastrophe bonds since market inception, transaction under the Kilimanjaro Re Limited program. The issued its first catastrophe bond transaction since 2013 with Series 2015-1 Class D and E notes provide North America the Vita Capital VI Limited Series 2015-1 (Vita Capital VI) named storm and earthquake per occurrence coverage on an transaction. The $100 million extreme mortality transaction, industry index basis for four years. The $625 million issuance which has a risk period of five years, combined with two prior brought total catastrophe bond capacity secured by Everest life and health transactions placed earlier in 2015 brought life Re to $1.58 billion and ranked the property and casualty and health annual issuance to $610 million—a record level for reinsurer third overall in total outstanding limit as of June 30, this catastrophe bond sector in a single calendar year. 2016—all in just two years of issuance.
Table 2: Fourth quarter 2015 catastrophe bond issuance
Beneficiary Issuer Series Class Size (millions) Covered perils Trigger Recovery Collateral
Passenger Railroad Insurance, US HU (surge Ltd. (National Railroad Passenger PennUnion Re Ltd. Series 2015-1 Class A $275 and wind) Parametric Occurrence MMF Corporation) and EQ
Class D $300 US, CAN, PR Everest Reinsurance Company Kilimanjaro Re Limited Series 2015-1 Industry index Occurrence MMF HU and EQ Class E $325
US HU, EQ, United Services Automobile Residential Reinsurance Series 2015-II Class 3 $125 ST, WS, WF, Indemnity Annual aggregate MMF Association 2015 Limited VE, MI
Münchener Rückversicherungs- US HU and Industry index, Gesellschaft Aktiengesellschaft Queen Street XI Re dac $100 Occurrence MMF AUS CY modeled loss (Munich Re)
AUS, CAN, and Swiss Reinsurance Company Ltd. Vita Capital VI Limited Series 2015-1 Class A $100 Industry index Term aggregate IBRD UK mortality
Class 1 $100 Occurrence National Mutual Insurance Federation Nakama Re Ltd. Series 2015-1 JP EQ Indemnity MMF of Agricultural Cooperatives Rolling term Class 2 $200 aggregate
Total $1,525
Source: Aon Securities Inc. Legend AUS — Australia CY — Cyclone IBRD — International Bank for CAN — Canada EQ — Earthquake Reconstruction and Development Notes JP — Japan HU — Hurricane MMF — US Treasury Money Market Funds PR — Puerto Rico MI — Meteorite Impact UK — United Kingdom ST — Severe Thunderstorm US — United States VE — Volcanic Eruption WF — Wildfire WS — Winter Storm
4 Insurance-Linked Securities First quarter 2016 §§ In the first quarter of 2016, United Services Automobile §§ The end of the first quarter saw the successful close of a pair Association (USAA), an anchor sponsor in the catastrophe of indemnity Japan typhoon transactions. The first, Akibare bond market, issued through Espada Reinsurance Limited Re Ltd. Series 2016-1 (Akibare Re 2016-1), was issued for (Espada Re) instead of its typical Residential Reinsurance the benefit of Mitsui Sumitomo Insurance Co., Ltd. (Mitsui programs. The new program included the addition of “other Sumitomo); the second, Aozora Re Ltd. Series 2016-1 (Aozora perils”—any natural catastrophe event assigned a catastrophe Re 2016-1), was issued for the benefit of Sompo Japan code by Property Claim Services (PCS) not already named in Nipponkoa Insurance Inc. (SJNK). Both transactions found the coverage. This coverage was subsequently included in marketing success, with Akibare Re 2016-1 upsizing by almost USAA’s Residential Reinsurance 2016 Limited transaction in the 15 percent to $200 million and pricing at the lower end of second quarter. Additionally, Espada Re’s coverage is placed initial price guidance at 2.25 percent. This upsized transaction across a broad layer, which has a modeled trigger probability expanded Mitsui Sumitomo’s overall utilization of the capital of 9.65 percent and modeled expected loss of 2.25 percent markets; it replaced the matured $130 million Akibare II Ltd. on a sensitivity basis. Ultimately the transaction closed at the transaction. It was also the cedent’s first indemnity and first upper range of initial price guidance as well as at the bottom aggregate transaction. Similarly, Aozora Re 2016-1 grew by range of size guidance with $50 million in coverage. over 25 percent to reach $220 million—more than double SJNK’s inaugural 2014 issuance. These two issuances likely §§ State Farm Fire and Casualty Company (State Farm) raised benefitted from the early redemption of Kizuna Re II Ltd. $300 million of New Madrid earthquake indemnity coverage. Series 2015-1 on April 1, 2016; many investors looked to these The transaction is State Farm’s fourth consecutive year of transactions to help maintain the diversity of their portfolios. issuance and replaces an expiring 2013 transaction as the insurer maintains its catastrophe bond coverage at $900 million.
Table 3: First quarter 2016 catastrophe bond issuance
Size Beneficiary Issuer Series Class (millions) Covered perils Trigger Recovery Collateral
US, PR HU and US, Industry Annual SCOR Global P&C SE Atlas IX Capital DAC Series 2016-1 Class A $300 EBRD PR, CAN EQ index aggregate
Class A $100 US HU, EU wind and Industry Annual XL Insurance (Bermuda) Ltd Galileo Re Ltd. Series 2016-1 Class B $100 MMF US, CAN EQ index aggregate Class C $100
Class A $140 US medical benefits Annual Aetna Life Insurance Company Vitality Re VII Limited Series 2016 Indemnity MMF ratio aggregate Class B $60
Heritage Property & Casualty Class D-50 $150 Insurance Company and Zephyr Citrus Re Ltd. Series 2016-1 FL, HI HU Indemnity Occurrence MMF Insurance Company, Inc. Class E-50 $100
Nationwide Mutual Insurance US HU, EQ, ST, WS, Caelus Re IV Limited Series 2016-1 Class A $300 Indemnity Occurrence MMF Company WF, VE, MI
United Services Automobile US HU, EQ, ST, WS, Annual Espada Reinsurance Limited Series 2016-I Class 20 $50 Indemnity MMF Association WF, VE, MI, OP aggregate
Class A $75 Safepoint Insurance Company Manatee Re Ltd. Series 2016-1 FL, LA HU Indemnity Occurrence MMF Class C $20
Annual Mitsui Sumitomo Insurance Co., Ltd. Akibare Re Ltd. Series 2016-1 Class A $200 JP TY Indemnity IBRD aggregate
Sompo Japan Nipponkoa Insurance Inc. Aozora Re Ltd. Series 2016-1 Class A $220 JP TY Indemnity Occurrence IBRD
State Farm Fire and Casualty Company Merna Re Ltd. Series 2016-1 Class A $300 New Madrid EQ Indemnity Occurrence MMF
Total $2,215
Source: Aon Securities Inc. Legend CAN — Canada PR — Puerto Rico TY — Typhoon IBRD — International Bank EU — Europe US — United States VE — Volcanic Eruption for Reconstruction and FL — Florida EQ — Earthquake WF — Wildfire Development Notes HI — Hawaii HU — Hurricane WS — Winter Storm MMF — US Treasury Money JP — Japan MI — Meteorite Impact EBRD — European Bank Market Funds LA — Louisiana OP — Other PCS-reported perils for Reconstruction and ST — Severe Thunderstorm Development Notes Aon Benfield 5 Second quarter 2016 §§ First Coast Re Ltd. provides Security First Insurance Company §§ As the second quarter came to a close, Allianz Risk Transfer (Security First) with $75 million of indemnity protection (Bermuda) Limited (ART Bermuda) returned to the against named storms and severe thunderstorms in Florida. catastrophe bond market for the first time since 2008 with The transaction utilizes a cascading structure, common Blue Halo Re Ltd. (Blue Halo Re)—a three-year term aggregate with Florida cedents, allowing the covered layer to lower as cover. The transaction was upsized from its initial target and underlying stated reinsurance is eroded. Security First initially provides $185 million of industry index coverage for named marketed $100 million of coverage to investors, but reduced storms and earthquakes in the United States. Blue Halo Re the offering to $75 million after Everest Re, an equity holder utilized Aon’s CATstream® program—a platform that allows of the company, exercised its right of first refusal and wrote a an expedited process for issuance—and was also the first $25 million line. multi-peril and US-exposed term aggregate catastrophe bond to come to market since 2011. Building on this success, § § Laetere Re Ltd. also provides cascading indemnity protection ART Bermuda subsequently returned to the market in July for to named subsidiaries of United Insurance Holdings a second issuance from Blue Halo Re, which provides $225 Corporation. The three classes of notes provide a total of $100 million of US multi-peril coverage on an annual aggregate million of coverage for losses arising from named storms and basis. earthquakes in peak-exposed regions (excluding California quake). The one-year notes were issued at a discount to par, which is relatively uncommon in the capital markets. The notes provided investors with a wide spectrum of risk with equivalent annual returns ranging from 6.00 to 17.50 percent.
Table 4: Second quarter 2016 catastrophe bond issuance
Size Beneficiary Issuer Series Class (millions) Covered perils Trigger Recovery Collateral
Class 10 $65 US HU, EQ, Residential Reinsurance Annual United Services Automobile Association Series 2016-I Class 11 $75 ST, WS, WF, Indemnity MMF 2016 Limited aggregate VE, MI, OP Class 13 $110
Münchener Rückversicherungs-Gesellschaft US HU and EU Queen Street XII Re dac $190 Industry index Occurrence IBRD Aktiengesellschaft wind
Security First Insurance Company First Coast Re Ltd. Series 2016-1 Class A $75 FL HU, ST Indemnity Occurrence MMF
Class A $30 United Property & Casualty Insurance Company, Family Security Insurance Company, Laetere Re Ltd. Series 2016-1 Class B $40 US HU and EQ Indemnity Occurrence MMF Inc., Interboro Insurance Company Class C $30
Class A $130 Term Allianz Risk Transfer (Bermuda) Limited Blue Halo Re Ltd. Series 2016-1 US HU and EQ Industry index MMF aggregate Class B $55
Total $800
Source: Aon Securities Inc. Legend IBRD — International Bank EU — Europe EQ — Earthquake for Reconstruction and FL — Florida HU — Hurricane Development Notes US — United States MI — Meteorite Impact MMF — US Treasury Money OP — Other PCS-reported perils Market Funds ST — Severe Thunderstorm VE — Volcanic Eruption WF — Wildfire WS — Winter Storm
6 Insurance-Linked Securities Outlook Alternative capital continues to show its commitment to the a permanent source of (re)insurance capacity across market (re)insurance markets. Despite the slowdown in catastrophe cycles. In addition, sponsors that utilized catastrophe bonds for bond issuance during the first half of 2016, investors found risk transfer benefitted from favorable pricing and terms. Aon ways to deploy capital into the sector. This included utilizing Securities expects current pricing trends will continue for the established products, such as collateralized reinsurance and remainder of the year. Catastrophe bond issuance for the second sidecars, as well as innovative ways to access risks. These factors half of 2016 is expected to be similar to recent years, with total demonstrate the willingness of capital markets investors to be issuance for the calendar year closing between $5 to $6 billion.
Figure 3: Catastrophe bond issuance by half-year, 2009 to 2016
January - June July - December 9,000
8,000
7,000 2,325
6,000 3,498 2,175
5,000 2,692
4,000 2,625 $ millions
2,843 3,000 5,902 2,086 4,656 3,973 2,000 3,588
2,650 3,015 1,000 1,385 1,757
0 2009 2010 2011 2012 2013 2014 2015 2016
Source: Aon Securities Inc.
Aon Benfield 7 ILS Investor Activity
Capacity providers4 Figure 4: Investor by category (years ending June 30)
Catastrophe fund Institutional Mutual fund Reinsurer Hedge fund Institutions and dedicated catastrophe funds remained the largest providers of capacity 2% during the 12 months ending June 30, 2016. Combined, the two categories provided 6% 10% 77 percent of the total capacity. Continued 8% softening of rates, however, resulted in the 9% overall capacity from institutions declining by 9% more than one third to 20 percent. Capacity 47% from reinsurers and mutual funds was relatively
57% stable compared to the prior 12-month period. 20% Hedge funds’ market share increased to six 32% percent as some increased their participations in response to the number of high-yielding transactions coming to market.
2016 2015
Source: Aon Securities Inc.
Capital origins5 Figure 5: Investor by country/region (years ending June 30)
US UK Bermuda Switzerland Other The geographic mix of catastrophe bond investors in 2016 varied significantly from 2015. The US continued to be the main source 8% 13% of capital, with a 50 percent market share— regaining the amount lost in 2015 and reaching 34% the highest participation rate in the last decade. 25% The significant year-over-year increase of the US resulted in decreases across the remaining 50% 28% regions. The UK experienced the largest decline in participation, returning to levels closer to its historical average. The Other regions category 12% 11% decreased largely due to lower participation from 5% 14% Germany in 2016, with France and Japan holding at levels consistent with 2015. 2016 2015
Source: Aon Securities Inc.
4 Aon Securities’ analysis of investor category includes only those transactions in which the firm participated. 5 Aon Securities’ analysis of geographic attributes includes only those transactions in which the firm participated and is based on the domicile of the investment manager.
8 Insurance-Linked Securities General market trends Third quarter 2015 Trading was relatively active in the fourth quarter of 2015. Similar to the prior year period, the third quarter of 2015 was According to TRACE, there were 244 trades totaling $277.1 fairly inactive when it came to both primary issuances and million in the period. Overall, there were more sellers than secondary market activity. Three new issuances closed during buyers, which caused secondary pricing reductions. Many the third quarter, all covering earthquake risks. Both Acorn Re investors utilized the secondary markets to make room for Ltd. Series 2015-1 (Acorn Re 2015-1) and Ursa Re Ltd. Series new issues and January 1 renewals. As is typical for the fourth 2015-1 cover the North America west coast, while Bosphorus quarter, a number of investors attempted to sell short-dated 2015-1 covers earthquakes in Turkey. bonds. In prior years, these bonds traded at discount margins ranging from 150-200 basis points; however, in 2015 the With few new issuances in the quarter and expectations for a buying interest during the fourth quarter ranged from 225-275 light pipeline for the remainder of 2015, investors did not see basis points, reflecting a higher cost of holding capital. Strong the need to rebalance portfolios. This led to low activity in the investor interest continued for bonds with higher coupons. secondary market with FINRA’s Trade Reporting and Compliance Engine (TRACE) reporting volume of $176 million across Demand from investors for new issuances in the catastrophe 180 trades.* Investors saw strong gains in the pricing of US bond market remained strong as 2015 came to a close. Investors hurricane-exposed transactions, driven by seasonality, with the secured $1.5 billion during the fourth quarter from the primary hurricane season passing without incident during the quarter. market across six bonds, with the majority of issuances occurring Overall, pricing started to rebound from the first half of the year in December. as selling pressure eased up. Also during the quarter, Markel completed the acquisition In August 2015, Lombard Odier Investment Managers (Lombard of CATCo Investment Management (CATCo). Prior to its Odier) hired an ILS investment team, led by Dr. Gregor acquisition, CATCo raised additional capital for its Reinsurance Gawron. Lombard Odier currently has one actively managed Opportunities Fund. After the merger, the capital invested in the Undertakings for Collective Investment in Transferable Securities fund was redeemed and reinvested into a new Markel CATCo (UCITS) fund that invests in a diversified portfolio of catastrophe Reinsurance Ltd. master fund. The acquisition of CATCo and bonds, targeting maximum diversification across different risk the launch of CSAM’s Humboldt Re Limited (Humboldt Re)— types and various regions. discussed in the ILS-Related Markets chapter of this report— followed the trend of ILS funds seeking new growth strategies. Fourth quarter 2015 On October 23, Hurricane Patricia made landfall in Mexico as First quarter 2016 the strongest landfalling Pacific hurricane on record, and was In the new year, secondary market activity picked up with TRACE expected to cause a loss of principal to MultiCat Mexico 2012-I reporting 311 trades totaling $307.7 million in the first quarter, C notes. The bond was structured to fully recover when the representing an increase in trade count of more than 27 percent barometric pressure reached 920 millibars or below within the compared to the prior quarter. This rise in activity was supported defined covered area; and a 50 percent payout at pressure up to by capital being redeployed following the maturing of 10 932 millibars. Throughout the quarter, investors waited for the catastrophe bonds during the quarter. Peril-specific activity was Best Track Data from the National Hurricane Center (NHC) to further motivated by the upcoming early redemption of Kizuna determine the payout of the notes. Despite several offers from Re II Ltd. Series 2015-1 on April 1, 2016. In anticipation of this sellers looking to exit their position prior to the landfall, there redemption, many investors sought to maintain the diversity of was a lack of interested buyers. The notes traded on October their portfolios by buying into other Japan earthquake bonds on 26 after the event passed at a price of 4.35 cents, with trading the secondary market. As a result, TRACE’s reported trade count levels subsequently increasing to between 20.00 and 21.25 for Japan earthquake catastrophe bonds increased 140 percent cents in the quarter. over the fourth quarter of 2015.
* Note that this is an underestimate of total market volume as trades in bonds rated below investment grade are capped at USD1 million, and foreign trades as well as trades by non-US broker dealers are excluded.
Aon Benfield 9 Toward the end of the quarter there were more secondary Everglades Re 2014-1 and Acorn Re 2015-1 were the most actively buyers than sellers, putting upward pressure on prices. Despite traded bonds during the quarter. In addition, the Vitality Re V the lower supply of catastrophe bonds for sale, many investors Limited Series 2014-1 Class A notes represented around nine were reluctant to increase bids, preferring to hold onto cash in percent of the total reported volume with just six trades. Most of anticipation of new issues. By the end of the quarter there were these trades occurred on a single date. 10 primary issuances totaling $2.2 billion in limit. Everglades Re 2014-1 traded heavily in the last few days of the Catastrophe bonds that reported at least 10 trades included quarter, with prices slightly lower from the all-time high in April. Everglades Re Ltd. Series 2014-1 (Everglades Re 2014-1), Tar The slight reduction in pricing corresponded to the start of Heel Re Ltd. Series 2013-1, Bosphorus 1 Re Ltd. Series 2013-1 the US hurricane season on June 1. By contrast, the west coast (Bosphorus Re 2013-1), and Kilimanjaro Re Limited Series 2015-1 earthquake-exposed Acorn Re 2015-1 continued to function Class D (Kilimanjaro Re 2015-1 D). Everglades Re 2014-1 and as a portfolio diversifier, and achieved steady price increases Bosphorus Re 2013-1 were more heavily traded earlier in the throughout the quarter—rising from 101.25 to 103.07 cents by quarter, and saw downward pressure on pricing until mid- quarter end. Similar price increases were achieved for other quarter, when it became clear to investors that the primary portfolio diversifiers, as strong demand persisted for earthquake pipeline was not going to satisfy demand. As a result, an upward and non-US bonds. Interestingly, secondary pricing for lower- surge in pricing was witnessed in bonds actively traded in the yielding bonds continued to rebound. Following several second half of the quarter, such as Kilimanjaro Re 2015-1 D. high-yielding primary issuances, and with additional capital still available for deployment, demand increased for lower coupon The maturity of the MultiCat Mexico 2012-I C notes was extended bonds in order to further diversify investors’ portfolios. one quarter from the initial maturity date to March 4, 2016, following Hurricane Patricia. The Government of Mexico received Outlook $50 million (i.e. 50 percent recovery) after AIR Worldwide While the primary market is not typically very active during the Corporation (AIR), the calculation agent for the transaction, third quarter, our firm does expect sponsors to return to the delivered its final report using the NHC’s Best Track Data. market in the second half of 2016. Many investors have capital to deploy, which may lead to further spread compression. Demand Second quarter 2016 for bonds that diversify investors’ ILS portfolios by providing Fourteen catastrophe bonds, totaling $2.9 billion of limit, exposure to alternative perils, such as casualty and non-US matured in the second quarter of 2016. This led to continuing perils, will continue to grow. Overall, we believe the market will downward pressure on bond spreads. TRACE reported a continue to be attractive for sponsors that choose to incorporate trade count of 218 trades across $245.2 million in volume. This alternative capital. represented a decrease in trade count and volume from the first quarter of 2016, partially due to a reduction in primary issuance, as only $800 million of limit was placed.
Investors continued to utilize the secondary market to redeploy available capital, resulting in more buyers than sellers. This trend held steady throughout the quarter. The one notable exception to this was Gator Re Ltd. Series 2014-1 (Gator Re 2014-1) when its aggregate retention was partially eroded due to severe weather losses. The loss activity caused the price to decrease significantly to 76 cents in mid-June before partially rebounding to 80.5 cents by the end of the quarter.
10 Insurance-Linked Securities The Aon ILS Indices
The Aon ILS Indices are calculated by Bloomberg using month-end price data provided by Aon Securities.
Aon ILS Indices returned positive results during the 12 months The annual returns for all Aon ILS Indices outperformed the ending June 30, 2016. The All Bond and BB-rated Bond Indices prior year’s annual returns. This was driven by tightening posted gains of 6.84 percent and 5.34 percent, respectively. spreads in the secondary market, particularly for low coupon The BB-rated Bond Index rebounded from the prior 12-month bonds, and the absence of a major catastrophe. The 10- period, which experienced adverse mark-to-market impacts year average annual return of the All Bond Index—8.56 from a declining Euro-USD valuation. The US Hurricane Bond percent—continued the trend of outperforming comparable and US Earthquake Bond indices also yielded positive results benchmarks, and in doing so reinforced the value of a for the year of 7.73 percent and 4.85 percent, respectively. diversified book of pure insurance risks for investors’ The All Bond Index outperformed relative to most comparable portfolios over the long term. fixed income benchmarks, but was slightly lower than the 3-5 Year BB US High Yield Index that returned 6.93 percent during the period under review.
Table 5: Aon ILS Indices6
Index title Return for annual period ended June 30 5-year average annual return 10-year average annual return
Aon ILS Indices 2016 2015 2010-2015 2005-2015
All Bond 6.84% 2.81% 7.26% 8.56% Bloomberg Ticker (AONCILS)
BB-rated Bond 5.34% 0.46% 5.10% 6.98% Bloomberg Ticker (AONCBB)
US Hurricane Bond 7.73% 5.66% 8.72% 9.99% Bloomberg Ticker (AONCUSHU)
US Earthquake Bond 4.85% 2.59% 4.78% 6.06% Bloomberg Ticker (AONCUSEQ)
Benchmarks
3-5 Year US Treasury Notes Index 3.72% 1.24% 2.37% 4.49%
3-5 Year BB Cash Pay US High Yield Index 6.93% 2.75% 6.05% 7.10%
S&P 500 Index 2.69% 0.20% 9.73% 5.16%
ABS 3-5 Year, Fixed Rate Index 3.35% 1.71% 3.45% 3.89%
CMBS 3-5 Year, Fixed Rate Index 4.03% 1.48% 4.77% 6.86%
Source: Aon Securities, Bloomberg
6 The 3-5 Year US Treasury Note Index is calculated by Bloomberg and simulates the performance of US Treasury notes with maturities ranging from three to five years. The 3-5 Year BB Cash Pay US High Yield Index is calculated by Bank of America Merrill Lynch (BAML) and tracks the performance of US dollar denominated corporate bonds with a remaining term to final maturity ranging from three to five years and are rated BB1 through BB3. Qualifying securities must have a rating of BB1 through BB3, a remaining term to final maturity ranging from three to five years, fixed coupon schedule and a minimum amount outstanding of $100 million. Fixed-to-floating rate securities are included provided they are callable within the fixed rate period and are at least one year from the last call prior to the date the bond transactions from a fixed to a floating rate security. The S&P 500 Index is Standard & Poor’s broad-based equity index representing the performance of a broad sample of 500 leading companies in leading industries. The S&P 500 Index represents price performance only, and does not include dividend reinvestments or advisory and trading costs. The ABS 3-5 Year, Fixed Rate Index is calculated by BAML and tracks the performance of US dollar denominated investment grade fixed rate asset backed securities publicly issued in the US domestic market with terms ranging from three to five years. Qualifying securities must have an investment grade rating, a fixed rate coupon, at least one year remaining term to final stated maturity, a fixed coupon schedule and an original deal size for the collateral group of at least $250 million. The CMBS 3-5 Year, Fixed Rate Index is calculated by BAML and tracks the performance of US dollar denominated investment grade fixed rate commercial mortgage backed securities publicly issued in the US domestic market with terms ranging from three to five years. Qualifying securities must have an investment grade rating, at least one year remaining term to final maturity, a fixed coupon schedule and an original deal size for the collateral group of at least $250 million. The performance of an index will vary based on the characteristics of, and risks inherent in, each of the various securities that comprise the index. As such, the relative performance of an index is likely to vary, often substantially, over time. Investors cannot invest directly in indices. While the information in this document has been compiled from sources believed to be reliable, Aon Securities has made no attempts to verify the information or sources. This information is made available “as is” and Aon Securities makes no representation or warranty as to the accuracy, completeness, timeliness or sufficiency of such information, and as such the information should not be relied upon in making any business, investment or other decisions. Aon Securities undertakes no obligation to update or revise the information based on changes, new developments or otherwise, nor any obligation to correct any errors or inaccuracies in the information. Past performance is no guarantee of future results. This document is not and shall not be construed as (i) an offer to sell or a solicitation of an offer to buy any security or any other financial product or asset, or (ii) a statement of fact, advice or opinion by Aon Securities.
Aon Benfield 11 Equity markets experienced a volatile period during the 12 months ending June 30, 2016. Concerns around the slow-down in growth from China, geo-political turmoil in the Middle East and disappointing US economic data resulted in US equity markets experiencing the worst start to a year on record. Meanwhile, fixed income markets tightened significantly during the period under review. The higher returns were driven by surging bond prices as investors fled to the safety of government debt.
Figure 6: Historical performance of Figure 7: Aon All Bond index versus Aon ILS Indices financial benchmarks
Aon ILS US HU Index Aon ILS Index Aon All Bond ILS Index 3-5 Year BB Cash Pay US High Yield Index Aon ILS BB Index Aon ILS US EQ Index ABS 3-5 Year, Fixed Rate Index CMBS 3-5 Year, Fixed Rate Index S&P 500 Index 3-5 Year US Treasury Notes Index
180% 140%
160% 120%
140% 100% 80% 120% 60% 100% 40% 80% 20% 60% 0% 40% -20%
20% -40%
0% -60% June 2006June 2007June 2008June 2009June 2010June 2011June 2012June 2013June 2014June 2015June 2016 June 2006June 2007June 2008June 2009June 2010June 2011June 2012June 2013June 2014June 2015June 2016
Source: Aon Securities Inc., Bloomberg. Source: Aon Securities Inc., Bloomberg.
12 Insurance-Linked Securities Mergers and Acquisitions (Re)insurer Activity
Although not as strong as the comparable period last year, a significant amount of M&A activity occurred in the global (re)insurance space during the six months ending June 30, 2016, across non-life, life, and health companies. According to S&P Capital IQ, the global insurance sector announced M&A deal volume through the first six months of 2016 totaling $9.1 billion across 419 deals, compared to $41.2 billion across 454 deals for the same period in 2015—a deal value decrease of 78 percent and a deal volume decrease of 8 percent.
Table 6 below highlights selected recent activity in the (re)insurance space.
Table 6: Select (re)insurance M&A activity
Price Acquirer Target Rationale Timing (millions)
BB&T Corp. CGSC North America Holdings CGSC, which includes wholesale broker Swett & Crawford, enhances BB&T’s insurance February 23, 2016 $500.0 Corp. business and diversifies its product stream. CGSC said it would use the proceeds from the sale to lower or eliminate corporate debt.
Hartford Fire Northern Homelands Co. Northern Homelands, the holding company for Maxum Specialty Insurance Group, adds March 17, 2016 $170.0 Insurance Co. E&S lines capabilities and increased distribution capacity to Hartford’s small commercial business.
AmTrust Financial ANV Holdings BV The ANV acquisition allows AmTrust to boost its existing Lloyd’s operations and presence. April 19, 2016 $218.7 Services, Inc.
Fujian Thai Hot Dah Sing Life Assurance The sale of the businesses is part of Dah Sing Financial Group’s strategic initiatives announced June 2, 2016 $1,400.0 Investment Co. Company Ltd. and Dah Sing earlier in the year to focus on its banking operations while divesting non-core assets. Insurance Company (1976) Ltd. The businesses will maintain a distribution partnership with Dah Sing Financial Group while operating as part of the Fujian Thai Hot Investment portfolio.
Allianz SE Zurich Assurances Maroc SA Zurich Assurance Maroc is the seventh largest P&C company in Morocco with over June 17, 2016 $274.5 600,000 customers. Allianz perceives Africa as a future growth market, and sees Morocco as a large opportunity to grow its business in the region.
National General Elara Holdings, Inc. Elara Holdings, the holding company of Direct General Corp., allows National General June 24, 2016 $165.0 Holdings Corp. to grow its personal lines portfolio, boost its direct marketing abilities and expand its product distribution channel.
Source: Various company press releases.
9 Source: Bloomberg
Aon Benfield 13 While the year-over-year volume of transactions is relatively Low interest rates, excess capital, and fierce competition similar, the average deal size decreased meaningfully as many from new alternative capital, among other factors, have made of the most likely acquirers were focused on the integration organic growth more difficult to achieve for (re)insurers. This of previous transactions. M&A conditions still remain ripe environment is driving acquirers to become more active in for deals, as long-term trends towards consolidation in utilizing existing capital. Even a rise in interest rates is not the insurance and reinsurance industries continue. M&A expected to slow M&A activity, as the need for improved activity has been driven by acquirers’ desire to expand (i) capital utilization and operational efficiencies will continue geographically, (ii) into new products or distribution channels to stimulate buyers’ interest. In addition, rising interest rates (such as fintech trends, as digital offerings become more should improve insurance companies’ investment returns and prevalent), and (iii) to achieve scale and strengthen client overall profitability, which could make these companies more relationships amid a challenging environment for organic attractive to potential buyers. growth. (Re)insurance pricing remains tepid and smaller players may struggle to remain profitable under increased As summarized in the Aon Securities Weekly Public Market capital and technology investment requirements, becoming Recap, most global reinsurers’ and insurers’ stock prices targets for buyers looking to acquire books of business to build and valuation multiples have decreased, on average, by scale. Additionally, entrants such as asset managers, hedge approximately 20 percent from their 52-week highs. The funds, and foreign buyers (especially from Asia) searching for Florida Specialty, Financial/Mortgage Guaranty, and Western investment, and/or diversification in geography and products, European Large Cap sectors’ stock performance has decreased continue to assess opportunities in the sector, further significantly, down approximately 35 percent from their 52- providing increased competition in M&A activity. week highs, while the Personal Lines and Specialty sectors’ stock performance has been strong relative to their peers, Another avenue of potential M&A activity involves ILS funds. trading just below 52-week highs. As a result of the hunt for scale and relevance in the global reinsurance industry, companies are increasingly examining Over the near term, Aon Securities expects M&A activity to the possibility of acquiring ILS managers. One such example, continue at high levels. While the Brexit decision will affect which closed in late 2015, was Markel’s $200 million the (re)insurance environment, the total impact of the UK’s acquisition of CATCo, a leading reinsurance- and retrocessional decision to leave the European Union (EU) remains unclear. reinsurance-linked investment and fund manager with $2.5 Regardless of the ultimate outcome, (re)insurers will continue billion of assets under management. to seek to satisfy their strategic, diversification, and asset- gathering objectives through acquisitions.
14 Insurance-Linked Securities ILS-Related Markets
Total capital deployed by the alternative markets grew to $75.1 Figure 8: Alternative market development billion by June 30, 2016—an increase of 10 percent from the Catastrophe bonds Sidecar ILW Collateralized re and others 80 prior year. As shown in Figure 9, alternative capital markets 75 represented 13 percent of the global reinsurer capital at June 72 70 30, 2016. 64 60
Quota share sidecars 50 50 Five quota share sidecar transactions incepted at January 1, 44 2016, and all were renewals from 2015. A total of $1.1 billion 40
in limit was secured for the four sidecars that disclosed sizes $ billions and each of the four sidecars increased in size between 10 30 28 24 22 22 and 47 percent from the prior year. Silverton Re Ltd. returned 19 20 for the fourth consecutive year, securing $125 million for the
Series 2016-1 issuance. The Aspen Bermuda Limited sidecar 10 expanded by $40 million compared to the 2015 issuance. Hannover Rück SE’s (Hannover Re) K-Cession and Münchener 0 2007 2008 2009 2010 2011 2012 2013 2014 2015 H12016 Rückversicherungs-Gesellschaft Aktiengesellschaft’s (Munich Source: Aon Securities Inc. Re) Eden Re II Ltd. sidecars each expanded around 25 percent from the prior year, upsizing by $100 million and $70 million, Figure 9: Global reinsurer capital respectively. The expansion of these quota share sidecars 800 Traditional capital Alternative capital Global reinsurer capital demonstrates the growing importance of alternative capital for certain sponsors. 700 6% -2% 4% 7% 575 565 585 In addition, private quota share reinsurance arrangements 600 12% -3% 540 continue to be utilized by a number of cedents. 18% 505 500 470 -17% 18% 455 410 400 400 340 $ billions 300
200 388 321 378 447 428 461 490 511 493 510
100
72 75 22 19 22 24 28 44 50 64 0 2007 2008 2009 2010 2011 2012 2013 2014 2015 H12016
Source: Individuals company reports, Aon Benfield Analytics, Aon Securities Inc.
Table 7: Quota share sidecars launched during 12 months to June 30, 2016
Sidecar Inception date (Re)insurer Size (millions) Percent increase in size from 2015
Silverton Re Ltd. Series 2016-1 Jan-16 Aspen Bermuda Limited $125.0 47%
Eden Re II Ltd. Series 2016-1 Jan-16 Münchener Rückversicherungs-Gesellschaft Aktiengesellschaft $360.0 24%
Altair Re IV Ltd. Jan-16 ACE Tempest Re (now part of Chubb) undisclosed -
K-Cession Jan-16 Hannover Rück SE $500.0 25%
Versutus Ltd. Series 2016 Jan-16 Brit plc $82.5 10%
Total $1,067.5
Source: Various company filings and press releases.
Aon Benfield 15 Actively managed sidecars and start-up By July 2016, AXIS Capital Holdings Limited (AXIS) and reinsurance vehicles7 The Blackstone Group L.P. (Blackstone) had completed the capital raise for Harrington Re Ltd. (Harrington Re)—raising Over the past few years, the number of reinsurers accessing approximately $550 million of equity and $50 million of debt. alternative capital through actively managed vehicles has grown Harrington Re received an “A-” financial strength rating from substantially. There were significant changes in the sizes of actively A.M. Best, demonstrating the rating agency’s willingness to managed sidecars in the past calendar year. Mt. Logan Re, Ltd. rate such start-ups despite taking a tougher stance than several (Mt. Logan), Kiskadee Investment Managers Ltd. (Kiskadee), and years ago. Harrington Re is expected to write a multi-line AlphaCat Managers (AlphaCat) each grew their assets under reinsurance portfolio, focusing on liability and professional lines management during this time. As of January 1, 2016, both Mt. while limiting catastrophe exposure. The company will write Logan and Kiskadee had surpassed $800 million in capital; while external business as well as risks sourced from AXIS. According AlphaCat, which began managing third party capital in 2011, saw to Jay Nichols, CEO of AXIS Reinsurance, “Harrington Re is an its assets under management reach $2.4 billion. integral part of our larger alternative capital strategy, which is In contrast, RenaissanceRe Holdings Ltd. (RenRe) reduced the designed to match the right risk with the right capital.” He also size from last year of its Upsilon RFO Re Ltd. (Upsilon RFO) noted, “The Company will expand the already broad product vehicle for risks incepting at January 1 this year. Capital from offering and capacity of AXIS across medium- to long-tail lines third parties and RenRe totaled $87.8 million, down $108.4 of business to better serve our clients and distribution partners. million compared to January 1, 2015, and even further reduced We look forward to creating value and innovating at the from the 2014 underwriting period. The reduced size of Upsilon intersection of risk financing and risk transfer.” RFO, which provides retrocessional property catastrophe and Meanwhile Watford Specialty Insurance Co., a unit of Watford Re worldwide aggregate collateralized capacity, likely reflects Ltd. (Watford Re), announced that it had acquired Professionals RenRe’s view of current market conditions for those lines. Direct Insurance Co in August 2016. The acquisition has been In October 2015, CSAM launched another Guernsey-domiciled renamed Watford Insurance Company and progresses Watford reinsurer—Humboldt Re Limited (Humboldt Re). The reinsurer Re’s strategy of expanding in the US, allowing the company to was launched with CHF500 million in capital and received access admitted property and casualty insurance market across an “A-” rating from A.M. Best. Humboldt Re is supported by all 50 states. funds from CSAM’s investors and its conservative investment A start-up venture from Matthew Fairfield, the founder of ANV, strategy will focus on a high liquid fixed income paper. was also announced in August 2016. Exin Re AG (Exin Re), which Humboldt Re is targeting to write approximately CHF140 is domiciled in Zurich, is in the process of finalizing its license million of gross written premiums focused on globally from the local regulator. The start-up, which is seeking a rating diversified property catastrophe exposures. of “A-” from A.M. Best, is planning to launch in September The trend of reinsurers seeking to complement underwriting ahead of the January 1 renewal season. Exin Re is understood results with an asset management strategy continued in the to have raised $1 billion of capital, of which $300 million is ear- period under review, albeit at a slower pace that was not marked for future growth. without challenges. In December 2015, Enstar Group Limited However, challenges continue to plague some initiatives in the (Enstar) and UBS O’Connor LLC announced their partnership current underwriting, economic, and regulatory environment. forming Aligned Re Ltd. (Aligned Re). Business is expected to On the underwriting side, recent start-up reinsurers have include quota share contracts with subsidiaries of StarStone typically produced higher loss and expense ratios in an effort to Insurance Holdings Limited, part of Enstar, and loss portfolio achieve top line growth. Along with poor investment returns, transfers from certain subsidiaries of Enstar in run-off. Aligned Re this has resulted in start-up reinsurers performing significantly is targeting capital from high net worth clients; the startup has worse as a group compared to traditional reinsurers. In January $220 million of capital pledged by Enstar, Stone Point Capital 2016, it was announced that PaCRe Ltd. (PaCRe) had stopped LLC, and its management team.
7 Source: Various company filings and press releases.
16 Insurance-Linked Securities writing new policies and was winding down. Several months coastal commercial risks, with XL Catlin providing capacity using earlier, the company had requested A.M. Best withdraw its a combination of collateralized and traditional reinsurance. In rating after first being placed on negative review by the agency. addition, two fronting providers, Spinnaker Insurance Co. and PaCRe was formed in 2012 with $500 million of capital during Clear Blue Financial Holdings LLC, were launched in the fourth a time when margins on catastrophe business were more quarter of 2015. Each provider received a rating of “A-” from attractive than the current market. Validus Holdings Ltd. was A.M. Best. The firms will allow alternative capital to expand its tasked with the underwriting, and Paulson & Co. with managing access to risk by providing cedents with rated paper, similar to the assets. The company, which had no independent insurance the services provided by State National Companies to Nephila. employees, drew attention from US officials for exploiting a “tax loophole.” This subsequently led to the Internal Revenue Service There has also been a growing focus by several managers on proposing rules to limit the exemption. Further, in May 2016, weather derivatives. Transactions in this space typically use XL Catlin announced that Alloy Re Ltd. (Alloy Re) ultimately rainfall, temperature, and wind speed as recovery parameters. would not proceed after the capital raise fell short of its $600 Contracts can be structured in either reinsurance or derivative million target. Alloy Re was formed in September 2015 by XL from. One of the key reasons why ILS investors are interested Catlin, which would assume all its business, and Oaktree Capital in this space is their ability to analyze a long history of Management, which would manage the assets. However, since measurements and trends to carefully evaluate investment the announcement not to proceed, XL Catlin has affirmed opportunities. Weather derivatives can provide the right that alternative capital remains an important strategy for the hedging tool not only for electricity generators but also for company and it continues to evaluate potential options. other participants along the value chain. For example, Nephila (via ART Bermuda) entered into a 10-year swap with Capital Collateralized reinsurance market trends8 Power’s Bloom Wind Farm facility in Kansas. Under the contract, Collateralized reinsurance was again the largest growing the wind farm facility will receive fixed annual payments in lieu component of alternative capital during the 12-month period of the floating energy price over a 10-year term. The 10-year under review. As a continuation of last year’s trends, a large part agreement will secure long-term predictable revenues and of this growth came from reinsurer-backed ventures and interval mitigate power generation volume uncertainty related to wind mutual funds, which follow less-liquid strategies. resources for the 178-megawatt wind farm. Developing an efficient market to hedge these types of risks will help support In addition, alternative capital providers continue broadening further growth in the renewable energy industry. their access to risk through managing general agency (MGA) partnerships. In 2015, Nephila established its own MGA— Finally, our firm sees further potential growth in private Velocity Risk Underwriters—having previously written insurance transactions and illiquid ILS funds in the future due to regulatory through other MGAs, such as Arrowhead General Insurance changes introduced in Luxembourg. For UCITS funds, Agency. In 2016, Velocity Risk Underwriters participated in two Luxembourg regulators want to limit the concentration from a separate take-outs of wind policies from Florida Citizens. As single peril to 35 percent. This is likely to challenge the growth part of the take-outs, the MGA utilized rated carrier National of some UCITS funds, given the catastrophe bond market’s high Specialty Insurance Company, part of State National Companies exposure to US hurricane risk. with whom Nephila has an established fronting relationship. The risks were then reinsured through a quota share arrangement with Ananke Re, Ltd., Nephila’s affiliate. Through Velocity Risk Underwriters, Nephila is next planning to expand into multi-peril homeowners’ insurance in the US. Meanwhile in February 2016, XL Catlin announced a new partnership with Ventus Risk Management, a newly formed MGA that will provide commercial property insurance for small and mid-sized enterprises. Ventus Risk Management will be initially targeting
8 Source: Various company filings and press releases.
Aon Benfield 17 Industry loss warranty (ILW) Capacity continues to flow into the ILW sector from existing renewals, with aggregate and second event structures in high and new markets; additional capacity is entering from both demand. Rates at the both the January 1 and June 1 renewals ILS and traditional sources. As a result, transaction volume were generally down 2.5 to 5.0 percent; however, rates were increased at January 1 and June 1 renewals in 2016 compared flat for reinsurers seeking materially more in limit. In addition, to the prior year. Total ILW market trading volume for the 12 a number of first-time buyers entered the market from the ILS months ending June 30, 2016 was estimated at $4.25 billion, sector, as portfolio managers sought to hedge risk while rates across both collateralized and traditional forms. The volume of remained under pressure. ILWs covering US risk increased year-over-year at the January 1
Figure 10: ILW trade volume and US ANP price movement
Total US trade volume $80 billion ANP $50 billion ANP $30 billion ANP
1,500 150
1,200 120 Price movementPrice by quarter
900 90
60
$ millions 600 Total US trade volume US trade Total 300 30
0 0 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 2012 2012 2013 2013 2013 2013 2014 2014 2014 2014 2015 2015 2015 2015 2016 2016
Legend Source: The Global Re Specialty Team of Aon UK Limited. ANP — All Natural Perils
18 Insurance-Linked Securities North America Perils
North America perils again dominated catastrophe bond During the 12-months under review, one catastrophe bond was issuance during the 12 months to June 30, 2016, with 18 of 24 triggered. On October 23, Hurricane Patricia made landfall near transactions exposed to US property risk. On a notional basis, Cuixmala in the Jalisco state of southwest Mexico as a Category this represented 83 percent of the period’s issuance, compared 5 on the Saffir-Simpson Scale. Hurricane Patricia became to 86 percent in the prior year period. This trend is aligned the strongest tropical cyclone ever recorded in the Western with global exposure to insured property risk, as the US leads Hemisphere, when its maximum sustained wind speeds reached the top 50 global P&C markets in terms of both P&C gross 200 mph and central pressure decreased to 879 millibars. written premium (GWP) and GWP to GDP ratio9. However, Initial reports from the NHC showed the storm path and North America’s share of property catastrophe risk ceded to pressure could result in a loss to the MultiCat Mexico 2012-I the catastrophe bond market remains overweight based on C notes. Once the NHC’s Best Track Data was available, it was global P&C GWP of 45 percent. This is, in part, driven by lag determined that the Mexican government would receive $50 in international property catastrophe risk markets to adopt million in recoveries—a 50 percent loss of principal to investors. alternative capital risk transfer strategies, particularly in Asia Furthermore, investors remain concerned that severe weather (ex-Japan) and Latin America, where competing with the cost of activity in the US impacting the cedent in the current calendar traditional reinsurance may be challenging. year has eroded a significant amount of Gator Re 2014-1’s For the 12-month period, both repeat and first-time cedents retention. The transaction, which came close to a loss in 2015, utilized the capital markets for risk transfer. Market conditions includes no event deductibles—all severe weather losses in the appealed to a variety of cedents ranging from regional insurance covered area to American Strategic Insurance Group are included companies to global reinsurers, as well as corporations. Cedents at full value. By July 2016, the retention was almost 70 percent sought coverage for a variety of North America perils including eroded. Gator Re 2014-1 is in its final year of coverage, with the named storm, storm surge, earthquake, severe thunderstorm, risk period ending December 31 of this year. winter storm, wild fire, volcanic eruption, and meteorite impact.
From a pricing perspective, lower rate-on-line North America catastrophe bonds experienced an uptick in spread towards the end of 2015 in the secondary market. In contrast, spreads for higher expected loss deals softened as investors seized the opportunity to boost portfolio returns.
9 Aon Benfield. Insurance Risk Study: Global Insurance Market Opportunities, 10th edition, 2015.
Aon Benfield 19 As shown in table 8, six US property transactions closed in the centerpiece of the network’s passenger rail transportation the second half of 2015, with the majority benefitting repeat system, Amtrak’s Northeast Corridor. PennUnion Re Ltd. was sponsors. The National Railroad Passenger Corporation (Amtrak), the second transaction to benefit a non-insurance corporation through its subsidiary Passenger Railroad Insurance, Ltd., secured through use of a parametric trigger in the second half of 2015. $275 million of parametric index cover for storm surge and It followed Acorn Re 2015-1, a transaction covering west coast wind resulting from named storms, as well as earthquakes. The earthquake risk and fronted through Hannover Re on behalf of recovery mechanism is based on data collected from calculation Oak Tree Assurance, Ltd., a Vermont captive insurance company locations within regions of the New York City metropolitan area owned by the Kaiser Foundation Health Plan. and Delaware for storm surge; and select northeast and Mid- Atlantic states for earthquake and wind. This footprint aligns with
Table 8: Second half of 2015 property catastrophe bonds covering US perils
Initial Initial Size expected interest Beneficiary Issuer Series Class (millions) Covered perils Trigger Rating loss* spread
NA west coast Hannover Rück SE Acorn Re Ltd. Series 2015-1 Class A $300 Parametric BB (Fitch) 0.74% 3.40% EQ
California Earthquake Authority Ursa Re Ltd. Series 2015-1 Class B $250 CAL EQ Indemnity Not rated 2.62% 5.00%
Passenger Railroad Insurance, US HU (surge Ltd. (National Railroad Passenger PennUnion Re Ltd. Series 2015-1 Class A $275 and wind) Parametric BB- (S&P) 2.05% 4.50% Corporation) and EQ
Class D $300 5.25% 9.25% US, CAN, PR Industry Everest Reinsurance Company Kilimanjaro Re Limited Series 2015-1 Not rated HU and EQ index Class E $325 3.00% 6.75%
US HU, EQ, Residential Reinsurance United Services Automobile Association Series 2015-II Class 3 $125 ST, WS, WF, Indemnity Not rated 3.65% 7.25% 2015 Limited VE, MI
Industry Münchener Rückversicherungs- US HU and index, Queen Street XI Re dac $100 Not rated 2.83% 6.15% Gesellschaft Aktiengesellschaft AUS CY modeled loss
* Initial modeled annual expected loss; sensitivity cases if US hurricane is a covered peril. Legend AUS — Australia EQ — Earthquake CAL — California CY — Cyclone CAN — Canada HU — Hurricane NA — North America MI — Meterorite Impact PR — Puerto Rico ST — Severe Thunderstorm US — United States VE — Volcanic Eruption WF — Wildfire WS — Winter Storm
20 Insurance-Linked Securities Twelve US property transactions—as shown in Table 9—closed in the first half of 2016, including two that provided coverage for new market entrants.
Table 9: First half of 2016 property catastrophe bonds covering US perils
Initial Initial Size Covered expected interest Beneficiary Issuer Series Class (millions) perils Trigger Rating loss* spread
US, PR, HU SCOR Global P&C SE Atlas IX Capital DAC Series 2016-1 Class A $300 and US, PR, Industry index Not rated 3.29% 7.50% CAN EQ
Class A $100 Not rated 9.52% 13.50% US HU, EU XL Insurance (Bermuda) Ltd Galileo Re Ltd. Series 2016-1 Class B $100 wind and US, Industry index Not rated 4.96% 9.00% CAN EQ Class C $100 Not rated 3.09% 7.0 0%
Class Heritage Property & Casualty Series 2016-1 $150 Indemnity Not rated 3.31% 7.50% D-50 Insurance Company and Zephyr Citrus Re Ltd. FL, HI HU Insurance Company, Inc. Class E-50 $100 Not rated 6.29% 10.50%
US HU, EQ, Nationwide Mutual Insurance Caelus Re IV Limited Series 2016-1 Class A $300 ST, WS, WF, Indemnity Not rated 1.94% 5.50% Company VE, MI
US HU, EQ, ST, United Services Automobile Espada Reinsurance Series 2016-I Class 20 $50 WS, WF, VE, Indemnity Not rated 2.25% 5.75% Association Limited MI, OP
Class A $75 Not rated 1.15% 5.25% Safepoint Insurance Company Manatee Re Ltd. Series 2016-1 FL, LA HU Indemnity Class C $20 Not rated 11.41% 16.25%
State Farm Fire and Casualty New Madrid Merna Re Ltd. Series 2016-1 Class A $300 Indemnity Not rated 0.40% 2.25% Company EQ
Class 10 $65 Not rated 8.80% 11.50% US HU, EQ, ST, United Services Automobile Residential Reinsurance Series 2016-1 WS, WF, VE, Indemnity Association 2016 Limited Class 11 $75 Not rated 2.47% 4.75% MI, OP Class 13 $110 BB- (S&P) 0.73% 3.25%
Münchener Rückversicherungs- Queen Street XII US HU and $190 Industry index Not rated 2.90% 5.25% Gesellschaft Aktiengesellschaft Re dac EU wind
Security First Insurance Company First Coast Re Ltd. Series 2016-1 Class A $75 FL HU, ST Indemnity Not rated 1.31% 4.00%
Class A $30 Not rated 2.76% 6.00% United Property & Casualty Insurance Co., Family Security Laetere Re Ltd.** Series 2016-1 Class B $40 US HU and EQ Indemnity Not rated 5.98% 9.50% Insurance, Inc., Interboro Insurance Company Class C $30 Not rated 13.18% 17.50%
Class A $130 Not rated 8.56% 14.00% Allianz Risk Transfer (Bermuda) Blue Halo Re Ltd.*** Series 2016-1 US HU and EQ Industry index Class B $55 Not rated 13.19% 19.75%
Source: Aon Securities Inc. Legend FL — Florida CY — Cyclone * Initial modeled annual expected loss; sensitivity cases if US hurricane is a covered peril. HI — Hawaii EQ — Earthquake ** Laetere Re Ltd. notes were issued at a discount to par. Equivalent interest spreads are shown. LA — Louisiana HU — Hurricane *** Blue Halo Re Ltd. notes utilize a term aggregate structure. Expected losses shown are annualized. PR — Puerto Rico MI — Meteorite Impact US — United States OP — Other PCS-reported perils ST — Severe Thunderstorm VE — Volcanic Eruption WF — Wildfire WS — Winter Storm
Aon Benfield 21 In January 2016, XL Insurance (Bermuda) Ltd returned to Model updates the capital markets with a third issuance from the Galileo Re In July 2015, AIR released new winter storm and tropical Ltd. program. The Series 2016-1 notes provide excess of loss cyclone models for Canada. The newly modeled perils coverage for US named storms, Europe windstorms as well as followed the release of AIR’s Canada earthquake model in earthquakes in the US and Canada. The transaction provides the 2014, as the modeling firm expanded capabilities in the cedent with $300 million of annual aggregate protection on an region. Additionally, components of AIR’s Canada severe industry loss basis and includes three classes of notes, providing thunderstorm model were updated for potential losses investors with a range of relatively high interest spreads incurred by tornadoes, hail, and straight-line winds, as well as between 7.00 and 13.50 percent. updated engineering assumptions for large, complex industrial facilities. A number of catastrophe bonds have already utilized Nationwide Mutual Insurance Company (Nationwide Mutual) the new Canada models to expand coverage. returned to the catastrophe bond market in February with Caelus Re IV Limited (Caelus Re IV) and secured coverage In June 2016, Risk Management Solutions, Inc. (RMS) released enhancements since its last issuance in 2013. The transaction updates to its US flood and terrorism models. Updates to the was upsized by 33 percent and priced at the low-end of flood model include the implementation of new high-resolution initial price guidance. Caelus Re IV provides $300 million flood hazard data and estimates of flood extent across multiple of collateralized reinsurance protection on an indemnity return periods, offering both defended and undefended views basis for four years for named storms, earthquakes, severe of flood damages. thunderstorms, winter storms, wildfires, volcanic eruptions, and meteorite impacts in the United States. The latter five perils CoreLogic, Inc. also released updated catastrophe risk models are all new additions to Nationwide Mutual’s catastrophe bond in June 2016 for US earthquake, flood, and hurricane perils. coverage, which totaled $620 million as of June 30, 2016. Improvements to riverine and flash flood risk components are also featured in the update. The hurricane model has Florida cedents provided four of the new catastrophe bond been updated with higher-resolution storm surge modeling issuances during the first half of 2016. Most expanded the capabilities and improved accuracy in estimating damages from coverage to encompass other exposure regions, including Citrus inland storm surges. Re Ltd.’s latest offering. The Series 2016-1 notes protect against named storms in both Florida and Hawaii; providing coverage for Heritage Property and Casualty Insurance Company as well as Honolulu-based Zephyr Insurance Company. In the second quarter, two new such cedents secured coverage from the capital markets—Security First, and subsidiaries of United Insurance Holdings in Florida, Hawaii, and New York.
10 Press release. “AIR Worldwide Expands Commitment to Canada Market With release of New Models,” July 14, 2015. 11 Press release. “RMS Releases Updated Views of Risk for Terrorism, Europe Windstorm Clustering and Releases New Marine Cargo & Specie Model and US Flood Hazard Data,” June 22, 2016. 12 Press release. “CoreLogic Expands Natural Catastrophe Management Solution with Addition of Probabilistic Flood Model,” June 26, 2016.
22 Insurance-Linked Securities Europe Perils
Catastrophe bond issuance in Europe was light in the 12-month Operational risk period ending June 30, 2016. In addition to several property The first operational risk securitization closed in May 2016 catastrophe bonds with Europe exposures, one extreme for CHF220 million. The transaction—Operational Re Ltd.— mortality bond provided coverage for UK risks. During this provides coverage for the benefit of Credit Suisse AG period, traditional reinsurance markets continued to soften, (Credit Suisse) through the cession of risk from an operational with top layer protection for many primary insurers’ programs risk policy underwritten by Zurich Insurance Company. falling below 2.00 percent—lower than minimum pricing The 5-year coverage allows Credit Suisse to reduce its observed in recent catastrophe bond transactions. As a result, it regulatory capital requirements. is not surprising that the transactions marketed were sponsored by reinsurers and a disaster fund, not primary insurers. The transaction is split between two class of notes, each totaling CHF110 million. The interest spreads are 4.50 and 5.50 percent TCIP sponsored its second catastrophe bond in August 2015. for the senior and junior classes of notes, respectively. Examples Bosphorus 2015-1 provides the TCIP with an additional of operational risks ceded include accounting errors, business $100 million in coverage for earthquakes in Turkey on a disruption, and fraud. Terrorism, fines (if illegal in Switzerland), parametric index basis. Following a covered earthquake, and events already discovered are excluded. Coverage is TCIP’s recovery will be calculated using measurements triggered if Credit Suisse’s operational risk losses exceed CHF3.5 from various reporting stations in the region. billion on an annual aggregate basis. Since there is a single risk cap of CHF3.0 billion, more than one event is required for Credit Munich Re secured additional capacity prior to US hurricane Suisse to recover. The 144A issuance is listed on the Bermuda season via the Ireland-domiciled special purpose vehicle Stock Exchange. Queen Street XII Re dac. The catastrophe bond provides Munich Re with retrocessional protection against US hurricanes and Europe windstorms for four years. The transaction, which utilizes an industry index trigger, almost doubled in size from its marketed guidance to close at $190 million.
Table 10: Property catastrophe bond transactions covering Europe perils
Initial Initial Size Covered expected interest Beneficiary Issuer Series Class (millions) perils Trigger Rating loss* spread
Turkish Catastrophe Insurance Pool Bosphorus Ltd. Series 2015-1 Class A $100 Turkey EQ Parametric index Not rated 1.50% 3.25%
Class A $100 9.52% 13.50% US HU, EU XL Insurance (Bermuda) Ltd Galileo Re Ltd. Series 2016-1 Class B $100 wind and US, Industry index Not rated 4.96% 9.00% CAN EQ Class C $100 3.09% 7.0 0%
Münchener Rückversicherungs- US HU and Queen Street XII Re dac $190 Industry index Not rated 2.90% 5.25% Gesellschaft Aktiengesellschaft EU wind
Source: Aon Securities Inc. Legend CAN — Canada EQ — Earthquake *Initial modeled annual expected loss; sensitivity cases if US hurricane is a covered peril. EU — Europe HU — Hurricane US — United States
UK ILS hub §§ Exemption from corporate tax for insurance special purpose In March 2016, the UK government outlined proposals for vehicles; developing the region into an ILS hub. The proposals, focused §§ Quick authorization (e.g. six to eight weeks following the around a new regulatory and tax framework for UK-domiciled application) and straightforward ongoing governance special purpose vehicles, sought public feedback with the aim procedures; of drafting legislation by year-end. The key items highlighted in §§ Interest payments to investors will be subject to existing the proposal included: withholding tax rules, unless the payments are made to a §§ Utilization of protected cell companies for ILS transactions; jurisdiction covered by a tax treaty
Aon Benfield 23 In July 2016, following the Brexit referendum, The London Market Table 11: Final results of the EU referendum Group (LMG) published a summary of actions outlining priorities for the (re)insurance industry. The LMG classified the completion Region Leave Remain of the structure and tax arrangements by HM Treasury for an England 53.4% 46.6% ILS regime in the UK as “urgent.” In the coming months, the London 40.1% 59.9% importance of this initiative will unfold as London seeks to Northern Ireland 44.2% 55.8% maintain a leading position in the (re)insurance industry.‑ Scotland 38.0% 62.0%
Wales 52.5% 47.5% Brexit Source: Bloomberg On June 23, 2016, the UK voted in a referendum on whether it should remain a member of or leave the European Union (EU)— Negative interest rates an entity formed after World War II as a political and economic In March 2015, the president of the European Central Bank partnership between member states. The referendum turnout (ECB) Mario Draghi stated that interest rates would remain was high, with more than 30 million people voting, equating to “very low” for at least another year. Responding to increasing more than 70 percent of those eligible. In a surprise result, the macro-economic instability and uncertainty caused by Brexit, UK voted to leave the EU by 51.9 percent to 48.1 percent. The the ECB has planned to conduct more quantitative easing, and sentiment was divided in various regions of the UK as shown in has cut interest rates to a record low of minus 0.4 percent and Table 11. The decision to exit the EU led the UK Prime Minister, the benchmark refinancing rate to zero. Given current economic David Cameron, to resign. stagnancy in the Eurozone, the ECB’s strategy is unlikely to change in the foreseeable future. The UK will now need to follow the steps outlined in Article 50 of the Treaty of the European Union in order to formally Interest rates are a significant factor for insurers since they withdraw, and is expected to do so in 2017. The process typically manage large portfolios of fixed-income assets. to withdraw is likely to take up to two years. Since most of Further, insurers with long term commitments to policyholders the financial regulation in the UK is derived from EU-wide face a widening mismatch between their assets and liabilities. legislation, the regulatory environment is expected to remain Therefore, insurers currently face the dual challenge of the same until the UK’s departure from the EU is effective. The declining investment rates and a reduction in cash flows from Solvency II regime continues to apply and it is expected the UK premiums, while their maturing investments will likely have to will seek to maintain regulatory equivalence post-exit. be reinvested at lower rates and investment income will suffer. The level of exposure to this decline will depend on the affected UK companies currently benefit from passporting rights, which insurers’ size, diversification and types of policies sold. allow any firm authorized within the European Economic Area (EEA) to conduct business across Europe. If the UK ceases to Non-life insurers are not immune to interest rate pressures. Soft become a member of the single market, UK insurers will need market conditions that have promoted higher combined ratios to establish subsidiaries within the EEA to retain passporting on short tail lines of business have historically been somewhat rights, or alternatively be required to seek authorization to write insulated by investment returns. As these yields diminish, business in each individual country. pressures on equity returns will continue.
Approximately 4 percent of Lloyd’s total business is considered to be at risk from the potential loss of passporting rights. As such, Aon Benfield expects Brexit will not have a significant impact on the Lloyd’s franchise.
In the days following the vote, the GBP experienced a material weakening and bond yields declined.
13 Aon Benfield. Lloyd’s Update, Aug. 2016.
24 Insurance-Linked Securities Asia Pacific Perils
Three insurers sought coverage for Japan risks with catastrophe The transaction, which priced at 2.50 percent, was upsized bonds in the 12-month period ending June 30, 2016. All three to $200 million. During the same month, SJNK returned to were returning sponsors and in aggregate secured $720 million the market with its second issuance—Aozora Re 2016-1. SJNK of limit, which represented the region’s largest share of the total elected to secure coverage in US dollars despite receiving annual catastrophe bond issuance since 2008 at 14 percent. coverage in Japanese Yen for its 2014 issuance. Japan’s negative Each transaction provided remote layer protection for the interest rate environment and lack of suitable collateral options insurers. Sustained demand for diversifying risks from capital likely drove this decision. Aozora Re 2016-1 provides SJNK with markets investors allowed the interest spreads to settle at levels $220 million in indemnity coverage for Japan typhoons for four below the traditional market average. As of June 30, 2016 Asia years. The transaction, which utilizes IBRD notes providing a exposed catastrophe bond volume reached $2.04 billion to collateral investment return of 6M LIBOR minus 0.16 percent, represent 9 percent of the overall catastrophe bond market. priced at 2.20 percent.
In December 2015, the National Mutual Insurance Federation In March 2016, Tokio Marine & Nichido Fire Insurance Co., of Agricultural Cooperatives (Zenkyoren) returned to the Ltd. (Tokio Marine) exercised an early redemption option capital markets with a fourth catastrophe bond issuance from for Kizuna Re II Ltd. Series 2015-1. The early redemption was the Nakama Re Ltd. (Nakama Re) program. The Series 2015-1 exercised because the collateral’s permitted investment (the transaction provides Zenkyoren with $300 million of additional JPMorgan JPY Cash Liquidity Fund) was liquidated by fund earthquake coverage on an indemnity basis for five years manager JPMorgan Asset Management after the Bank of Japan across two tranches. The first tranche provides per occurrence adopted the negative interest rate policy earlier in the year. coverage and the second tranche provides coverage based on Facing a potentially significant increase in the annual expenses rolling three-year term aggregate losses—the same structure associated with the coverage, Tokio Marine elected to redeem first introduced in the Series 2014-2 transaction. The transaction the catastrophe bond early at the end of the first risk period. was upsized by 50 percent from its preliminary offering size of The transaction was structured to allow early redemption at $200 million, bringing the total issuance from Nakama Re to Tokio Marine’s option if fees were imposed or expected to be $1.275 billion. imposed on the collateral assets.
Mitsui Sumitomo not only renewed its expiring catastrophe bond, but increased its coverage with the issuance of Akibare Re 2016-1 in March 2016. The transaction, which is MSI’s third catastrophe bond, provides indemnity coverage for the first time. In addition, Akibare Re 2016-1 is the first annual aggregate catastrophe bond for stand-alone Japan typhoon risk.
Table 12: Property catastrophe bonds covering Asia Pacific perils
Initial Initial Size Covered expected interest Beneficiary Issuer Series Class (millions) perils Trigger Rating loss* spread
Class 1 $100 Not rated 1.16% 2.88% National Mutual Insurance Federation of Nakama Re Ltd. Series 2015-1 JP EQ Indemnity Agricultural Cooperatives Class 2 $200 Not rated 0.86%** 3.25%
Mitsui Sumitomo Insurance Co., Ltd. Akibare Re Ltd. Series 2016-1 Class A $200 JP TY Indemnity Not rated 1.19% 2.50%
Sompo Japan Nipponkoa Insurance Inc. Aozora Re Ltd. Series 2016-1 Class A $220 JP TY Indemnity BB- (S&P) 0.90% 2.20%
Source: Aon Securities Inc. Legend JP — Japan EQ — Earthquake *Initial modeled annual expected loss. TY — Typhoon **Nakama Re Series 2015-I Class 2 notes utilize a term aggregate structure. Expected losses shown are annualized.
Aon Benfield 25 Loss activity14 April 1 reinsurance renewals Several typhoons led to multi-billion dollar economic losses Despite the appreciation of the Japanese Yen against the US during the 2015 season. The costliest insured storms were dollar compared to the prior renewal season, more capacity Typhoons Goni ($980 million) and Chan-hom ($325 million), was supplied by reinsurers in Japanese Yen due to increased risk while the strongest typhoon of the 2015 season was Super appetite and new entrants. There was also an increase in capacity Typhoon Soudelor, which attained Category 5 strength with purchased as some cedents chose to reinvest savings made on sustained wind speeds of 285 kph (180 mph). Soudelor was one existing placements. Given recent loss experience and perceived of at least five typhoons to reach Category 5 intensity in the lower margins based on modeled results, there was some Western Pacific basin. Soudelor tracked through Saipan, Taiwan, resistance to price reductions in lower layers of wind programs. and China at the beginning of August 2015, causing economic However, all programs were ultimately placed with meaningful losses in excess of $3.2 billion. Later that month, Typhoon Goni reductions. Pricing for catastrophe excess of loss coverage made landfall in Japan on August 25, after first tracking through broadly decreased 5 to 10 percent from the prior renewal period the Mariana Islands and later impacting the Philippines, China, on a risk-adjusted basis. and the Korean Peninsula. At least 70 people were killed and more than 200 others were injured. Goni came ashore near Growth in China’s insurance market the city of Arao, Japan in Kumamoto Prefecture and damaged Notably, in July 2016, China announced that homeowners can or destroyed at least 1,687 properties. Additional widespread now purchase earthquake insurance policies. Historically, China damage to other buildings and vehicles also occurred. In the has experienced significant economic losses from earthquakes. Philippines, the storm damaged at least 5,742 homes and The maximum payout for each policy is one million Yuan (just inundated vast areas of agriculture and infrastructure. Torrential over $150,000 ) and will cover damage from earthquakes with a
rains from the storm’s remnants damaged tens of thousands of magnitude of at least Mw4.7. The policies will be sold by Chinese homes in North Korea and left dozens dead. insurers for an average premium of 0.04 percent of insured value.
During the first half of 2016, the costliest global natural disaster based on economic losses was the combination of two major earthquakes that struck Japan’s Kumamoto region on April
14 (Mw6.0) and April 16 (Mw7.0). Damage to residential and commercial properties was extensive, with Japan’s Fire and Disaster Management Agency noting that nearly 160,000 structures had been damaged or destroyed. Additional costs resulting from damaged infrastructure and business interruption were also considerable. Total damage and reconstruction costs throughout the impacted areas were estimated at roughly $30 billion, though the Japanese government indicated that final costs could reach as high as $42 billion.
14 Aon Benfield Impact Forecasting. 2015 Annual Global Climate and Catastrophe Report, Dec. 2015; and Global Catastrophe Recap: First Half of 2016, July 2016. 15 Converted at 1 CNY = 0.1503 USD as of July 1, 2016.
26 Insurance-Linked Securities Model updates PERILS expansion into Asia AIR released its model update for Japan typhoon in September In April 2016, PERILS AG (PERILS) joined the Singapore-based 2015. The latest model captures the impact of typhoon winds, Natural Catastrophe Data and Analytics Exchange (NatCatDAX) precipitation-induced flooding, and newly-introduced storm Alliance. PERILS, which was formed in Zurich in 2009, currently surge. The stochastic catalog contains more than 293,000 provides industry exposure and event loss data and an associated simulated events; and the historical catalog incorporates data industry loss index service for Europe windstorm, and UK from over 1,600 storms between 1951 and 2006. flood, as well as earthquake and flood in both Italy and Turkey. The NatCatDAX Alliance is led by the Institute of Catastrophe AIR announced a significant expansion of its Southeast Asia Risk Management at Nanyang Technological University and is earthquake and typhoon models in June 2016. The updates a partnership with Aon Benfield, Mitsui Sumitomo Insurance include tsunami and liquefaction sub-perils for Indonesia, Group, RenRe, RMS, and PERILS, with support from the Monetary the Philippines, and Taiwan in the earthquake model. A new Authority of Singapore. The NatCatDAX Alliance aims to increase precipitation-induced flooding module, built using high- the insurability of catastrophe risks in Asia by first increasing resolution data, and probabilistic storm surge module were the availability and accuracy of data for Asia. Exposure and loss introduced in the typhoon model for Hong Kong, the Philippines, databases will provide perspectives on both an economic and and Taiwan. Furthermore, the areas covered by the storm surge insured basis. The insurance database will utilize PERILS’ existing module were expanded to include Guam, Macau, Saipan, methodology along with exposure and loss data accumulated and Vietnam for typhoons; and Hong Kong, Macau, Vietnam, from insurance companies writing business in the region. Initial Singapore, Thailand, Brunei, and Malaysia for earthquakes. In efforts will be concentrated on Indonesia, the Philippines, Taiwan, the same month, AIR announced the release of its earthquake and Thailand. model for India, which included historical events spanning more than two centuries. The model assesses damages and losses for locations within India; however, it also incorporates seismic activity from the surrounding regions of Pakistan, Nepal, Bhutan, and Bangladesh.
Aon Benfield’s catastrophe development team, Impact Forecasting, also released a new model for Asia typhoon this year. The model, which incorporates aspects such as wind damage, typhoon rainfall-induced flooding, and storm surge, provides coverage for China, Hong Kong, India, the Philippines, South Korea, Taiwan, Thailand, and Vietnam. Over 500,000 events from genesis through dissipation are incorporated.
16 AIR Worldwide’s Model Documentation. “AIR Typhoon Model for Japan,” Sept. 15, 2015. 17 Press release. “AIR Worldwide Significantly Expands Its Model Coverage for Southeast Asia,” June 20, 2016. 18 Press release. “AIR Worldwide Introduces Earthquake Model for India,” June 27, 2016. 19 Press release. “PERILS Joins Singapore-based ‘NatCatDAX’ Alliance,” Apr. 28, 2016.
Aon Benfield 27 Life and Health Perils
Extreme mortality and health catastrophe bonds Two non-property catastrophe bond issuances closed in the final year when the cover provided diminishes. Vita Capital VI, 12 months ending June 30, 2016. Similar to the prior 12-month however, includes a dropdown feature that reduces the trigger period, the new issuances covered health and extreme mortality level for the fifth calendar year to mitigate this—the same feature risks. Both the number of investors and the amount of capital introduced on AXA Global Life’s Benu Capital Limited in 2015. focused on non-property risks are continuing to grow. Investors would welcome the opportunity to expand this segment of the Aetna Life Insurance Company (Aetna) issued its seventh market, which had just over $1.3 billion in outstanding limit at transaction in January this year. Vitality Re VII Limited Series 2016- June 30, 2016. 1 (Vitality Re VII) provides $200 million in indemnity protection against increases in Aetna’s medical benefit ratios. The transaction In December 2015, Swiss Re returned to the capital markets with provides coverage for four years, compared to the 2015 issuance’s the Vita Capital VI, which provides Swiss Re with $100 million coverage of three years. Similar to prior years, two classes of notes of extreme mortality protection for populations in Australia, were issued of $140 million and $60 million for the senior and Canada, and the UK for five calendar years. Coverage also junior classes, respectively. The senior class attaches at a medical includes excess mortality as a result of terrorism. The collateral is benefit ratio of 100 percent; the junior class attaches at 94 invested in IBRD notes, providing investors with an investment percent. Both classes of notes from Vitality Re VII are again rated yield of 6M LIBOR less 0.18 percent. Since the loss trigger is by S&P, with the senior class of notes securing an investment calculated over a two-year risk measurement period, Swiss Re grade rating of “BBB+.” has historically early redeemed such bonds as they enter the
Table 13: Catastrophe bonds covering life and health risks
Initial Size expected Initial interest Beneficiary Issuer Series Class (millions) Covered perils Trigger Rating loss* spread
Swiss Reinsurance AUS, CAN and Vita Capital VI Limited Series 2015-1 Class A $100 Industry index BB (S&P) 0.99% 2.90% Company Ltd. UK mortality
Class A $140 BBB+ (S&P) <0.01% 2.15% Aetna Life Insurance US medical Vitality Re VII Limited Series 2016-1 Indemnity Company benefits ratio Class B $60 BB+ (S&P) 0.18% 2.65%
*Initial modeled annual expected loss. Legend AUS — Australia Source: Aon Securities Inc. CAN — Canada UK — United Kingdom US — United States
28 Insurance-Linked Securities Longevity swaps Both insurers and non-insurers continued to utilize longevity In September 2015, Heineken transferred £2.4 billion of risk transfer arrangements in the 12 months ending June 30, longevity risk to Friends Life Limited, part of Aviva Group, which 2016, although there were fewer transactions than in the prior in turn ceded part of the risk to Swiss Re. The arrangement 12-month period. The focus was on UK pension plans, which covers around 19,000 members of the Scottish & Newcastle is not surprising given that the number of pension risk transfer Pension Plan, almost half of the pension’s defined benefit markets in the US is limited due to ERISA fiduciary responsibilities. scheme. The brewing company was acquired in 2008 by Heineken; the company closed its defined benefit plan to Legal & General Group (L&G) entered into a longevity accrual in 2011. reinsurance contract with Prudential Retirement Insurance and Annuity Company (Prudential) in August 2015. The In November 2015, Philips UK Pension Fund purchased a group arrangement covers $2.9 billion of L&G’s pension liabilities annuity contract from Pension Insurance Corporation (PIC). against longevity risk. In addition to transferring some of its The arrangement, which applies to around 26,000 current and longevity risk, the arrangement helps L&G optimize its use of former employees, transferred €2.4 billion of defined benefit capital. In April and August 2016, L&G and Prudential entered obligations to PIC. Additionally, Philips provided around £225 into additional longevity reinsurance contracts, bringing million to PIC. PIC subsequently transferred all the longevity risk the total between the two firms to four since October 2014. to Hannover Re. The arrangement was finalized shortly before Prudential has become one of the leading capacity providers for UK insurers were forced to increase capital reserves as a result of longevity reinsurance and typically assumes all the risk from a Solvency II. The pension fund has previously purchased a total reinsurance arrangement rather than forming part of a panel. of €1.3 billion of buy-in policies—most recently in 2013 and 2014 from Rothesay Life and Prudential, respectively. Following the latest arrangement, Philips gave notice to the trustees of the pension fund to commence the process of winding up, causing buy-in policies to convert into buy-out policies.
Table 14: Publicly disclosed longevity transactions since July 2015
Pension plan Provider Size Date Form
AXA UK Group Pension Scheme Reinsurance Group of America £2.8bn Jul-15 Swap
Aegon Canada Life Re €6bn Aug-15 Swap and reinsurance
Legal & General Group Prudential Retirement Insurance and Annuity Company £1.85bn Aug-15 Reinsurance
Heineken's Scottish & Newcastle Pension Plan Friends Life (Aviva Group); Swiss Reinsurance Company Ltd. £2.4bn Sept-15 Swap and reinsurance
Philips UK Pension Fund Pension Insurance Corporation; Hannover Rück SE €2.4bn Nov-15 Buy-out and reinsurance
RAC (2003) Pension Scheme Aviva Life; SCOR SE £600mn Nov-15 Swap and reinsurance
Legal & General Group Prudential Retirement Insurance and Annuity Company Undisclosed Apr-16 Reinsurance
Pension Insurance Corporation Prudential Insurance Company of America $1.1bn Jun-16 Reinsurance
Source: Company press releases
Aon Benfield 29 30 Insurance-Linked Securities A Market Discussion with ILS Investors
Aon Securities recently discussed a number of ILS market topics with a panel of four active investors. The conversation, transcribed in this section, provides insight into their views and aspirations for the market as a whole. Our panel included:
§§ Robert Lindblom—CEO and Partner, Entropics Asset Management AB
§§ Brett Houghton—Managing Principal, Fermat Capital Management, LLC.
§§ Dr. Gregor Gawron—Head of ILS, Lombard Odier Investment Managers
§§ Daniel Ineichen—Fund Manager Insurance-Linked Securities, Schroders
Aon Benfield 31 Robert Lindblom—Entropics Asset Management AB CEO and Partner
1. Could you give us an overview of your firm to many other alternatives and lowly-correlated asset classes, and your individual responsibilities? ILS products have an advantage in being fundamentally Entropics Asset Management AB is a manager devoted to uncorrelated and having a built-in protection against inflation responsible investments (RI) in ILS. Based on our view of ILS and increasing interest rates, as the collateral is invested in primarily as insurance agreements, our approach is based short-term money market instruments. on actuarial analysis and solid underwriting, and our team is specialized in managing insurance risks. Furthermore, Low interest rates are likely to remain for a long time. As the we are, as far as we know, the first specialized ILS manager globally low inflation rate may not only be driven by financial globally with a comprehensive approach to responsible ILS trends but also by digitalization, it is not obvious that either investments and we work actively with the development of RI retail or institutional investors have fully incorporated the strategies in the ILS sector. view that the expected return on any investment will be lower for the foreseeable time than it has been in the past. 2. In what new ways could the ILS market help in protecting the global economy? 4. Do you feel there any new risks that could As many people globally leave the status of poverty, the be well suited to the ILS market? demand for insurance will increase. Urbanization increases Yes. If we start looking at it from a Swedish or European the costs of a catastrophe hitting major population centers perspective, we see that indirect effects of climate change; and the climate change will also increase the number of prolonged draught, wildfires, crop failures, digitalization extreme weather events. It may seem like an impossible etc., are prime candidates for reinsurance/ILS solutions equation to solve, but transferring these risks to the capital set up by the public sector or business organizations. markets is certainly one important step towards a solution to Furthermore, as more people globally belong to the middle this problem. class, we see a dramatic increase in the need for insurance against all types of natural catastrophes, which will occur Please see our blog on this subject, Entropics, in regions lacking a well-functioning and well-capitalized www.en.entropics.se/blog/the-next-big-one-earthquake- insurance market. While we follow the development of illustrates-the-need-for-cat-bonds/. ILS products covering business risks as well as man-made events, we do believe that modeling methods for these and As indicated by a number of existing ILS products in similar risks need to be developed further, in order to make underdeveloped economies, as well as the African Risk such products viable on the market. Capacity’s interest in such solutions, ILS provide insurance opportunities on markets that would otherwise see difficulties 5. Are there any innovations that you would obtaining coverage. The decoupling, in many cases, of the like to see in the ILS market? triggering mechanisms from insured losses also provides To further improve confidence in the market, we believe that disaster reliefs for risk exposure in locations lacking adequate more standardized and transparent reporting models, for assessments based on an existing and well-functioning example regarding risk exposure, are of importance. This also market. In the long term, this development leads to an applies to the desirability of standards for reporting of ESG improved and more diversified investment market. and responsibility indicators. Also, the evolvement of an even more liquid and transparent market would benefit investors 3. How do you foresee the impact of negative and sponsors alike. interest rates on your demand for reinsurance and ILS products? 6. How does this market prosper The obvious difficulty for any form of alternative investment in the near and long term? is the ongoing injection of capital into the market, pressuring The strong demand for ILS from investors will continue to risk-adjusted returns on most assets and inflating equity drive diversification and innovation within the asset class. In prices. Consequently, we believe that most investors turn to the short-term perspective, this will drive new sponsors to ILS products because of the uncorrelated nature of the asset the market and in the long term perspective there are new class, rather than the generally low interest rates. Compared regions like Asia that we expect to be more active in this field.
32 Insurance-Linked Securities Brett Houghton—Fermat Capital Management, LLC Managing Principal
1. Could you give us an overview of your firm 4. Do you feel there any new risks that could and your individual responsibilities? be well suited to the ILS market? Fermat Capital was founded in 2001 and currently manages We are currently involved in development efforts for a $5 billion on behalf of pension funds, sovereign wealth funds, number of potential new risks for the ILS market including endowments, family offices, and other private investors. I flood, terrorism, and cyber risks. ILS as a technology has am a member of the investment committee and have daily broad applicability for efficient risk transfer out of regulated responsibility for investment and trading within the various entities, which in the process transforms equity risk capital to portfolios managed by our firm. a fixed income investment.
2. In what new ways could the ILS market help 5. Are there any innovations that you would in protecting the global economy? like to see in the ILS market? Historically, ILS has provided important stability to the We continue to advocate for more efficient issuance capitalization of the insurance industry, particularly during procedures to reduce sponsor cost for accessing ILS investor and in the aftermath of market disrupting events including capital. Ultimately, collateralized multi-year coverage Hurricane Katrina, the financial crisis, and the extreme provides greater market stability and more effective capital industry loss year of 2011. Looking forward, ILS investors protection for the insurance industry and frictional costs will continue to have interest in risk exposures that provide currently erode a disproportionate share of the benefits income generating opportunities with downside events provided by ILS risk transfer. not tied to broader markets. Potential ILS application is very broad and will likely expand into many more areas where 6. How does this market prosper concentration of risk demands regulatory capital. Disruption in the near and long term? of economic activity can be caused by a wide range of The ILS market is poised for significant long-term growth and causes with natural catastrophes representing the tip of the market participants need to handle that growth responsibly iceberg. ILS can help manage disruption in the future by through disciplined underwriting and thoughtful deal providing buffer capital for business interruption, workers structures, which maintain appropriate balance between the compensation, and other economic risks caused by disasters, needs of sponsors and investors. Current monetary policy terrorism, and other extreme events. conditions have created an environment where mid-single digit returns are acceptable for insurance equity risk capital. 3. How do you foresee the impact of negative As the environment changes in the medium to longer term, interest rates on your demand for reinsurance industry participants will come under increased pressure to and ILS products? return capital, adapt their business models or face activist The market has been dealing with near-zero interest rates investors in favor of run off. The future holds opportunities for 8 years and negative interest rates in certain currencies for significant ILS capital growth, but the industry must be for some time now. This market condition impacts all asset responsible in the near term to position appropriately for the classes as short term interest rates provide a foundation above next 20 years. which returns across many investments are derived. The flood of central bank liquidity and asset purchases has reduced the global pool of “positive return” assets and incentivized investment capital to venture beyond traditional asset classes in search of return opportunities. ILS has experienced significant growth during this time as the asset class provides attractive risk adjusted returns without expected loss correlation to financial assets. We expect investor interest to continue to expand into the future as ILS has developed beyond a niche asset class and now provides an important component of portfolio diversification for a broad range of institutional investors.
Aon Benfield 33 Dr. Gregor Gawron–Lombard Odier Investment Managers Head of ILS
1. Could you give us an overview of your firm 4. Do you feel there any new risks that could and your individual responsibilities? be well suited to the ILS market? Lombard Odier Investment Managers (LOIM) is the asset Theoretically everything that is insured could be transferred management business of Lombard Odier, focused on to the ILS market. Given the rather conservative nature of institutional investors and financial intermediaries. Lombard the insurance industry and the high costs involved with risk Odier, founded 1796 in Geneva, has always been wholly transfer, the process is very slow. There is no doubt that the owned and managed by its partners, who are responsible for ILS participants possess the necessary skills to underwrite/ the day-to-day management of the firm. The ILS team joined evaluate all sorts of insurance risks. LOIM in August 2015 to build up activities in the ILS space. My responsibility as Head of ILS is to develop an attractive 5. Are there any innovations that you would product palette that meets investors’ needs and appetite. like to see in the ILS market? Blockchain and the whole InsurTech—an open finance 2. In what new ways could the ILS market help technology that will allow insurers and ILS participants to in protecting the global economy? design and close a custom-made transaction quickly and Many emerging market economies are very sensitive to cost efficiently. severe natural disasters; it is not unusual having a negative GDP impact in the magnitude of 10 to 15 percent. There 6. How does this market prosper already have been some World Bank initiatives to offer in the near and long term? catastrophe protection for these types of countries; The growth in world population and the increased wealth however, a lot more can be done. As the alternative capital accumulation in exposed regions will certainly lead to a offers the deepest capacity and is continuously seeking greater demand for protection in the long term. In one way for new diversifying perils, I see these transactions as an or another, this trend will have a positive spillover effect into excellent win-win situation. the ILS market. In the near term, assuming no major events and continued low to negative interest rates regime, I see a 3. How do you foresee the impact of negative saturation coupled with some sort of wait and see condition. interest rates on your demand for reinsurance and ILS products? As we are an investment manager, we are observing a continued interest from our investors in products/strategies that can offer a positive expected yield at the same time as being independent from major macroeconomic factors. However, a prolonged regime of negative interest rates coupled with absence of major events will most likely lead to even lower ILS premiums. This may result in a loss of the relative attractiveness of ILS products against other traditional asset classes.
34 Insurance-Linked Securities Daniel Ineichen—Schroders Fund Manager Insurance-Linked Securities
1. Could you give us an overview of your firm independently assessable and where stress test scenarios and and your individual responsibilities? information asymmetries are well understood, and where Schroders is one of the largest asset managers in Europe there is no material correlation to the financial markets. with assets under management of $460 billion. It has offered ILS products to its clients since 2013 when it Areas where we see a lot of significant potential for newer acquired an ownership stake in Secquaero Advisors—an ILS risks to be passed into the capital markets are, for example, specialized with long lasting experience in this space. I’m on motor business, crop, or on the life reinsurance side (in heading up the ILS investment desk at Schroders where particular for value-in-force transactions or shock mortality we manage approximately $2 billion in different portfolios where there is a new stress test under Solvency II). across various strategies. 5. Are there any innovations that you would 2. In what new ways could the ILS market help like to see in the ILS market? in protecting the global economy? I think that our market will certainly go through several cycles We see different interesting areas. On the one hand, it could of innovations and that change is something that will be part narrow the well-known “insurance gap” where ILS could of our daily lives. This is also one of the most exciting aspects cover the shortfall between economic and insured losses in ILS as changes always present new opportunities too. In after a catastrophic event. Here the ability to structure the short term, we would welcome innovations on the claims parametric bonds could help to quickly have funds available reporting side, in the form of more timely and more frequent for reconstruction of infrastructure etc., in particular in information; in particular on the back of the increased countries and regions outside the developed world. ILS could amount of aggregate triggers. Also an interesting (product) certainly also be an interesting option for global corporations innovation could come in with regard to contingent capital to manage their operational risks; in particular if some of the (standby facilities) linked to events. The capital market seems revenue streams or their supply chain are linked to weather to be well positioned for this development. Finally, more patterns or other catastrophes such as floods, for instance. An standardized derivative contracts where investors can buy example could be that an energy company is hedging against and sell protection smoothly could certainly be an exciting warmer winter weather or a scenario such as the Thailand development. There have been several attempts that failed floods in 2011. due to the out-of-the-money nature of the strikes. A way to overcome this would be to trade on ROL levels or their 3. How do you foresee the impact of negative changes if there is a reliable index. interest rates on your demand for reinsurance and ILS products? 6. How does this market prosper The current rate environment has certainly supported the in the near and long term? investment case for ILS and has led to an increased demand It is important to have the capital market segments being in the product offering. Not only does the asset class still considered as long term capital and not an opportunistic offer attractive yields (on catastrophe bond funds that have play. Also, it should not be considered as a play for peak risks remained consistently above 5 percent over the last years) only. Hence, it needs to be nourished throughout the cycle. and clearly has gained relative attractiveness over most Catastrophe bonds in particular, where pricing discipline has plain vanilla fixed-income asset classes. Furthermore, with held up relatively well, could otherwise face a challenge to increased interventions and controlled capital markets via QE, extrapolate their past growth rates into the near- and long- proper diversification—in the form of a truly unrelated risk term. However, given their liquidity and transferability, we factor—has also become much more valuable. consider it a very important market segment. Consequently, we require more issuers taking a long-term view that consider 4. Do you feel there any new risks that could catastrophe bonds as one of the key elements and a fixed part be well suited to the ILS market? of their risk capital management and become regular and While we have followed with interest the latest evolvements repetitive issuers such as USAA, State Farm, or Zenkyoren, for and initiatives on bringing new types of risks such as instance. Such consistent presence of high-quality issuers will operation risk and cyber risk, we think that in order for a risk also attract additional players, adding to size and depth of the to become established in our markets a few criteria have catastrophe bond markets over time and will bring additional to be met. We generally look for risks that are quantifiable, fresh exposures.
Aon Benfield 35 36 Insurance-Linked Securities Appendix I Catastrophe Bond Issuance Statistics
As of June 30, 2016
Source: Aon Securities Inc.
Aon Benfield 37 Figure 1: Catastrophe bond issuance by year, 2007 to 2016 (years ending June 30)
Property issuance Life and health issuance 10,000 9,400
8,145 8,000 6,981 6,665 6,431 5,914 6,000 5,190 4,736 4,382 $ millions 4,000
2,000 1,705
0 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016
Source: Aon Securities Inc.
Figure 2: Outstanding and cumulative catastrophe bond volume, 2006 to 2016 (years ending June 30)
Cumulative property Total cumulative Property Life and health issuance bonds outstanding outstanding 80,000
72,273 70,000 67,083 60,000 60,102 50,000 50,702 44,037 40,000 37,605
$ millions 33,223 30,000 28,487 26,782 22,422 23,467 22,562 20,867 20,000 16,155 17,788 13,174 13,167 15,123 12,911 11,504 10,000
0 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016
Source: Aon Securities Inc.
38 Insurance-Linked Securities Figure 3: Catastrophe bond issuance by half-year, 2009 – 2016
January - June July - December 9,000
8,000
7,000 2,325
6,000 3,498 2,175
5,000 2,692
$ millions 4,000 2,625
2,843 3,000 5,902 2,086 3,973 4,656 2,000 3,588 2,650 3,015 1,000 1,385 1,757
0 2009 2010 2011 2012 2013 2014 2015 2016
Source: Aon Securities Inc.
Figure 4: Investor by category (years ending June 30)4
Catastrophe fund Institutional Mutual fund Reinsurer Hedge fund 2%
6% 10% 8%
9% 9%
47%
57%
20% 32%
2016 2015
Source: Aon Securities Inc.
4 Aon Securities’ analysis of investor category includes only those transactions in which the firm participated.
Aon Benfield 39 Figure 5: Investor by country/region (years ending June 30)5
US UK Bermuda Switzerland Other
8% 13%
34%
25%
50% 28%
12% 11%
5% 14%
2016 2015
Figure 6: Historical performance of Aon ILS Indices
180% Aon ILS Index Aon ILS BB Index Aon ILS US EQ Index Aon ILS US HU Index
160%
140%
120%
100%
80%
60%
40%
20%
0% Jun Jun Jun Jun Jun Jun Jun Jun Jun Jun Jun 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016
Source: Aon Securities Inc., Bloomberg.
5 Aon Securities’ analysis of investor geographic attributes includes only those transactions in which the firm participated.
40 Insurance-Linked Securities Figure 7: Aon All Bond ILS index versus financial benchmarks
Aon All Bond ILS Index 3-5 Year BB Cash Pay US High Yield Index ABS 3-5 Year, Fixed Rate Index CMBS 3-5 Year, Fixed Rate Index 140% S&P 500 Index 3-5 Year US Treasury Notes Index 120%
100%
80%
60%
40%
20%
0%
-20%
-40%
-60% Jun Jun Jun Jun Jun Jun Jun Jun Jun Jun Jun 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016
Source: Aon Securities Inc., Bloomberg.
Figure 8: Alternative market development
Catastrophe bonds Sidecar ILW Collateralized re and others 80 75 72 70 64
60
50 50 44
40 $ billions 30 28 24 22 22 19 20
10
0 2007 2008 2009 2010 2011 2012 2013 2014 2015 H1 2016
Source: Aon Securities Inc.
Aon Benfield 41 Figure 9: Global reinsurer capital
800 Traditional capital Alternative capital Global reinsurer capital
700 -2% 4% 6% 7% 575 585 600 565 12% 540 -3% 505 18% 470 500 455 410 -17% 18% 400 400
$ billions 340
300
200 388 321 378 447 428 461 490 511 493 510
100
72 75 28 44 50 64 0 22 19 22 24 2007 2008 2009 2010 2011 2012 2013 2014 2015 H12016
Source: Individual company reports, Aon Benfield Analytics, Aon Securities.
Figure 10: ILW trade volume and US ANP price movement
Total US trade volume $80 billion ANP $50 billion ANP $30 billion ANP
1,500 150 Price movementPrice by quarter 1,200 120
900 90
600 60 $ millions
30
Total US trade volume US trade Total 300
0 0 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 2012 2012 2013 2013 2013 2013 2014 2014 2014 2014 2015 2015 2015 2015 2016 2016
Legend ANP — All Natural Perils
Source: The Global Re Specialty team of Aon UK Limited.
42 Insurance-Linked Securities Appendix II Property Catastrophe Bonds—Transaction Summary
As of June 30, 2016
Source: Aon Securities Inc.
Aon Benfield 43 Summary of catastrophe bonds — December 1996 through June 2016
Issuance Size Date Beneficiary Issuer Series Class Perils Trigger Collateral (thousands) Moody’s S&P Fitch
Worldwide All George Town Dec-96 St Paul Re UK Perils incl. Marine Indemnity TRS $44,500 Re, Ltd. & Aviation
Worldwide All George Town Dec-96 St Paul Re UK* Perils incl. Marine Indemnity TRS $24,000 Aaa AAA Re, Ltd. & Aviation
Residential United Services Jun-97 Reinsurance Class A-1 US HU Indemnity TRS $163,800 Aaa AAA Automobile Association Limited
Residential United Services Jun-97 Reinsurance Class A-2 US HU Indemnity TRS $313,180 Ba2 BB BB Automobile Association Limited
Swiss Reinsurance SR Earthquake Oct-97 Class A-1 US EQ Industry index TRS $42,000 Baa3 BBB- Company Ltd. Fund, Ltd.
Swiss Reinsurance SR Earthquake Oct-97 Class A-2 US EQ Industry index TRS $20,000 Baa3 BBB- Company Ltd.* Fund, Ltd.
Swiss Reinsurance SR Earthquake Oct-97 Class B US EQ Industry index TRS $60,300 Ba1 BB Company Ltd. Fund, Ltd.
Swiss Reinsurance SR Earthquake Oct-97 Class C US EQ Industry index TRS $14,700 Ba3 B Company Ltd. Fund, Ltd.
Tokio Marine & Nichido Parametric Re, Nov-97 JP EQ Parametric TRS $80,000 Ba2 Fire Insurance Co., Ltd. Ltd.
Tokio Marine & Nichido Parametric Re, Nov-97 JP EQ Parametric TRS $20,000 Baa3 Fire Insurance Co., Ltd. Ltd.
Centre Solutions (Bermuda) Mar-98 Trinity Re, Ltd. Class A-1 US HU Indemnity TRS $10,467 Aaa AAA Limited (Zurich Group)
Centre Solutions (Bermuda) Mar-98 Trinity Re, Ltd. Class A-2 US HU Indemnity TRS $61,533 Ba3 BB Limited (Zurich Group)
Residential United Services Jun-98 Reinsurance US HU Indemnity TRS $450,000 Ba2 BB BB Automobile Association Limited
The Yasuda Fire and Marine Jun-98 Pacific Re, Ltd. JP TY Indemnity TRS $80,000 Ba3 BB- Insurance Company Limited
United States Fidelity and Jul-98 Mosaic Re, Ltd. Class A US HU, EQ, ST Indemnity TRS $24,000 Guaranty Company
United States Fidelity and Jul-98 Mosaic Re, Ltd. Class B US HU, EQ, ST Indemnity TRS $21,000 Guaranty Company
United States Fidelity and Jul-98 Mosaic Re, Ltd. US HU, EQ, ST Indemnity TRS $9,000 Guaranty Company
Centre Solutions (Bermuda) Trinity Re 1999, Dec-98 Class A-1 US HU Indemnity TRS $2,385 Aaa AAA Limited (Zurich Group) Ltd.
Centre Solutions (Bermuda) Trinity Re 1999, Dec-98 Class A-2 US HU Indemnity TRS $51,615 Ba3 BB Limited (Zurich Group) Ltd.
United States Fidelity and Feb-99 Mosaic Re II, Ltd. Class A US HU, EQ, ST Indemnity TRS $25,000 Guaranty Company
United States Fidelity and Feb-99 Mosaic Re II, Ltd. Class B US HU, EQ, ST Indemnity TRS $20,000 Guaranty Company
Mar-99 Kemper Domestic, Inc. US EQ Indemnity TRS $80,000 Ba2 BB+
Mar-99 Kemper* Domestic, Inc. US EQ Indemnity TRS $20,000
Series Apr-99 Sorema S..A Halyard Re B.V. EU, JP EQ, TY Indemnity TRS $17,000 1999
May-99 Oriental Land Co., Ltd. Concentric, Ltd. JP EQ Parametric TRS $100,000 Ba1 BB+
*Equity
44 Insurance-Linked Securities Issuance Size Date Beneficiary Issuer Series Class Perils Trigger Collateral (thousands) Moody’s S&P Fitch
Residential United Services Jun-99 Reinsurance US HU Indemnity TRS $200,000 Ba2 BB Automobile Association Limited
Gerling-Konzern Globale Jun-99 Rückversicherungs- Juno Re, Ltd. US HU Indemnity TRS $80,000 BB BB+ Aktienfesellschaft
Gold Eagle Nov-99 American Re Class A US HU, EQ Modeled loss TRS $50,000 Baa3 BBB- Capital Limited
Gold Eagle Nov-99 American Re Class B US HU, EQ Modeled loss TRS $126,600 Ba2 BB Capital Limited
Gold Eagle Nov-99 American Re* US HU, EQ Modeled loss TRS $5,500 Ba1 BB+ Capital Limited
Gold Eagle Nov-99 American Re* US HU, EQ Modeled loss TRS $3,600 BB+ Capital Limited
Gerling-Konzern Globale Nov-99 Rückversicherungs- Namazu Re, Ltd. JP EQ Modeled loss TRS $100,000 BB Aktienfesellschaft
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
Atlas Reinsurance EU Wind, Mar-00 SCOR Class A Indemnity TRS $70,000 BBB+ BBB+ p.l.c. CA/JP EQ
Atlas Reinsurance EU Wind, Mar-00 SCOR Class B Indemnity TRS $30,000 BBB- BBB- p.l.c. CA/JP EQ
Atlas Reinsurance EU Wind, Mar-00 SCOR Class C Indemnity TRS $100,000 B- B- p.l.c. CA/JP EQ
Series Apr-00 Sorema SA Halyard Re B.V. EU/JP Wind, JP EQ Indemnity TRS $17,000 2000
Alpha Wind May-00 State Farm Companies US HU Indemnity TRS $52,500 BB+ 2000-A Ltd.
Alpha Wind May-00 State Farm Companies* US HU Indemnity TRS $37,50 0 BB 2000-A Ltd.
Residential United Services Jun-00 Reinsurance US HU Indemnity TRS $200,000 Ba2 BB+ Automobile Association 2000 Limited
Jul-00 Vesta Fire Insurance Corporation NeHi, Inc. US HU Modeled loss TRS $41,500 Ba3 BB
Vesta Fire Insurance Jul-00 NeHi, Inc. US HU Modeled loss TRS $8,500 Corporation*
Assurances Generales Mediterranean Nov-00 Class A EU Wind, EQ Modeled loss TRS $41,000 Baa3 BBB+ BBB de France I.A.R.T. Re p.l.c.
Assurances Generales Mediterranean Nov-00 Class B EU Wind, EQ Modeled loss TRS $88,000 Ba3 BB+ BB+ de France I.A.R.T. Re p.l.c.
PRIME Capital Münchener Rückversicherungs- Parametric Dec-00 CalQuake & US EQ, EU Wind TRS $129,000 Ba3 BB+ BB Gesellschaft Aktiengesellschaft index EuroWind Ltd.
PRIME Capital Münchener Rückversicherungs- Parametric Dec-00 CalQuake & Class B US EQ, EU Wind TRS $6,000 Gesellschaft Aktiengesellschaft* index EuroWind Ltd.
Münchener Rückversicherungs- PRIME Capital Parametric Dec-00 US HU TRS $159,000 Ba3 BB+ BB Gesellschaft Aktiengesellschaft Hurricane Ltd. index
Münchener Rückversicherungs- PRIME Capital Parametric Dec-00 Class B US HU TRS $6,000 Gesellschaft Aktiengesellschaft* Hurricane Ltd. index
Swiss Reinsurance Western Capital Feb-01 US EQ Industry index TRS $97,000 Ba2 BB+ Company Ltd. Limited
Swiss Reinsurance Western Capital Feb-01 US EQ Industry index TRS $3,000 Company Ltd.* Limited
*Equity
Aon Benfield 45 Issuance Size Date Beneficiary Issuer Series Class Perils Trigger Collateral (thousands) Moody’s S&P Fitch
Gold Eagle Mar-01 American Re Capital 2001 US HU, EQ Modeled loss TRS $116,400 Ba2 BB+ Limited
EU Wind, Apr-01 Sorema SA Halyard Re B.V. Indemnity TRS $17,000 JP EQ, TY
Swiss Reinsurance US HU, Parametric May-01 SR Wind Ltd. Class B-1 TRS $1,800 BB BB Company Ltd.* EU Wind index
Swiss Reinsurance US HU, Parametric May-01 SR Wind Ltd. Class B-2 TRS $1,800 BB BB Company Ltd.* EU Wind index
Swiss Reinsurance US HU, Parametric May-01 SR Wind Ltd. Class A-1 TRS $58,200 BB+ BB+ Company Ltd. EU Wind index
Swiss Reinsurance US HU, Parametric May-01 SR Wind Ltd. Class A-2 TRS $58,200 BB+ BB+ Company Ltd. EU Wind index
Residential United Services Jun-01 Reinsurance US HU Indemnity TRS $150,000 Ba2 BB+ Automobile Association 2001 Limited
US HU, EQ, Jun-01 Zurich Insurance Company* Trinom Ltd. Modeled loss TRS $4,856 B2 B+ EU Wind
US HU, EQ, Jun-01 Zurich Insurance Company Trinom Ltd. Class A-1 Modeled loss TRS $60,000 Ba2 BB BB- EU Wind
US HU, EQ, Jun-01 Zurich Insurance Company Trinom Ltd. Class A-2 Modeled loss TRS $97,000 Ba1 BB+ BB EU Wind
Parametric/ Atlas Reinsurance EU Wind, Dec-01 SCOR Class A parametric TRS $50,000 A3 A II p.l.c. CA/JP EQ index
Parametric/ Atlas Reinsurance EU Wind, Dec-01 SCOR Class B parametric TRS $100,000 Ba2 BB+ II p.l.c. CA/JP EQ index
Redwood Capital Dec-01 Lehman Re Ltd. US EQ Industry index TRS $160,050 Ba2 BB+ I, Ltd.
Redwood Capital Dec-01 Lehman Re Ltd.* US EQ Industry index TRS $4,950 I, Ltd.
Redwood Capital Mar-02 Lehman Re Ltd. US EQ Industry index TRS $194,000 Baa3 BBB- II, Ltd
Redwood Capital Mar-02 Lehman Re Ltd.* US EQ Industry index TRS $6,000 Ba1 BBB- II, Ltd
Bank Apr-02 Lloyd's Syndicate 33 (Hiscox) St. Agatha Re Ltd. US EQ Modeled loss $33,000 BB+ Deposit
Nissay Dowa General Insurance May-02 Fujiyama Ltd. JP EQ Parametric TRS $67,90 0 BB+ Co., Ltd.
Nissay Dowa General Insurance May-02 Fujiyama Ltd. JP EQ Parametric TRS $2,100 BB Co., Ltd.*
Residential United Services Automobile May-02 Reinsurance US HU Indemnity TRS $125,000 Ba3 BB+ Association 2002 Limited
Swiss Reinsurance PIONEER 2002 Series Parametric Jun-02 Class A US HU TRS $85,000 Ba3 BB+ Company Ltd. Ltd. 2002-1 index
Swiss Reinsurance PIONEER 2002 Series Parametric Jun-02 Class B EU Wind TRS $50,000 Ba3 BB+ Company Ltd. Ltd. 2002-1 index
Swiss Reinsurance PIONEER 2002 Series Parametric Jun-02 Class C US EQ TRS $30,000 Ba3 BB+ Company Ltd. Ltd. 2002-1 index
Swiss Reinsurance PIONEER 2002 Series Parametric Jun-02 Class D US EQ TRS $40,000 Baa3 BBB- Company Ltd. Ltd. 2002-1 index
Swiss Reinsurance PIONEER 2002 Series Parametric Jun-02 Class E JP EQ TRS $25,000 Ba3 BB+ Company Ltd. Ltd. 2002-1 index
*Equity
46 Insurance-Linked Securities Issuance Size Date Beneficiary Issuer Series Class Perils Trigger Collateral (thousands) Moody’s S&P Fitch
Swiss Reinsurance PIONEER 2002 Series US/EU Wind, Parametric Jun-02 Class F TRS $25,000 Ba3 BB+ Company Ltd. Ltd. 2002-1 US/JP EQ index
Swiss Reinsurance PIONEER 2002 Series Parametric Sep-02 Class B EU Wind TRS $5,000 Ba3 BB+ Company Ltd. Ltd. 2002-2 index
Swiss Reinsurance PIONEER 2002 Series Parametric Sep-02 Class C US EQ TRS $20,500 Ba3 BB+ Company Ltd. Ltd. 2002-2 index
Swiss Reinsurance PIONEER 2002 Series Parametric Sep-02 Class D US EQ TRS $1,750 Baa3 BBB- Company Ltd. Ltd. 2002-2 index
Swiss Reinsurance PIONEER 2002 Series Parametric Dec-02 Class A US HU TRS $8,500 Ba3 BB+ Company Ltd. Ltd. 2002-3 index
Swiss Reinsurance PIONEER 2002 Series Parametric Dec-02 Class B EU Wind TRS $21,000 Ba3 BB+ Company Ltd. Ltd. 2002-3 index
Swiss Reinsurance PIONEER 2002 Series Parametric Dec-02 Class C US EQ TRS $15,700 Ba3 BB+ Company Ltd. Ltd. 2002-3 index
Swiss Reinsurance PIONEER 2002 Series Parametric Dec-02 Class D US EQ TRS $25,500 Baa3 BBB- Company Ltd. Ltd. 2002-3 index
Swiss Reinsurance PIONEER 2002 Series Parametric Dec-02 Class E JP EQ TRS $30,550 Ba3 BB+ Company Ltd. Ltd. 2002-3 index
Swiss Reinsurance PIONEER 2002 Series US/EU Wind, Parametric Dec-02 Class F TRS $3,000 Ba3 BB+ Company Ltd. Ltd. 2002-3 US/JP EQ index
Parametric Dec-02 Vivendi Universal, S.A. Studio Re Ltd. US EQ TRS $150,000 Ba2 BB+ index
Parametric Dec-02 Vivendi Universal, S.A.* Studio Re Ltd. US EQ TRS $25,000 B1 BB index
Swiss Reinsurance PIONEER 2002 Series Parametric Mar-03 Class A US HU TRS $6,500 Ba3 BB+ Company Ltd. Ltd. 2003-1 index
Swiss Reinsurance PIONEER 2002 Series Parametric Mar-03 Class B EU Wind TRS $8,000 Ba3 BB+ Company Ltd. Ltd. 2003-1 index
Swiss Reinsurance PIONEER 2002 Series Parametric Mar-03 Class C US EQ TRS $6,500 Ba3 BB+ Company Ltd. Ltd. 2003-1 index
Swiss Reinsurance PIONEER 2002 Series Parametric Mar-03 Class D US EQ TRS $5,500 Baa3 BBB- Company Ltd. Ltd. 2003-1 index
Swiss Reinsurance PIONEER 2002 Series Parametric Mar-03 Class E JP EQ TRS $8,000 Ba3 BB+ Company Ltd. Ltd. 2003-1 index
Swiss Reinsurance PIONEER 2002 Series US/EU Wind, Parametric Mar-03 Class F TRS $8,140 Ba3 BB+ Company Ltd. Ltd. 2003-1 US/JP EQ index
Residential United Services May-03 Reinsurance US HU, EQ Indemnity TRS $160,000 Ba2 BB+ Automobile Association 2003 Limited
Swiss Reinsurance PIONEER 2002 Series Parametric Jun-03 Class A US HU TRS $9,750 Ba3 BB+ Company Ltd. Ltd. 2003-2 index
Swiss Reinsurance PIONEER 2002 Series Parametric Jun-03 Class B EU Wind TRS $12,250 Ba3 BB+ Company Ltd. Ltd. 2003-2 index
Swiss Reinsurance PIONEER 2002 Series Parametric Jun-03 Class C US EQ TRS $7,250 Ba3 BB+ Company Ltd. Ltd. 2003-2 index
Swiss Reinsurance PIONEER 2002 Series Parametric Jun-03 Class D US EQ TRS $2,600 Baa3 BBB- Company Ltd. Ltd. 2003-2 index
Phoenix Quake Parametric Jun-03 Zenkyoren JP EQ TRS $192,500 Baa3 BBB+ Ltd. index
Phoenix Quake Parametric Jun-03 Zenkyoren JP TY, EQ TRS $85,000 Ba1 BBB- Wind II Ltd. index
Phoenix Quake Parametric Jun-03 Zenkyoren JP TY, EQ TRS $192,500 Baa3 BBB+ Wind Ltd. index
*Equity
Aon Benfield 47 Issuance Size Date Beneficiary Issuer Series Class Perils Trigger Collateral (thousands) Moody’s S&P Fitch
Swiss Reinsurance US/EU Wind, Parametric Jul-03 Arbor I Ltd. Series 1 TRS $95,000 B Company Ltd. CA/JP EQ index
Swiss Reinsurance US/EU Wind, Parametric Jul-03 Arbor II Ltd. Series 1 TRS $26,500 A1 A+ Company Ltd. CA/JP EQ index
Swiss Reinsurance Parametric Jul-03 Palm Capital Ltd. Series 1 US HU TRS $22,350 Ba3 BB+ Company Ltd. index
Swiss Reinsurance Parametric Jul-03 Oak Capital Ltd. Series 1 EU Wind TRS $23,600 Ba3 BB+ Company Ltd. index
Swiss Reinsurance Sequoia Parametric Jul-03 Series 1 US EQ TRS $22,500 Ba3 BB+ Company Ltd. Capital Ltd. index
Swiss Reinsurance Sakura Parametric Jul-03 Series 1 JP EQ TRS $14,700 Ba3 BB+ Company Ltd. Capital Ltd. index
Central Reinsurance Corporation Aug-03 Formosa Re Ltd. Taiwan EQ Indemnity TRS $100,000 NR (for TREIP)
Swiss Reinsurance US/EU Wind, Parametric Sep-03 Arbor I Ltd. Series 2 TRS $60,000 B Company Ltd. CA/JP EQ index
Swiss Reinsurance Parametric Dec-03 Palm Capital Ltd. Series 2 US HU TRS $19,000 Ba3 BB+ Company Ltd. index
Swiss Reinsurance US/EU Wind, Parametric Dec-03 Arbor I Ltd. Series 3 TRS $8,850 B Company Ltd. CA/JP EQ index
Swiss Reinsurance PIONEER 2002 Parametric Dec-03 US EQ TRS $51,000 Baa3 BBB- Company Ltd. Ltd. index
Parametric Dec-03 Electricite de France Pylon Ltd. Class A EU Wind TRS € 70,000 A2 BBB+ index
Parametric Dec-03 Electricite de France Pylon Ltd. Class B EU Wind TRS € 120,000 Ba1 BB+ index
Swiss Reinsurance Redwood Dec-03 US EQ Industry index TRS $150,000 Ba1 BB+ Company Ltd. Capital III, Ltd.
Swiss Reinsurance Redwood Dec-03 US EQ Industry index TRS $200,000 Baa3 BBB- Company Ltd. Capital IV, Ltd.
Swiss Reinsurance Parametric Mar-04 Oak Capital Ltd. Series 2 EU Wind TRS $24,000 Ba3 BB+ Company Ltd. index
Swiss Reinsurance Sequoia Parametric Mar-04 Series 2 US EQ TRS $11,500 Ba3 BB+ Company Ltd. Capital Ltd. index
Swiss Reinsurance US/EU Wind, Parametric Mar-04 Arbor Ltd. Series 4 TRS $21,000 B Company Ltd. CA/JP EQ index
Residential United Services May-04 Reinsurance Class A US HU, EQ Indemnity TRS $127,50 0 BB Automobile Association 2004 Limited
Residential United Services May-04 Reinsurance Class B US HU, EQ Indemnity TRS $100,000 B Automobile Association 2004 Limited
US/EU Wind, Bank Jun-04 Converium Ltd. Helix 04 Limited Modeled loss $100,000 BB+ US/JP EQ Deposit
Swiss Reinsurance US/EU Wind, Parametric Jun-04 Arbor Ltd. Series 5 TRS $18,000 B Company Ltd. CA/JP EQ index
Swiss Reinsurance Parametric Jun-04 Gi Capital Ltd. JP EQ TRS $125,000 BB+ Company Ltd. index
Swiss Reinsurance Parametric Sep-04 Oak Capital Ltd. Series 3 EU Wind TRS $10,500 Ba3 BB+ Company Ltd. index
Swiss Reinsurance Sequoia Parametric Sep-04 Series 3 US EQ TRS $11,000 Ba3 BB+ Company Ltd. Capital Ltd. index
Swiss Reinsurance US/EU Wind, Parametric Sep-04 Arbor Ltd. Series 6 TRS $31,800 B Company Ltd. CA/JP EQ index
48 Insurance-Linked Securities Issuance Size Date Beneficiary Issuer Series Class Perils Trigger Collateral (thousands) Moody’s S&P Fitch
Hartford Fire Foundation Re Series Nov-04 Class A US HU Industry index TRS $180,000 BB+ Insurance Company Ltd. 2004-I
Hartford Fire Foundation Re Series Nov-04 Class B US HU, EQ Industry index TRS $67,50 0 BBB+ Insurance Company Ltd. 2004-I
Swiss Reinsurance US/EU Wind, Parametric Dec-04 Arbor I Ltd. Series 7 TRS $15,000 B Company Ltd. CA/JP EQ index
Swiss Reinsurance Redwood Capital Dec-04 US EQ Industry index TRS $150,000 Ba2 BB+ Company Ltd. V, Ltd.
Swiss Reinsurance Redwood Capital Dec-04 US EQ Industry index TRS $150,000 Ba2 BB+ Company Ltd. VI, Ltd.
Swiss Reinsurance US/EU Wind, Parametric Mar-05 Arbor I Ltd. Series 8 TRS $20,000 B Company Ltd. CA/JP EQ index
Residential United Services May-05 Reinsurance Class A US HU, EQ Indemnity TRS $91,000 BB Automobile Association 2005 Limited
Residential United Services May-05 Reinsurance Class B US HU, EQ Indemnity TRS $85,000 B Automobile Association 2005 Limited
Factory Mutual Jun-05 Cascadia Limited US EQ Parametric TRS $300,000 BB+ BB Insurance Company
Swiss Reinsurance US/EU Wind, Parametric Jun-05 Arbor I Ltd. Series 9 TRS $25,000 B Company Ltd. CA/JP EQ index
Zurich American KAMP Re 2005 Jul-05 US HU, EQ Indemnity TRS $190,000 BB+ Insurance Company Ltd.
Atlantic & Nov-05 PXRE Reinsurance Ltd. Western Re Class A US/EU Wind Modeled loss TRS $100,000 BB+ BB Limited
Atlantic & US/EU Wind, Nov-05 PXRE Reinsurance Ltd. Western Re Class B Modeled loss TRS $200,000 B+ B US HU Limited
Münchener Rückversicherungs- Parametric Nov-05 Aiolos Ltd. EU Wind TRS € 110,000 BB+ Gesellschaft Aktiengesellschaft index
Swiss Reinsurance US/EU Wind, Parametric Dec-05 Arbor I Ltd. Series 10 TRS $18,000 B Company Ltd. CA/JP EQ index
Atlantic & US/EU Wind, Dec-05 PXRE Reinsurance Ltd. Western Re II Class A Modeled loss TRS $125,000 BB+ U.S. EQ Limited
Atlantic & US/EU Wind, Dec-05 PXRE Reinsurance Ltd. Western Re II Class B Modeled loss TRS $125,000 BB+ US EQ Limited
Champlain Dec-05 Montpelier Reinsurance Ltd. Class A US/JP EQ Modeled loss TRS $75,000 B B- Limited
Champlain Dec-05 Montpelier Reinsurance Ltd. Class B US HU, EQ Modeled loss TRS $15,000 B+ B- Limited
Swiss Reinsurance Parametric Jan-06 Australis Ltd. Series 1 AU CY, EQ TRS $100,000 BB Company Ltd. index
Swiss Reinsurance Redwood Capital Feb-06 US EQ Industry index TRS $160,000 BB+ Company Ltd. VII, Ltd.
Swiss Reinsurance Redwood Capital Feb-06 US EQ Industry index TRS $65,000 BB+ Company Ltd. VIII, Ltd.
Foundation Re Series Feb-06 Hartford Fire Insurance Company Class D US HU, EQ Industry index TRS $105,000 BB Ltd. 2006-I
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+
ACE American Series May-06 Calabash Re Ltd. Class A-1 US HU Industry index TRS $100,000 BB Insurance Company 2006-I
Aon Benfield 49 Issuance Size Date Beneficiary Issuer Series Class Perils Trigger Collateral (thousands) Moody’s S&P Fitch
Residential United Services May-06 Reinsurance Class A US HU, EQ Indemnity TRS $47,50 0 B Automobile Association 2006 Limited
Residential United Services May-06 Reinsurance Class C US HU, EQ Indemnity TRS $75,000 BB+ Automobile Association 2006 Limited
Successor Swiss Reinsurance Jun-06 Hurricane Series 2 Class D US HU Industry index TRS $10,250 B Company Ltd. Industry Ltd.
Successor Swiss Reinsurance Jun-06 Hurricane Series 2 Class E US HU Industry index TRS $35,000 Company Ltd. Industry Ltd.
Swiss Reinsurance Successor Japan Jun-06 Series 2 Class C JP EQ Modeled loss TRS $3,000 B Company Ltd. Quake Ltd.
Swiss Reinsurance Successor Euro Parametric Jun-06 Series 2 Class A EU Wind TRS $3,000 Ba3 BB Company Ltd. Wind Ltd. index
Swiss Reinsurance Successor Euro Parametric Jun-06 Series 2 Class C EU Wind TRS $3,000 B3 B Company Ltd. Wind Ltd. index
Successor Swiss Reinsurance Jun-06 Hurricane Series 1 Class B US HU Industry index TRS $14,000 B1 BB- Company Ltd. Industry Ltd.
Successor Swiss Reinsurance Jun-06 Hurricane Series 1 Class C US HU Industry index TRS $7,250 B2 B Company Ltd. Industry Ltd.
Successor Swiss Reinsurance Jun-06 Hurricane Series 1 Class D US HU Industry index TRS $34,250 B Company Ltd. Industry Ltd.
Successor Swiss Reinsurance Jun-06 Hurricane Series 1 Class E US HU Industry index TRS $5,000 Company Ltd. Industry Ltd.
Successor Swiss Reinsurance Jun-06 Hurricane Series 1 Class F US HU Industry index TRS $54,000 B2 B Company Ltd. Industry Ltd.
Successor Swiss Reinsurance Jun-06 Hurricane Series 1 Class B US HU Modeled loss TRS $42,250 B1 BB- Company Ltd. Modeled Ltd.
Successor Swiss Reinsurance Parametric Jun-06 Cal Quake Series 1 Class A US EQ TRS $47,50 0 Ba3 BB Company Ltd. index Parametric Ltd.
Swiss Reinsurance Successor Japan Jun-06 Series 1 Class A JP EQ Modeled loss TRS $103,470 BB Company Ltd. Quake Ltd.
Swiss Reinsurance Successor Japan Jun-06 Series 1 Class B JP EQ Modeled loss TRS $26,250 BB- Company Ltd. Quake Ltd.
Swiss Reinsurance Successor Japan Jun-06 Series 2 Class C JP EQ Modeled loss TRS $70,750 B Company Ltd. Quake Ltd.
Swiss Reinsurance Successor Euro Parametric Jun-06 Series 1 Class A EU Wind TRS $97,130 Ba3 BB Company Ltd. Wind Ltd. index
Swiss Reinsurance Successor Euro Parametric Jun-06 Series 1 Class B EU Wind TRS $18,500 B1 BB- Company Ltd. Wind Ltd. index
Swiss Reinsurance Successor Euro Parametric Jun-06 Series 1 Class C EU Wind TRS $110,750 B3 B Company Ltd. Wind Ltd. index
Modeled loss, Swiss Reinsurance US/EU Wind, Jun-06 Successor II Ltd. Series 1 Class A parametric TRS $73,200 B3 B Company Ltd. US/JP EQ index
Modeled loss, Swiss Reinsurance US/EU Wind, Jun-06 Successor II Ltd. Series 1 Class E parametric TRS $154,250 Company Ltd. US/JP EQ index
50 Insurance-Linked Securities Issuance Size Date Beneficiary Issuer Series Class Perils Trigger Collateral (thousands) Moody’s S&P Fitch
Modeled loss, Swiss Reinsurance US/EU Wind, Jun-06 Successor III Ltd. Series 1 Class A parametric TRS $7,20 0 Company Ltd. JP EQ index
Modeled loss, Swiss Reinsurance US/EU Wind, Jun-06 Successor IV Ltd. Series 1 Class A parametric TRS $30,000 B Company Ltd. US/JP EQ index
Münchener Rückversicherungs- Jun-06 Carillon Ltd. Series 1 Class A-2 US HU Industry index TRS $23,500 B+ Gesellschaft Aktiengesellschaft
Münchener Rückversicherungs- Jun-06 Carillon Ltd. Series 1 Class B US HU Industry index TRS $10,000 B Gesellschaft Aktiengesellschaft
Münchener Rückversicherungs- Jun-06 Carillon Ltd. Series 1 Class A-1 US HU Industry index TRS $51,000 B+ Gesellschaft Aktiengesellschaft
Liberty Mutual Series Jun-06 Mystic Re Ltd. Class A US HU Industry index TRS $200,000 BB+ Insurance Company 2006-1
VASCO Re 2006 Bank Jun-06 Balboa Insurance Group US HU Indemnity $50,000 BB+ Ltd. Deposit
DREWCAT Parametric Jun-06 Dominion Resources Class A US HU TRS $50,000 NR Capital, Ltd. index
Parametric Jul-06 Hannover Rück SE Eurus Ltd. EU Wind TRS $150,000 BB index
Endurance Specialty Insurance Shackleton Re Aug-06 Class A US EQ Industry index TRS $125,000 Ba3 BB Company Limited
Endurance Specialty Insurance Shackleton Re Aug-06 Class B US HU Industry index TRS $60,000 Ba3 BB Company Limited
Endurance Specialty Insurance Shackleton Re Aug-06 Class C US HU, EQ Industry index TRS $50,000 Ba2 BB+ Company Limited
Tokio Marine & Nichido Fire Parametric Aug-06 Fhu-Jin Ltd. Series 1 Class B JP TY TRS $200,000 BB+ Insurance Co., Ltd. index
Successor Swiss Reinsurance Aug-06 Hurricane Series 3 Class E US HU Industry index TRS $50,000 Company Ltd. Industry Ltd.
Factory Mutual Cascadia II Bank Aug-06 US EQ Parametric $300,000 BB+ BB+ Insurance Company Limited Deposit
Hartford Fire Foundation Re Series Nov-06 Class G US, HU, EQ, ST Industry index TRS $67,50 0 B Insurance Company II Ltd. 2006-I
Hartford Fire Foundation Re Series Nov-06 Class A US HU Industry index TRS $180,000 BB+ Insurance Company II Ltd. 2006-I
Liberty Mutual Series Nov-06 Mystic Re Ltd. Class A US HU Industry index TRS $200,000 BB+ Insurance Company 2006-2
Liberty Mutual Series Nov-06 Mystic Re Ltd. Class B US HU Industry index TRS $125,000 BB Insurance Company 2006-2
Industry index, Swiss Reinsurance NA/EU W, modeled loss, Dec-06 Successor I Ltd. Series 1 Class B TRS $4,000 Company Ltd. CA/JP EQ parametric index
Successor Swiss Reinsurance Dec-06 Hurricane Series 4 Class E US HU Industry index TRS $4,000 Company Ltd. Industry Ltd.
Industry index, Swiss Reinsurance NA/EU W, modeled loss, Dec-06 Successor I Ltd. Series 2 Class B TRS $24,500 Company Ltd. CA/JP EQ parametric index
Successor Swiss Reinsurance Dec-06 Hurricane Series 5 Class E US HU Industry index TRS $26,000 Company Ltd. Industry Ltd.
Swiss Reinsurance Successor Euro Parametric Dec-06 Series 3 Class A EU Wind TRS $118,000 Ba3 BB Company Ltd. Wind Ltd. index
Aon Benfield 51 Issuance Size Date Beneficiary Issuer Series Class Perils Trigger Collateral (thousands) Moody’s S&P Fitch
Swiss Reinsurance Successor Euro Parametric Dec-06 Series 3 Class C EU Wind TRS $15,000 B3 B Company Ltd. Wind Ltd. index
Zurich American Bank Dec-06 Lakeside Re Ltd. US EQ Indemnity $190,000 BB+ Insurance Company Deposit
Atlas Reinsurance Dec-06 SCOR JP EQ, EU Wind Modeled loss TRS €120,000 BB+ III p.l.c.
Swiss Reinsurance Redwood Capital Parametric Dec-06 Series 1 Class A US EQ TRS $125,000 Ba2 BB+ Company Ltd. IX Ltd. index
Swiss Reinsurance Redwood Capital Parametric Dec-06 Series 1 Class B US EQ TRS $125,000 Ba2 BB+ Company Ltd. IX Ltd. index
Swiss Reinsurance Redwood Capital Parametric Dec-06 Series 1 Class C US EQ TRS $18,000 Baa3 BBB- Company Ltd. IX Ltd. index
Swiss Reinsurance Redwood Capital Parametric Dec-06 Series 1 Class D US EQ TRS $20,000 Ba3 BB Company Ltd. IX Ltd. index
Swiss Reinsurance Redwood Capital Parametric Dec-06 Series 1 Class E US EQ TRS $12,000 B3 B Company Ltd. IX Ltd. index
ACE American Calabash Re Series Jan-07 Class A-1 US HU Modeled loss TRS $100,000 BB Insurance Company II Ltd. 2006-I
ACE American Calabash Re Series Jan-07 Class D-1 US EQ Modeled loss TRS $50,000 B+ Insurance Company II Ltd. 2006-I
ACE American Calabash Re Series Jan-07 Class E-1 US HU, EQ Modeled loss TRS $100,000 BB Insurance Company II Ltd. 2006-I
Parametric Mar-07 Swiss Reinsurance Company Ltd. Australis Ltd. Series 2 AU CY, EQ TRS $50,000 BB index
Modeled loss, Allianz Global US EQ, U.K. Apr-07 Blue Wings Ltd. Series 1 Class A parametric TRS $150,000 BB+ Corporate & Specialty AG Flood index
Apr-07 Aspen Insurance Limited Ajax Re Limited Series 1 Class A US EQ Industry index TRS $100,000 BB
Series Apr-07 Chubb Group East Lane Re Ltd. Class A US HU Indemnity TRS $135,000 BB+ 2007-I
Series Apr-07 Chubb Group East Lane Re Ltd. Class B US HU Indemnity TRS $115,000 BB+ 2007-I
Münchener Rückversicherungs- May-07 Carillon Ltd. Series 2 Class E US HU Industry index TRS $150,000 B Gesellschaft Aktiengesellschaft
The Travelers Longpoint Re Series May-07 Class A US HU Industry index TRS $500,000 BB+ Indemnity Company Ltd. 2007-1
Modeled loss, Swiss Reinsurance NA/EU W, May-07 Successor II Ltd. Series 2 Class A Parametric TRS $100,000 B Company Ltd. CA/JP EQ index
Mitsui Sumitomo Parametric May-07 AKIBARE Ltd. Series 1 Class A JP TY TRS $90,000 BB+ Insurance Co., Ltd. index
Mitsui Sumitomo Parametric May-07 AKIBARE Ltd. Series 1 Class B JP TY TRS $30,000 BB+ Insurance Co., Ltd. index
Swiss Reinsurance Parametric May-07 MedQuake Ltd. Series 1 Class A EU EQ TRS $50,000 BB- Company Ltd. index
Swiss Reinsurance Parametric May-07 MedQuake Ltd. Series 1 Class B EU EQ TRS $50,000 B Company Ltd. index
Liberty Mutual Series May-07 Mystic Re II Ltd. US HU Industry index TRS $150,000 B+ Insurance Company 2007-1
Residential United Services Series May-07 Reinsurance Class 1 US HU, EQ Indemnity TRS $145,000 BB Automobile Association 2007-I 2007 Limited
Residential United Services Series May-07 Reinsurance Class 2 US HU, EQ Indemnity TRS $125,000 B Automobile Association 2007-I 2007 Limited
52 Insurance-Linked Securities Issuance Size Date Beneficiary Issuer Series Class Perils Trigger Collateral (thousands) Moody’s S&P Fitch
Residential United Services Series May-07 Reinsurance Class 3 US HU, EQ Indemnity TRS $75,000 B Automobile Association 2007-I 2007 Limited
Residential United Services Series May-07 Reinsurance Class 4 US HU, EQ Indemnity TRS $155,000 BB+ Automobile Association 2007-I 2007 Limited
Residential United Services Series May-07 Reinsurance Class 5 US HU, EQ Indemnity TRS $100,000 BB+ Automobile Association 2007-I 2007 Limited
Series Industry index, Jun-07 Glacier Reinsurance AG Nelson Re Ltd. Class A US/EU W, U.S. Q TRS $75,000 B 2007-I modeled loss
Series Jun-07 Allstate Insurance Company Willow Re Ltd. Class B US HU Industry index TRS $250,000 BB+ 2007-1
Swiss Reinsurance Spinnaker Capital Series 1 Jun-07 US HU Industry index TRS $200,000 B1 Company Ltd. Ltd. 2007
Fremantle Series US/EU/JP Wind, Jun-07 Brit Insurance Limited Class A Industry index TRS $60,000 Aa1 AAA Limited 2007-1 US/JP EQ
Fremantle Series US/EU/JP Wind, Jun-07 Brit Insurance Limited Class B Industry index TRS $60,000 A3 BBB+ Limited 2007-1 US/JP EQ
Fremantle Series US/EU/JP Wind, Jun-07 Brit Insurance Limited Class C Industry index TRS $80,000 Ba2 BB- Limited 2007-1 US/JP EQ
Swiss Reinsurance Spinnaker Capital Series 2 Jun-07 US HU Industry index TRS $130,200 Ba2 Company Ltd. Ltd. 2007
Swiss Reinsurance FUSION 2007 Parametric Jun-07 Class A JP TY, Mexico EQ TRS $30,000 B Company Ltd. Ltd. index
Swiss Reinsurance FUSION 2007 Parametric Jun-07 Class B JP TY, Mexico EQ TRS $80,000 B Company Ltd. Ltd. index
Swiss Reinsurance FUSION 2007 Parametric Jun-07 Class C Mexico EQ TRS $30,000 BB+ Company Ltd. Ltd. index
State Farm Mutual Automobile Merna Tranche NA HU, EQ, ST, Jul-07 Indemnity TRS $350,000 Aa2 AAA Insurance Company Reinsurance Ltd. A WS, WF
State Farm Mutual Automobile Merna Tranche NA HU, EQ, ST, Jul-07 Indemnity TRS $666,600 A2 AA+ Insurance Company Reinsurance Ltd. B WS, WF
State Farm Mutual Automobile Merna Tranche NA HU, EQ, ST, Jul-07 Indemnity TRS $164,000 Baa2 A- Insurance Company Reinsurance Ltd. C WS, WF
Arrow Capital Reinsurance Worldwide All Jul-07 Javelin Re Ltd. Class A Indemnity TRS $94,500 A- Company, Limited Perils
Arrow Capital Reinsurance Worldwide All Jul-07 Javelin Re Ltd. Class B Indemnity TRS $30,750 BBB- Company, Limited Perils
Swiss Reinsurance Spinnaker Capital Series 3 Jul-07 US HU Industry index TRS $50,000 NR Company Ltd. Ltd. 2007
Oct-07 East Japan Railway Company MIDORI Ltd. JP EQ Parametric TRS $260,000 BB+
Parametric Nov-07 Allianz Argos 14 GmbH Blue Fin Ltd. Series 1 Class A EU Wind TRS €155,000 BB+ index
Parametric Nov-07 Allianz Argos 14 GmbH Blue Fin Ltd. Series 1 Class B EU Wind TRS $65,000 BB+ index
Atlas Reinsurance Nov-07 SCOR Global P&C SE EU Wind, JP EQ Modeled loss TRS €160,000 B IV Limited
Newton Re Series Bank Dec-07 Catlin Group Class A US EQ Industry index $87,50 0 BB+ Limited 2007-1 Deposit
Newton Re Series Bank Dec-07 Catlin Group Class B US HU Industry index $137,50 0 BB+ Limited 2007-1 Deposit
Swiss Reinsurance Series Dec-07 GlobeCat Ltd. Class A-1 Latin America EQ Modeled loss TRS $25,000 Ba3 Company Ltd. LAQ
Swiss Reinsurance Series Dec-07 GlobeCat Ltd. Class A-1 US HU Industry index TRS $40,000 B3 Company Ltd. USW
Aon Benfield 53 Issuance Size Date Beneficiary Issuer Series Class Perils Trigger Collateral (thousands) Moody’s S&P Fitch
Swiss Reinsurance Series Dec-07 GlobeCat Ltd. Class A-1 US EQ Industry index TRS $20,000 B1 Company Ltd. CAQ
Parametric Dec-07 Groupama S.A. Green Valley Ltd. Series 1 Class A EU Wind TRS €200,000 BB+ index
Successor Swiss Reinsurance Dec-07 Hurricane Series 6 Class C US HU Industry index TRS $30,000 B2 B Company Ltd. Industry Ltd.
Successor Swiss Reinsurance Dec-07 Hurricane Series 6 Class D US HU Industry index TRS $30,000 B Company Ltd. Industry Ltd.
Swiss Reinsurance US/EU Wind, Parametric Dec-07 Successor II Ltd. Series 3 Class C TRS $50,000 Company Ltd. US/JP EQ index
Swiss Reinsurance US/EU Wind, Parametric Dec-07 Successor II Ltd. Series 3 Class E TRS $50,000 Company Ltd. US/JP EQ index
Swiss Reinsurance Redwood Capital Parametric Dec-07 Series 1 Class A US EQ TRS $25,000 Baa3 Company Ltd. X Ltd. index
Swiss Reinsurance Redwood Capital Parametric Dec-07 Series 1 Class B US EQ TRS $227,70 0 Ba2 Company Ltd. X Ltd. index
Swiss Reinsurance Redwood Capital Parametric Dec-07 Series 1 Class C US EQ TRS $50,200 Ba3 Company Ltd. X Ltd. index
Swiss Reinsurance Redwood Capital Dec-07 Series 2 Class D US EQ Industry index TRS $130,500 Ba3 Company Ltd. X Ltd.
Swiss Reinsurance Redwood Capital Dec-07 Series 2 Class E US EQ Industry index TRS $45,200 B2 Company Ltd. X Ltd.
Swiss Reinsurance Redwood Capital Dec-07 Series 2 Class F US EQ Industry index TRS $20,000 NR Company Ltd. X Ltd.
Newton Re Series US/EU/JP Wind, Feb-08 Catlin Group Class A Indemnity TRS $150,000 BB Limited 2008-1 US/JP EQ
Münchener Rückversicherungs- Queen Street Parametric Mar-08 Series 1 Class A EU Wind TRS €70,000 BB+ Gesellschaft Aktiengesellschaft Ltd. index
Münchener Rückversicherungs- Queen Street Parametric Mar-08 Series 1 Class B EU Wind TRS €100,000 B Gesellschaft Aktiengesellschaft Ltd. index
East Lane Re Series Northeast U.S. All Mar-08 Chubb Group Class A Indemnity TRS $75,000 BB II Ltd. 2008-I Natural Perils
East Lane Re Series Northeast U.S. All Mar-08 Chubb Group Class B Indemnity TRS $70,000 BB II Ltd. 2008-I Natural Perils
East Lane Re Series NA All Mar-08 Chubb Group Class C Indemnity TRS $55,000 B- II Ltd. 2008-I Natural Perils
Series Parametric May-08 Zenkyoren Muteki Ltd. Class A JP EQ TRS $300,000 Ba2 2008-1 index
HomeWise Preferred Insurance Mangrove Re Series May-08 Company and HomeWise Class A US HU Indemnity TRS $150,000 Ba2 Ltd. 2008-1 Insurance Company
HomeWise Preferred Insurance Mangrove Re Series May-08 Company and HomeWise Class B US HU Indemnity TRS $60,000 B1 Ltd. 2008-1 Insurance Company
Residential United Services Automobile Series May-08 Reinsurance Class 1 US HU, EQ Indemnity TRS $125,000 BB Association 2008-I 2008 Limited
Residential United Services Automobile Series May-08 Reinsurance Class 2 US HU, EQ Indemnity TRS $125,000 B Association 2008-I 2008 Limited
Residential United Services Automobile Series US (HU, EQ, ST, May-08 Reinsurance Class 4 Indemnity TRS $100,000 BB+ Association 2008-I WS, WF) 2008 Limited
Flagstone Reinsurance Limited Series US/EU/JP Wind, May-08 and Flagstone Reassurance Valais Re Ltd. Class A Indemnity TRS $64,000 Ba2 2008-1 US/JP EQ Suisse SA
54 Insurance-Linked Securities Issuance Size Date Beneficiary Issuer Series Class Perils Trigger Collateral (thousands) Moody’s S&P Fitch
Flagstone Reinsurance Limited Series US/EU/JP Wind, May-08 and Flagstone Reassurance Valais Re Ltd. Class C Indemnity TRS $40,000 B3 2008-1 US/JP EQ Suisse SA
Series Jun-08 Glacier Reinsurance AG Nelson Re Ltd. Class G US HU, EQ Indemnity TRS $67,50 0 B3 2008-I
Series Jun-08 Glacier Reinsurance AG Nelson Re Ltd. Class H EU Wind Indemnity TRS $45,000 B3 2008-I
Series Jun-08 Glacier Reinsurance AG Nelson Re Ltd. Class I EU Wind Indemnity TRS $67,50 0 B1 2008-I
Series Jun-08 Allstate Insurance Company Willow Re Ltd. Class D US HU Industry index TRS $250,000 BB+ 2008-1
Nationwide Mutual Insurance Caelus Re Series Jun-08 Class A US HU, EQ Indemnity TRS $250,000 BB+ Company Limited 2008-1
Swiss Reinsurance Series US/EU/JP Wind, Parametric Jun-08 Vega Capital Ltd. Class A TRS $21,000 A3 A- Company Ltd. 2008-I US/JP EQ index
Swiss Reinsurance Series US/EU/JP Wind, Parametric Jun-08 Vega Capital Ltd. Class B TRS $22,500 Baa2 BBB Company Ltd. 2008-I US/JP EQ index
Swiss Reinsurance Series US/EU/JP Wind, Parametric Jun-08 Vega Capital Ltd. Class C TRS $63,900 Ba3 Company Ltd. 2008-I US/JP EQ index
Swiss Reinsurance Series US/EU/JP Wind, Parametric Jun-08 Vega Capital Ltd. Class D TRS $42,600 Company Ltd. 2008-I US/JP EQ index
Allianz Risk Transfer (Bermuda) Series Jul-08 Blue Coast Ltd. Class A US HU Industry index TRS $70,000 BB- Limited 2008-1
Allianz Risk Transfer (Bermuda) Series Jul-08 Blue Coast Ltd. Class B US HU Industry index TRS $30,000 B+ Limited 2008-1
Allianz Risk Transfer (Bermuda) Series Jul-08 Blue Coast Ltd. Class C US HU Industry index TRS $20,000 B- Limited 2008-1
Platinum Underwriters Bermuda Topiary Capital Series US/EU W, Aug-08 Class A Industry index TRS $200,000 BB+ Ltd. Limited 2008-1 US/JP EQ
Atlas V Capital Feb-09 SCOR Global P&C SE Series 1 US HU, EQ Industry index TRS $50,000 B+ Limited
Atlas V Capital Feb-09 SCOR Global P&C SE Series 2 US HU, EQ Industry index TRS $100,000 B+ Limited
Atlas V Capital Feb-09 SCOR Global P&C SE Series 3 US HU, EQ Industry index TRS $50,000 B Limited
East Lane Re Series Mar-09 Chubb Group Class A US HU Indemnity TRS $150,000 BB III Ltd. 2009-I
Liberty Mutual Insurance Series Mar-09 Mystic Re II Ltd. US HU, EQ Industry index TRS $225,000 BB Company 2009-I
Apr-09 Allianz Argos 14 GmbH Blue Fin Ltd. Series 2 Class A US HU, EQ Modeled loss MTN $180,000 BB-
Swiss Reinsurance Parametric Apr-09 Successor II Ltd. Series 4 Class F US HU, EQ MMF $60,000 Company Ltd. index
Series May-09 Assurant, Inc. Ibis Re Ltd. Class A US HU Industry index TRS $75,000 BB 2009-1
Series May-09 Assurant, Inc. Ibis Re Ltd. Class B US HU Industry index TRS $75,000 BB- 2009-1
Residential United Services Series May-09 Reinsurance Class 1 US HU, EQ Indemnity MMF $70,000 BB- Automobile Association 2009-I 2009 Limited
Residential United Services Series May-09 Reinsurance Class 2 US HU, EQ Indemnity MMF $60,000 B- Automobile Association 2009-I 2009 Limited
Residential United Services Series US (HU, EQ, ST, May-09 Reinsurance Class 4 Indemnity MMF $120,000 BB- Automobile Association 2009-I WS, WF) 2009 Limited
Aon Benfield 55 Issuance Size Date Beneficiary Issuer Series Class Perils Trigger Collateral (thousands) Moody’s S&P Fitch
Parametric Münchener Rückversicherungs- Jun-09 Ianus Capital Ltd. EU Wind, EQ index, MTN €50,000 B2 Gesellschaft Aktiengesellschaft modeled loss
ACE American Calabash Re Series Jun-09 Class A US HU, EQ Modeled loss MTN $86,000 BB- Insurance Company III Ltd. 2009-I
ACE American Calabash Re Series Jun-09 Class B US EQ Modeled loss MTN $14,000 BB+ Insurance Company III Ltd. 2009-I
Series Jul-09 North Carolina JUA/IUA Parkton Re Ltd. NC Wind Indemnity MMF $200,000 B+ 2009-1
Series Parametric Jul-09 Hannover Rück SE Eurus II Ltd. Class A EU Wind TPR €150,000 BB 2009-1 index
The Fund for MultiCat Mexico Series Oct-09 Class A Mex EQ Parametric MMF $140,000 B Natural Disasters 2009 Limited 2009-I
The Fund for MultiCat Mexico Series Oct-09 Class B Mex, HU Pacific Parametric MMF $50,000 B Natural Disasters 2009 Limited 2009-I
The Fund for MultiCat Mexico Series Oct-09 Class C Mex, HU Pacific Parametric MMF $50,000 B Natural Disasters 2009 Limited 2009-I
The Fund for MultiCat Mexico Series Oct-09 Class D Mex, HU Atlantic Parametric MMF $50,000 BB- Natural Disasters 2009 Limited 2009-I
Series Nov-09 Flagstone Reassurance Suisse SA Montana Re Ltd. Class A US HU, EQ Industry index TPR $75,000 B- 2009-1
Series Nov-09 Flagstone Reassurance Suisse SA Montana Re Ltd. Class B US HU Industry index TPR $100,000 BB- 2009-1
Industry index, Swiss Reinsurance Series US HU, EQ, Dec-09 Successor X Ltd. Class I-S1 parametric MMF $50,000 Company Ltd. 2009-1 EU Wind index
Industry index, Swiss Reinsurance Series Class Dec-09 Successor X Ltd. US HU, EQ parametric MMF $50,000 B- Company Ltd. 2009-1 I-U1 index
Industry index, Swiss Reinsurance Series Class Dec-09 Successor X Ltd. US HU, EQ parametric MMF $50,000 Company Ltd. 2009-1 I-X1 index
Atlas VI Capital Series Parametric Dec-09 SCOR Global P&C SE Class A EU Wind, JP EQ Repo €75,000 BB- Limited 2009-1 index
The Travelers Indemnity Longpoint Re Series Dec-09 Class A US HU Industry index MMF $250,000 BB+ Company II Ltd. 2009-1
The Travelers Longpoint Re Series Dec-09 Class B US HU Industry index MMF $250,000 BB+ Indemnity Company II Ltd. 2009-1
Zurich American Insurance Lakeside Re Dec-09 Company, Zurich Insurance CA EQ Indemnity MMF $225,000 BB- II Ltd. Company Ltd
Swiss Reinsurance Redwood Capital Series Dec-09 Class A CA EQ Industry index MMF $150,000 B1 Company Ltd. XI Ltd. 2009-1
Hartford Fire Foundation Re Series Jan-10 Class A US HU Industry index MMF $180,000 BB+ Insurance Company III Ltd. 2010-1
Swiss Reinsurance Series Class Industry index, Mar-10 Successor X Ltd. US HU, EU Wind MMF $45,000 B- Company Ltd. 2010-1 II-CN3 modeled loss
Swiss Reinsurance Series Class Industry index, Mar-10 Successor X Ltd. US HU, EU Wind MMF $35,000 Company Ltd. 2010-1 II-CL3 modeled loss
Swiss Reinsurance Series Class US HU, EQ Industry index, Mar-10 Successor X Ltd. MMF $40,000 Company Ltd. 2010-1 II-BY3 EU Wind, JP EQ modeled loss
Merna State Farm Fire and Apr-10 Reinsurance US EQ Indemnity MMF $350,000 BB+ Casualty Company II Ltd.
Series Apr-10 Assurant, Inc. Ibis Re Ltd. Class A US HU Industry index MMF $90,000 BB 2010-1
56 Insurance-Linked Securities Issuance Size Date Beneficiary Issuer Series Class Perils Trigger Collateral (thousands) Moody’s S&P Fitch
Series Apr-10 Assurant, Inc. Ibis Re Ltd. Class B US HU Industry index MMF $60,000 B+ 2010-1
Series May-10 North Carolina JUA/IUA Johnston Re Ltd. Class A US HU Indemnity MMF $200,000 BB- 2010-1
Series May-10 North Carolina JUA/IUA Johnston Re Ltd. Class B US HU Indemnity MMF $105,000 BB- 2010-1
National Union Fire Insurance Lodestone Re Series May-10 Class A US HU, EQ Industry index MMF $175,000 BB+ Company of Pittsburgh Ltd. 2010-1
National Union Fire Insurance Lodestone Re Series May-10 Class B US HU, EQ Industry index MMF $250,000 BB Company of Pittsburgh Ltd. 2010-1
Münchener Rückversicherungs- EOS Wind May-10 Class A US HU Industry index MMF $50,000 Ba3 Gesellschaft Aktiengesellschaft Limited
Industry index, Münchener Rückversicherungs- EOS Wind May-10 Class B US HU, EU Wind parametric MMF $30,000 Ba3 Gesellschaft Aktiengesellschaft Limited index
Nationwide Mutual Insurance Caelus Re II Series May-10 Class A US HU, EQ Indemnity MMF $185,000 BB+ Company Limited 2010-1
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
Residential United Services Series US HU, EQ, ST, May-10 Reinsurance 2010 Class 1 Indemnity MMF $162,500 BB Automobile Association 2010-I WS, WF Limited
Residential United Services Series US HU, EQ, ST, May-10 Reinsurance 2010 Class 2 Indemnity MMF $72,500 B+ Automobile Association 2010-I WS, WF Limited
Residential United Services Series US HU, EQ, ST, May-10 Reinsurance 2010 Class 3 Indemnity MMF $52,500 B- Automobile Association 2010-I WS, WF Limited
Residential United Services Series US HU, EQ, ST, May-10 Reinsurance 2010 Class 4 Indemnity MMF $117,50 0 Automobile Association 2010-I WS, WF Limited
Merna State Farm Mutual Automobile NA HU, EQ, ST, Jun-10 Reinsurance Indemnity MMF $250,000 Insurance Company WS, WF III Ltd
Massachusetts Property Series Jul-10 Insurance Underwriting Shore Re Ltd. Class A US HU Indemnity MMF $96,000 BB 2010-1 Association
Parametric Sep-10 Groupama S.A. Green Valley Ltd. Series 2 Class A EU Wind MTN €100,000 BB+ index
Calypso Capital Series Oct-10 AXA Global P&C Class A EU Wind Industry index TPR €275,000 BB Limited 2010-1
American Family Mutual Series Nov-10 Mariah Re Ltd. US ST Industry index MMF $100,000 B Insurance Company 2010-1
Residential United Services Series US HU, EQ, ST, Dec-10 Reinsurance 2010 Class 1 Indemnity MMF $210,000 BB Automobile Association 2010-II WS, WF Limited
Residential United Services Series US HU, EQ, ST, Dec-10 Reinsurance 2010 Class 2 Indemnity MMF $50,000 Automobile Association 2010-II WS, WF Limited
Residential United Services Series US HU, EQ, ST, Dec-10 Reinsurance 2010 Class 3 Indemnity MMF $40,000 Automobile Association 2010-II WS, WF Limited
Atlas VI Capital Series Parametric Dec-10 SCOR Global P&C SE Class A EU Wind, JP EQ TPR €75,000 B- Limited 2010-1 index
Swiss Reinsurance Series US/EU/JP Wind, Dec-10 Vega Capital Ltd. Class C Multiple MTN $63,900 Ba3 Company Ltd. 2010-I US/JP EQ
Swiss Reinsurance Series US/EU/JP Wind, Dec-10 Vega Capital Ltd. Class D Multiple MTN $42,600 Company Ltd. 2010-I US/JP EQ
Aon Benfield 57 Issuance Size Date Beneficiary Issuer Series Class Perils Trigger Collateral (thousands) Moody’s S&P Fitch
American Family Mutual Series Dec-10 Mariah Re Ltd. US ST Industry index MMF $100,000 Insurance Company 2010-2
National Union Fire Insurance Lodestone Re Series Dec-10 Class A-1 US HU, EQ Industry index MMF $125,000 BB+ Company of Pittsburgh Ltd. 2010-2
National Union Fire Insurance Lodestone Re Series Dec-10 Class A-2 US HU, EQ Industry index MMF $325,000 BB Company of Pittsburgh Ltd. 2010-2
Series Dec-10 Flagstone Reassurance Suisse SA Montana Re Ltd. Class C US HU, EQ Multiple TPR $70,000 B 2010-1
Series Dec-10 Flagstone Reassurance Suisse SA Montana Re Ltd. Class D US HU, EQ Multiple TPR $80,000 2010-1
US HU, EQ, Series Dec-10 Flagstone Reassurance Suisse SA Montana Re Ltd. Class E EU Wind, Multiple TPR $60,000 B- 2010-1 JP TY, EQ
Modeled loss, Swiss Reinsurance Series Class US HU, EQ , Dec-10 Successor X Ltd. parametric MTN $65,000 B- Company Ltd. 2011-1 III-R3 AUS EQ index
Modeled loss, Swiss Reinsurance Series Class US HU, EQ , Dec-10 Successor X Ltd. parametric MTN $50,000 B- Company Ltd. 2011-1 III-S3 AUS EQ index
Modeled loss, Swiss Reinsurance Series Class US HU, EQ , Dec-10 Successor X Ltd. parametric MTN $55,000 Company Ltd. 2011-1 III-T3 AUS EQ index
Green Fields Series Dec-10 Groupama S.A. Class A EU Wind Industry index MTN €75,000 BB+ Capital Limited 2011-1
Foundation Re Series Feb-11 Hartford Fire Insurance Company Class A US HU Industry index MMF $135,000 BB+ III Ltd. 2011-1
Swiss Reinsurance Series Class Feb-11 Successor X Ltd. US HU, EQ Industry index MTN $160,000 B Company Ltd. 2011-2 IV-E3
Swiss Reinsurance Series Class Feb-11 Successor X Ltd. US HU, EQ Industry index MTN $145,000 Company Ltd. 2011-2 IV-AL3
East Lane Re Series US HU, EQ, Mar-11 Chubb Group Class A Indemnity MMF $225,000 BB+ IV Ltd. 2011-I ST, WS
East Lane Re Series US HU, EQ, Mar-11 Chubb Group Class B Indemnity MMF $250,000 BB IV Ltd. 2011-I ST, WS
Münchener Rückversicherungs- Queen Street II Mar-11 US HU, EU Wind Industry index MMF $100,000 BB- Gesellschaft Aktiengesellschaft Capital Limited
Apr-11 Allianz Argos 14 GmbH Blue Fin Ltd. Series 4 Class B US HU, EQ Modeled loss MMF $40,000
Series May-11 North Carolina JUA/IUA Johnston Re Ltd. Class A US HU Indemnity MMF $70,000 BB- 2011-1
Series May-11 North Carolina JUA/IUA Johnston Re Ltd. Class B US HU Indemnity MMF $131,835 BB- 2011-1
Residential United Services Series US HU, EQ, ST, May-11 Reinsurance 2011 Class 1 Indemnity MMF $57,000 B+ Automobile Association 2011-I WS, WF Limited
Residential United Services Series US HU, EQ, ST, May-11 Reinsurance 2011 Class 2 Indemnity MMF $33,000 B- Automobile Association 2011-I WS, WF Limited
Residential United Services Series US HU, EQ, ST, May-11 Reinsurance 2011 Class 5 Indemnity MMF $160,000 B+ Automobile Association 2011-I WS, WF Limited
Loma Series US HU, EQ, EU Jun-11 Argo Re, Ltd. Class A Industry index TPR $100,000 BB- Reinsurance Ltd. 2011-1 Wind, JP EQ
Münchener Rückversicherungs- Queen Street III Jul-11 EU Wind Industry index MMF $150,000 B+ Gesellschaft Aktiengesellschaft Capital Limited
Embarcadero Series Aug-11 California Earthquake Authority Class A CAL EQ Indemnity MMF $150,000 BB- Reinsurance Ltd. 2011-I
58 Insurance-Linked Securities Issuance Size Date Beneficiary Issuer Series Class Perils Trigger Collateral (thousands) Moody’s S&P Fitch
Electricité Réseau Distribution Pylon II Capital Parametric Aug-11 Class A FR Wind TPR €65,000 B+ France Limited index
Electricité Réseau Distribution Pylon II Capital Parametric Aug-11 Class B FR Wind TPR €85,000 B- France Limited index
Tokio Marine & Nichido Fire Series Aug-11 Kizuna Re Ltd. JP TY Indemnity MTN $160,000 Insurance Co., Ltd. 2011-1
Calypso Capital Series Oct-11 AXA Global P&C Class A EU Wind Industry index MTN €180,000 BB- Limited 2011-1
Münchener Rückversicherungs- Queen Street IV Oct-11 US HU, EU Wind Industry index MMF $100,000 BB- Gesellschaft Aktiengesellschaft Capital Limited
Swiss Reinsurance Series Class Nov-11 Successor X Ltd. US HU Industry index MMF $80,000 Company Ltd. 2011-3 V-F4
Swiss Reinsurance Series Class Nov-11 Successor X Ltd. US HU, EU W Industry index MMF $50,000 B- Company Ltd. 2011-3 V-X4
Residential United Services Series US HU, EQ, ST, Nov-11 Reinsurance 2011 Class 1 Indemnity MMF $100,000 Automobile Association 2011-II WS, WF Limited
Residential United Services Series US HU, EQ, ST, Nov-11 Reinsurance 2011 Class 2 Indemnity MMF $50,000 Automobile Association 2011-II WS, WF Limited
National Union Fire Insurance Series Dec-11 Compass Re Ltd. Class 1 US HU, EQ Industry index MMF $75,000 BB- Company of Pittsburgh 2011-1
National Union Fire Insurance Series Dec-11 Compass Re Ltd. Class 2 US HU, EQ Industry index MMF $250,000 BB- Company of Pittsburgh 2011-1
National Union Fire Insurance Series Dec-11 Compass Re Ltd. Class 3 US HU, EQ Industry index MMF $250,000 B+ Company of Pittsburgh 2011-1
State Compensation Insurance Golden State Series Dec-11 US EQ Modeled loss MMF $200,000 BB+ Fund Re Ltd. 2011-1
Atlas VI Capital Series Dec-11 SCOR Global P&C SE Class A US HU, EQ Industry index MTN $125,000 B Limited 2011-1
Atlas VI Capital Series Dec-11 SCOR Global P&C SE Class B US HU, EQ Industry index MTN $145,000 B+ Limited 2011-1
Atlas VI Capital Series Dec-11 SCOR Global P&C SE Class A EU Wind Industry index MTN €50,000 B Limited 2011-2
Series US HU, EQ, Dec-11 Amlin AG Tramline Re Ltd. Class A Industry index MMF $150,000 B- 2011-1 EU Wind
Loma Series Dec-11 Argo Re, Ltd. Class A US HU, EQ Industry index MMF $100,000 Reinsurance Ltd. 2011-2
Series Jan-12 Assurant, Inc. Ibis Re II Ltd. Class A US HU Industry index MMF $100,000 BB- 2012-1
Series Jan-12 Assurant, Inc. Ibis Re II Ltd. Class B US HU Industry index MMF $30,000 B- 2012-1
Embarcadero Series Feb-12 California Earthquake Authority Class A CAL EQ Indemnity MMF $150,000 BB- Reinsurance Ltd. 2012-I
Series Parametric Feb-12 Zenkyoren Kibou Ltd. Class A JP EQ MMF $300,000 BB+ 2012-1 index
Swiss Reinsurance Series Class Feb-12 Successor X Ltd. US HU, EU Wind Industry index MMF $23,000 Company Ltd. 2012-1 V-AA3
Swiss Reinsurance Series Class Feb-12 Successor X Ltd. US HU Industry index MMF $40,000 B2 Company Ltd. 2012-1 V-D3
Münchener Rückversicherungs- Queen Street V Feb-12 US HU, EU Wind Industry index MMF $75,000 Gesellschaft Aktiengesellschaft Re Limited
Liberty Mutual Series US HU, Mar-12 Mystic Re III Ltd. Class A Indemnity MMF $100,000 BB Insurance Company 2012-1 EQ (ex CA)
Aon Benfield 59 Issuance Size Date Beneficiary Issuer Series Class Perils Trigger Collateral (thousands) Moody’s S&P Fitch
Liberty Mutual Series Mar-12 Mystic Re III Ltd. Class B US HU, EQ Indemnity MMF $175,000 B Insurance Company 2012-1
East Lane Re Series Mar-12 Chubb Group Class A Southeast HU, ST Indemnity MMF $75,000 BB V Ltd. 2012
East Lane Re Series Mar-12 Chubb Group Class B Southeast HU, ST Indemnity MMF $75,000 BB- V Ltd. 2012
COUNTRY Mutual & North US HU, EQ, Mar-12 Combine Re Ltd. Class A Indemnity MMF $100,000 Baa1 Carolina Farm Bureau Mutual ST, WS
COUNTRY Mutual & North US HU, EQ, Mar-12 Combine Re Ltd. Class B Indemnity MMF $50,000 Ba3 Carolina Farm Bureau Mutual ST, WS
COUNTRY Mutual & North US HU, EQ, Mar-12 Combine Re Ltd. Class C Indemnity MMF $50,000 Carolina Farm Bureau Mutual ST, WS
Series US, CB, MX HU, Apr-12 Allianz Argos 14 GmbH Blue Danube Ltd. Class A Industry index MTN $120,000 BB+ 2012-1 US, CAN EQ
Series US, CB, MX HU, Apr-12 Allianz Argos 14 GmbH Blue Danube Ltd. Class B Industry index MTN $120,000 BB- 2012-1 NA EQ
Louisiana Citizens Property Series Apr-12 Pelican Re Ltd. Class A LA HU Indemnity MMF $125,000 Insurance Corporation 2012-1
Mitsui Sumitomo Insurance Series Apr-12 Akibare II Ltd. Class A JP TY Modeled loss MMF $130,000 BB Co., Ltd 2012-1
Citizens Property Everglades Re Series Apr-12 Class A FL HU Indemnity MMF $750,000 B+ Insurance Corporation Ltd. 2012-1
Swiss Reinsurance Series May-12 Mythen Ltd. Class A US HU Industry index MTN $50,000 Ba3 Company Ltd. 2012-1
Swiss Reinsurance Series May-12 Mythen Ltd. Class E US HU Industry index MTN $100,000 Ba3 Company Ltd. 2012-1
Swiss Reinsurance Series May-12 Mythen Ltd. Class H US HU, EU Wind Industry index MTN $250,000 B2 Company Ltd. 2012-1
Residential United Services Series US HU, EQ, ST, May-12 Reinsurance 2012 Class 3 Indemnity MMF $50,000 BB- Automobile Association 2012-I WS, CAL WF Limited
Residential United Services Series US HU, EQ, ST, May-12 Reinsurance 2012 Class 5 Indemnity MMF $110,000 BB Automobile Association 2012-I WS, CAL WF Limited
Residential United Services Series US HU, EQ, ST, May-12 Reinsurance 2012 Class 7 Indemnity MMF $40,000 Automobile Association 2012-I WS, CAL WF Limited
The Travelers Long Point Re Series Jun-12 Class A Northeast HU Indemnity MMF $250,000 BB+ Indemnity Company III Ltd. 2012-1
Münchener Rückversicherungs- Queen Street VI Jul-12 US HU, EU Wind Industry index MMF $100,000 B Gesellschaft Aktiengesellschaft Re Limited
Embarcadero Series Jul-12 California Earthquake Authority Class A CAL EQ Indemnity MMF $300,000 BB+ Reinsurance Ltd. 2012-II
Series Sep-12 Hannover Rück SE Eurus III Ltd. Class A EU Wind Industry index MTN €100,000 BB- 2012-1
MultiCat Mexico Series Oct-12 Fund for Natural Disasters Class A Mex EQ Parametric MMF $140,000 B Limited 2012-I
MultiCat Mexico Series Oct-12 Fund for Natural Disasters Class B Mex HU Atlantic Parametric MMF $75,000 B+ Limited 2012-I
MultiCat Mexico Series Oct-12 Fund for Natural Disasters Class C Mex HU Pacific Parametric MMF $100,000 B- Limited 2012-I
Münchener Rückversicherungs- Queen Street VII Oct-12 US HU, EU Wind Industry index MMF $75,000 B Gesellschaft Aktiengesellschaft Re Limited
Atlas Reinsurance Nov-12 SCOR Global P&C SE Class A US HU, EQ Industry index MTN $60,000 BB- VII Limited
60 Insurance-Linked Securities Issuance Size Date Beneficiary Issuer Series Class Perils Trigger Collateral (thousands) Moody’s S&P Fitch
Atlas Reinsurance Nov-12 SCOR Global P&C SE Class B EU Wind Industry index MTN €130,000 BB VII Limited
Swiss Reinsurance Series US HU, U.K. Nov-12 Mythen Re Ltd. Class A Industry index MTN $120,000 B+ Company Ltd. 2012-2 Mortality
Swiss Reinsurance Series Nov-12 Mythen Re Ltd. Class C US HU Industry index MTN $80,000 B- Company Ltd. 2012-2
Residential United Services Series US HU, EQ, ST, Nov-12 Reinsurance Class 1 Indemnity MMF $155,000 BB+ Automobile Association 2012-II WS, CAL WF 2012 Limited
Residential United Services Series US HU, EQ, ST, Nov-12 Reinsurance Class 2 Indemnity MMF $70,000 BB Automobile Association 2012-II WS, CAL WF 2012 Limited
Residential United Services Series US HU, EQ, ST, Nov-12 Reinsurance Class 3 Indemnity MMF $95,000 Automobile Association 2012-II WS, CAL WF 2012 Limited
Residential United Services Series US HU, EQ, ST, Nov-12 Reinsurance Class 4 Indemnity MMF $80,000 Automobile Association 2012-II WS, CAL WF 2012 Limited
National Union Fire Insurance Series Dec-12 Compass Re Ltd. Class 1 US HU, EQ Industry index MMF $400,000 Company of Pittsburgh 2012-1
Zurich American Insurance Lakeside Re III Dec-12 Company, Zurich Insurance US, CAN EQ Indemnity MMF $270,000 B+ Ltd. Company, Ltd.
Nationwide Mutual Insurance Caelus Re 2013 Series Mar-13 Class A US HU, EQ Indemnity MMF $270,000 BB- Company Limited 2013-1
Citizens Property Everglades Re Series Mar-13 Class A FL HU Indemnity MMF $250,000 B Insurance Company Ltd. 2013-1
State Farm Fire and Apr-13 Merna Re IV Ltd. New Madrid EQ Indemnity MMF $300,000 Casualty Company
Nationwide Mutual Insurance Caelus Re 2013 Series Apr-13 Class A US HU, EQ Indemnity MMF $320,000 Company Limited 2013-2
Series Parametric Apr-13 North Carolina JUA/IUA Tar Heel Re Ltd. Class A NC Hurricane MMF $500,000 B+ 2013-1 index
Turkish Catastrophe Insurance Bosphorus 1 Series Apr-13 Class A Turkey EQ Industry index MMF $400,000 BB+ Pool Re Ltd. 2013-1
Series May-13 Allstate Insurance Company Sanders Re Ltd. Class A US HU, EQ Industry index MMF $200,000 BB+ 2013-1
Series May-13 Allstate Insurance Company Sanders Re Ltd. Class B US HU, EQ Indemnity MMF $150,000 BB 2013-1
Louisiana Citizens Property Series May-13 Pelican Re Ltd. Class A LA HU Indemnity MMF $140,000 Insurance Company 2013-1
American Coastal Insurance Series May-13 Armor Re Ltd. Class A Florida HU Indemnity MMF $183,000 BB+ Company 2013-1
Long Point Re Series May-13 Travelers Indemnity Company Class A Northeast HU Indemnity MMF $300,000 BB III Ltd. 2013-1
Blue Danube Series US/CB/MX HU & May-13 Allianz Argos 14 GmbH Class A Industry index MTN $175,000 BB+ II Ltd. 2013-1 NA EQ
Residential United Services Series US HU, EQ, ST, May-13 Reinsurance 2013 Class 11 Indemnity MMF $205,000 Automobile Association 2013-I WS, CAL WF Limited
Residential United Services Series US HU, EQ, ST, May-13 Reinsurance 2013 Class 3 Indemnity MMF $95,000 B- Automobile Association 2013-I WS, CAL WF Limited
Series Jun-13 Assurant, Inc. Ibis Re II Ltd. Class A US HU Industry index MMF $110,000 BB+ 2013-1
Series Jun-13 Assurant, Inc. Ibis Re II Ltd. Class B US HU Industry index MMF $35,000 BB- 2013-1
Aon Benfield 61 Issuance Size Date Beneficiary Issuer Series Class Perils Trigger Collateral (thousands) Moody’s S&P Fitch
Series Jun-13 Assurant, Inc. Ibis Re II Ltd. Class C US HU Industry index MMF $40,000 B 2013-1
Münchener Rückversicherungs- Queen Street VIII Industry index, Jun-13 US HU, AUS CY MMF $75,000 Gesellschaft Aktiengesellschaft Re Limited modeled loss
Tramline Re Series Jun-13 Amlin AG Class A NA EQ Industry index MMF $75,000 II Ltd. 2013-1
Green Fields II Series Jul-13 Groupama S.A. Class A FR Wind Industry index MTN €280,000 BB Capital Limited 2013-1
Swiss Reinsurance Series Jul-13 Mythen Re Ltd. Class B-1 US HU Industry index MMF $100,000 Company Ltd. 2013-1
Renaissance Series Jul-13 Mona Lisa Re Ltd. Class A US HU, EQ Industry index MMF $150,000 BB- Reinsurance Ltd. 2013-2
American Tradewynd Re Series US, CB HU, Jul-13 Class 1 Indemnity MMF $125,000 B+ International Group Ltd. 2013-1 NA EQ
Metropolitan Series Northeast Parametric Jul-13 MetroCat Re Ltd. Class A MMF $200,000 BB- Transportation Authority 2013-1 Storm Surge index
Northshore Re Series Aug-13 AXIS Specialty Limited Class A US HU, EQ Industry index MMF $200,000 BB- Limited 2013-1
National Mutual Insurance Series Sep-13 Federation of Agricultural Nakama Re Ltd. Class 1 JP EQ Indemnity MMF $300,000 BB+ 2013-1 Cooperatives
Calypso Capital II Oct-13 AXA Global P&C Class A EU Wind Industry index MTN €185,000 BB- Limited
Calypso Capital II Oct-13 AXA Global P&C Class B EU Wind Industry index MTN €165,000 B+ Limited
Catlin Insurance Series US HU, EQ, Oct-13 Galileo Re Ltd. Class A Industry index MMF $300,000 Company Ltd. 2013-1 EU Wind
Residential United Services Series US HU, EQ, ST, Dec-13 Reinsurance 2013 Class 1 Indemnity MMF $80,000 Automobile Association 2013-II WS, WF Limited
Residential United Services Series US HU, EQ, ST, Dec-13 Reinsurance 2013 Class 4 Indemnity MMF $70,000 BB- Automobile Association 2013-II WS, WF Limited
Tradewynd Re Series US/CB HU, NA Dec-13 American International Group Class 1-A Indemnity MMF $100,000 Ltd. 2013-2 EQ
Tradewynd Re Series US/CB HU, NA Dec-13 American International Group Class 3-A Indemnity MMF $160,000 Ltd. 2013-2 EQ
Tradewynd Re Series US/CB HU, NA Dec-13 American International Group Class 3-B Indemnity MMF $140,000 Ltd. 2013-2 EQ
Achmea Reinsurance Company Windmill I Re Series Dec-13 Class A EU Wind Indemnity MMF €40,000 N.V. Ltd. 2013-1
American Modern Insurance Queen City Re Series Dec-13 Class A US HU Indemnity MMF $75,000 Group, Inc. Ltd. 2013-1
Loma Series US/CB HU, U.S. Indemnity, Dec-13 Argo Re, Ltd. Reinsurance Class A MMF $32,000 2013-1 ST, NA/CB EQ industry index (Bermuda) Ltd.
Loma Series US/CB HU, U.S. Indemnity, Dec-13 Argo Re, Ltd. Reinsurance Class B MMF $75,000 2013-1 ST, NA/CB EQ industry index (Bermuda) Ltd.
Loma Series US/CB HU, U.S. Indemnity, Dec-13 Argo Re, Ltd. Reinsurance Class C MMF $65,000 2013-1 ST, NA/CB EQ industry index (Bermuda) Ltd.
Series US EQ, Dec-13 QBE Insurance Group Limited VenTerra Re Ltd. Class A Indemnity MMF $250,000 BB 2013-1 AUS CY, EQ
Münchener Rückversicherungs- Queen Street IX Feb-14 US HU, AUS CY Multiple MMF $100,000 Gesellschaft Aktiengesellschaft Re Limited
62 Insurance-Linked Securities Issuance Size Date Beneficiary Issuer Series Class Perils Trigger Collateral (thousands) Moody’s S&P Fitch
East Lane Re Series Northeast U.S. Mar-14 Chubb Group Class A Indemnity MMF $270,000 BB+ VI Ltd. 2014-1 HU, EQ, ST, WS
American Strategic Insurance Series Mar-14 Gator Re Ltd. Class A US HU, ST Indemnity MMF $200,000 Group 2014-1
Tokio Marine & Nichido Fire Series Mar-14 Kizuna Re II Ltd. Class A JP EQ Indemnity MMF $200,000 Insurance Co., Ltd. 2014-1
Tokio Marine & Nichido Fire Series Mar-14 Kizuna Re II Ltd. Class B JP EQ Indemnity MMF $45,000 Insurance Co., Ltd. 2014-1
Great American NA HU, EQ, Mar-14 Riverfront Re Ltd. Indemnity MMF $95,000 BB- Insurance Company ST & WS
State Farm Fire and Mar-14 Merna Re V Ltd. New Madrid EQ Indemnity MMF $300,000 Casualty Company
Heritage Property & Casualty Series Apr-14 Citrus Re Ltd. Class A FL HU Indemnity MMF $150,000 Insurance Company 2014-1
Heritage Property & Casualty Series Apr-14 Citrus Re Ltd. Class 1 FL HU Indemnity MMF $50,000 Insurance Company 2014-2
Apr-14 Assicurazioni Generali S.p.A. Lion I Re Limited EU Wind Indemnity MTN €190,000 B+
Kilimanjaro Re Series Apr-14 Everest Reinsurance Company Class A SE HU Industry index MMF $250,000 BB- Limited 2014-1
Kilimanjaro Re Series Apr-14 Everest Reinsurance Company Class B NA HU, EQ Industry index MMF $200,000 BB- Limited 2014-1
American Coastal Series May-14 Armor Re Ltd. Class A FL HU Indemnity MMF $200,000 Insurance Company 2014-1
Citizens Property Everglades Re Series May-14 Class A FL HU Indemnity MMF $1,500,000 B Insurance Corporation Ltd. 2014-1
Series May-14 Allstate Insurance Company Sanders Re Ltd. Class B US HU, EQ Industry index MMF $330,000 BB+ 2014-1
Series May-14 Allstate Insurance Company Sanders Re Ltd. Class C US HU, EQ Industry index MMF $115,000 BB 2014-1
Series May-14 Allstate Insurance Company Sanders Re Ltd. Class D US HU, EQ Industry index MMF $305,000 BB 2014-1
Castle Key Insurance Company Series May-14 and Castle Key Indemnity Sanders Re Ltd. Class A FL HU, EQ, ST Indemnity MMF $200,000 2014-2 Company
National Mutual Insurance Series May-14 Federation of Agricultural Nakama Re Ltd. Class 1 JP EQ Indemnity MMF $150,000 2014-1 Cooperatives
National Mutual Insurance Series May-14 Federation of Agricultural Nakama Re Ltd. Class 2 JP EQ Indemnity MMF $150,000 2014-1 Cooperatives
Residential United Services Series US HU, EQ, ST, May-14 Reinsurance Class 10 Indemnity MMF $80,000 Automobile Association 2014-I WS, WF 2014 Limited
Residential United Services Series US HU, EQ, ST, May-14 Reinsurance Class 13 Indemnity MMF $50,000 Automobile Association 2014-I WS, WF 2014 Limited
Sompo Japan and Nipponkoa Series May-14 Aozora Re Ltd. Class B JP TY Indemnity MMF ¥10,125,000 BB Insurance Company 2014-1
Texas Windstorm Series Jun-14 Alamo Re Ltd. Class A TX HU Indemnity MMF $400,000 B Insurance Association 2014-1
State Compensation Insurance Golden State Re Series Sept-14 Class A US EQ Modeled loss MMF $250,000 BB+ Fund II Ltd. 2014-1
Kilimanjaro Re Series Nov-14 Everest Reinsurance Company Class C NA EQ Industry index MMF $500,000 BB- Limited 2014-2
Aon Benfield 63 Issuance Size Date Beneficiary Issuer Series Class Perils Trigger Collateral (thousands) Moody’s S&P Fitch
Series Dec-14 California Earthquake Authority Ursa Re Ltd. Class A CAL EQ Indemnity MMF $200,000 2014-1
Series Dec-14 California Earthquake Authority Ursa Re Ltd. Class B CAL EQ Indemnity MMF $200,000 2014-1
Residential United Services Automobile Series US HU, EQ, ST, Dec-14 Reinsurance Class 4 Indemnity MMF $100,000 Association 2014-II WS, WF, VE, MI 2014 Limited
Tramline Re Series US HU, EQ & EU Dec-14 Amlin AG Class A Industry index MMF $200,000 II Ltd. 2014-1 Wind
NA/MEX/CB/ American International Group, Tradewynd Re Series Dec-14 Class 1-B Gulf HU & NA/ Indemnity MMF $100,000 B Inc. Ltd. 2014-1 MEX/CB EQ
NA/MEX/CB/ American International Group, Tradewynd Re Series Dec-14 Class 3-A Gulf HU & NA/ Indemnity MMF $100,000 BB- Inc. Ltd. 2014-1 MEX/CB EQ
NA/MEX/CB/ American International Group, Tradewynd Re Series Dec-14 Class 3-B Gulf HU & NA/ Indemnity MMF $300,000 B Inc. Ltd. 2014-1 MEX/CB EQ
National Mutual Insurance Series Dec-14 Federation of Agricultural Nakama Re Ltd. Class 1 JP EQ Indemnity MMF $175,000 2014-2 Cooperatives
National Mutual Insurance Series Dec-14 Federation of Agricultural Nakama Re Ltd. Class 2 JP EQ Indemnity MMF $200,000 2014-2 Cooperatives
Series US HU, NA EQ, Feb-15 Catlin Insurance Company Ltd. Galileo Re Ltd. Class A Industry index MMF $300,000 2015-1 EU Wind
Atlas IX Capital Series Feb-15 SCOR Global P&C SE Class A US HU, NA EQ Industry index MMF $150,000 Limited 2015-1
Northest HU, Chubb Group of Insurance East Lane Re Series Mar-15 Class A EQ, ST, WS, WF, Indemnity MMF $250,000 BB Companies VI Ltd. 2015-I VE, MI
Tokio Marine & Nichido Fire Series Mar-15 Kizuna Re II Ltd. Class A JP EQ Indemnity MMF ¥35,000,000 BBB- Insurance Co., Ltd. 2015-1
Series Mar-15 Safepoint Insurance Company Manatee Re Ltd. Class A FL HU Indemnity MMF $100,000 2015-1
Industry index Münchener Rückversicherungs- Queen Street X Mar-15 US HU, AUS CY and modeled MMF $100,000 Gesellschaft Aktiengesellschaft Re Limited loss
State Farm Fire and Casualty Series Mar-15 Merna Re Ltd. Class A New Madrid EQ Indemnity MMF $300,000 Company 2015-1
Heritage Property & Casualty Series Apr-15 Citrus Re Ltd. Class A FL HU Indemnity MMF $150,000 Insurance Company 2015-1
Heritage Property & Casualty Series Apr-15 Citrus Re Ltd. Class B FL HU Indemnity MMF $97,50 0 Insurance Company 2015-1
Heritage Property & Casualty Series Apr-15 Citrus Re Ltd. Class C FL HU Indemnity MMF $30,000 Insurance Company 2015-1
Louisiana Citizens Property Series Apr-15 Pelican III Re Ltd. Class A LA HU Indemnity MMF $100,000 Insurance Corporation 2015-1
Massachusetts Property Cranberry Re Series Apr-15 Insurance Underwriting Class A MA HU, ST, WS Indemnity MMF $300,000 B Ltd. 2015-1 Associaton
Citizens Property Insurance Everglades Re Series May-15 Class A FL HU Indemnity MMF $300,000 BB Corporation Ltd. 2015-1
Texas Windstorm Insurance Series Apr-15 Alamo Re Ltd. Class A TX HU Indemnity MMF $300,000 B+ Association 2015-1
Texas Windstorm Insurance Series Apr-15 Alamo Re Ltd. Class B TX HU Indemnity MMF $400,000 BB- Association 2015-1
64 Insurance-Linked Securities Issuance Size Date Beneficiary Issuer Series Class Perils Trigger Collateral (thousands) Moody’s S&P Fitch
The Travelers Indemnity Long Point Re Series Northeast HU, May-15 Class A Indemnity MMF $300,000 BB- Company III Ltd. 2015-1 EQ, ST, WS
Residential United Services Automobile Series US HU, EQ, ST, May-15 Reinsurance Class 10 Indemnity MMF $50,000 Association 2015-I WS, WF, VE, MI 2015 Limited
Residential United Services Automobile Series US HU, EQ, ST, May-15 Reinsurance Class 11 Indemnity MMF $100,000 Association 2015-I WS, WF, VE, MI 2015 Limited
American International Group, Compass Re Series Parametric Jun-15 Class 1 US HU MMF $300,000 B+ Inc. II Ltd. 2015-1 index
Azzurro Re I EBRD Jun-15 UnipolSai Assicurazioni S.p.A Class A EU EQ Indemnity € 200,000 BB+ Limited Notes
Series West coast IBRD Jul-15 Hannover Rück SE Acorn Re Ltd. Class A Parametric $300,000 BB 2015-1 NA EQ Notes
Turkish Catastrophe Insurance Series Parametric IBRD Aug-15 Bosphorus Ltd. Turkey EQ $100,000 Pool 2015-1 index Notes
Series Sep-15 California Earthquake Authority Ursa Re Ltd. Class B CAL EQ Indemnity MMF $250,000 2015-1
US HU (surge National Railroad Passenger PennUnion Re Series Oct-15 Class A and wind) and Parametric MMF $275,000 BB- Corporation Ltd. 2015-1 EQ
Kilimanjaro Re Series US, CAN, PR HU Dec-15 Everest Reinsurance Company Class D Industry index MMF $300,000 Limited 2015-1 and EQ
Kilimanjaro Re Series US, CAN, PR HU Dec-15 Everest Reinsurance Company Class E Industry index MMF $325,000 Limited 2015-1 and EQ
Residential United Services Automobile Series US HU, EQ, ST, Dec-15 Reinsurance Class 3 Indemnity MMF $125,000 B- Association 2015-II WS, WF, VE, MI 2015 Limited
Münchener Rückversicherungs- Queen Street XI US HU and Industry index, Dec-15 MMF $100,000 Gesellschaft Aktiengesellschaft Re dac AUS CY modeled loss
National Mutual Insurance Series Dec-15 Federation of Agricultural Nakama Re Ltd. Class 1 JP EQ Indemnity MMF $100,000 2015-1 Cooperatives
National Mutual Insurance Series Dec-15 Federation of Agricultural Nakama Re Ltd. Class 2 JP EQ Indemnity MMF $200,000 2015-1 Cooperatives
Atlas IX Capital Series US, PR HU and EBRD Jan-16 SCOR Global P&C SE Class A Industry index $300,000 DAC 2016-1 US, PR, CAN EQ Notes
Series US HU, EU wind Jan-16 XL Insurance (Bermuda) Ltd Galileo Re Ltd. Class A Industry index MMF $100,000 2016-1 and US, CAN EQ
Series US HU, EU wind Jan-16 XL Insurance (Bermuda) Ltd Galileo Re Ltd. Class B Industry index MMF $100,000 2016-1 and US, CAN EQ
Series US HU, EU wind Jan-16 XL Insurance (Bermuda) Ltd Galileo Re Ltd. Class C Industry index MMF $100,000 2016-1 and US, CAN EQ
Heritage Property & Casualty Series Class Feb-16 Insurance Company and Zephyr Citrus Re Ltd. FL, HI HU Indemnity MMF $150,000 2016-1 D-50 Insurance Company, Inc.
Heritage Property & Casualty Series Class Feb-16 Insurance Company and Zephyr Citrus Re Ltd. FL, HI HU Indemnity MMF $100,000 2016-1 E-50 Insurance Company, Inc.
Nationwide Mutual Insurance Caelus Re IV Series US HU, EQ, ST, Feb-16 Class A Indemnity MMF $300,000 Company Limited 2016-1 WS, WF, VE, MI
Espada US HU, EQ, ST, United Services Automobile Series Mar-16 Reinsurance Class 20 WS, WF, VE, Indemnity MMF $50,000 Association 2016-I Limited MI, OP
Series Mar-16 Safepoint Insurance Company Manatee Re Ltd. Class A FL, LA HU Indemnity MMF $75,000 2016-1
Aon Benfield 65 Issuance Size Date Beneficiary Issuer Series Class Perils Trigger Collateral (thousands) Moody’s S&P Fitch
Series Mar-16 Safepoint Insurance Company Manatee Re Ltd. Class C FL, LA HU Indemnity MMF $20,000 2016-1
Mitsui Sumitomo Insurance Series IBRD Mar-16 Akibare Re Ltd. Class A JP TY Indemnity $200,000 Co., Ltd 2016-1 Notes
Sompo Japan Nipponkoa Series IBRD Mar-16 Aozora Re Ltd. Class A JP TY Indemnity $220,000 BB- Insurance Inc. 2016-1 Notes
State Farm Fire and Casualty Series Mar-16 Merna Re Ltd. Class A New Madrid EQ Indemnity MMF $300,000 Company 2016-1
Residential US HU, EQ, ST, United Services Automobile Series May-16 Reinsurance Class 10 WS, WF, VE, Indemnity MMF $65,000 Association 2016-I 2016 Limited MI, OP
Residential US HU, EQ, ST, United Services Automobile Series May-16 Reinsurance Class 11 WS, WF, VE, Indemnity MMF $75,000 Association 2016-I 2016 Limited MI, OP
Residential US HU, EQ, ST, United Services Automobile Series May-16 Reinsurance Class 13 WS, WF, VE, Indemnity MMF $110,000 BB- Association 2016-I 2016 Limited MI, OP
Münchener Rückversicherungs- Queen Street XII US HU and EU IBRD May-16 Industry index $190,000 Gesellschaft Aktiengesellschaft Re dac wind Notes
Security First Insurance Series May-16 First Coast Re Ltd Class A FL HU, ST Indemnity MMF $75,000 Company 2016-1
United Property & Casualty Insurance Co., Family Security Series May-16 Laetere Re Ltd. Class A US HU and EQ Indemnity MMF $30,000 Insurance Co., Interboro 2016-1 Insurance Co.
United Property & Casualty Insurance Co., Family Security Series May-16 Laetere Re Ltd. Class B US HU and EQ Indemnity MMF $40,000 Insurance Co., Interboro 2016-1 Insurance Co.
United Property & Casualty Insurance Co., Family Security Series May-16 Laetere Re Ltd. Class C US HU and EQ Indemnity MMF $30,000 Insurance Co., Interboro 2016-1 Insurance Co.
Allianz Risk Transfer (Bermuda) Series Jun-16 Blue Halo Re Ltd. Class A US HU and EQ Industry index MMF $130,000 Limited 2016-1
Allianz Risk Transfer (Bermuda) Series Jun-16 Blue Halo Re Ltd. Class B US HU and EQ Industry index MMF $55,000 Limited 2016-1
66 Insurance-Linked Securities Appendix III Life and Health Catastrophe Bonds— Transaction Summary
As of June 30, 2016
Source: Aon Securities Inc.
Aon Benfield 67 Summary of life and health catastrophe bonds — December 1996 through June 2016
Size Issuance date Beneficiary Issuer Series Class Perils Trigger (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-
Scottish Annuity & Life Insurance Apr-06 Tartan Capital Limited Series 1 Class A Extreme mortality Index $75,000 AAA Company (Cayman) Ltd.
Scottish Annuity & Life Insurance Apr-06 Tartan Capital Limited Series 1 Class B Extreme mortality Index $80,000 A- Company (Cayman) Ltd.
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-
Münchener Rückversicherungs- Feb-08 Nathan Ltd. Series 1 Class A Extreme mortality Index $100,000 A- Gesellschaft Aktiengesellschaft
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+
68 Insurance-Linked Securities Size Issuance date Beneficiary Issuer Series Class Perils Trigger (thousands) S&P
Dec-10 Aetna Life Insurance Company Vitality Re Limited Series 2010-1 Class A Health Indemnity - MBR $150,000 BBB-
Dec-10 Swiss Reinsurance Company Ltd. Kortis Capital Ltd. Series 2010-1 Class E Longevity Index $50,000 BB+
Apr-11 Aetna Life Insurance Company Vitality Re II Limited Series 2011-1 Class A Health Indemnity - MBR $110,000 BBB
Apr-11 Aetna Life Insurance Company Vitality Re II Limited Series 2011-1 Class B Health Indemnity - MBR $40,000 BB+
Aug-11 Swiss Reinsurance Company Ltd. Vita Capital IV Ltd. Series V Class D Extreme mortality Index $100,000 BBB-
Aug-11 Swiss Reinsurance Company Ltd. Vita Capital IV Ltd. Series VI Class E Extreme mortality Index $80,000 BB+
Jan-12 Aetna Life Insurance Company Vitality Re III Limited Series 2012-1 Class A Health Indemnity - MBR $105,000 BBB+
Jan-12 Aetna Life Insurance Company Vitality Re III Limited Series 2012-1 Class B Health Indemnity - MBR $45,000 BB+
Jul-12 Swiss Reinsurance Company Ltd. Vita Capital V Ltd. Series 2012-I Class D-1 Extreme mortality Index $125,000 BBB-
Jul-12 Swiss Reinsurance Company Ltd. Vita Capital V Ltd. Series 2012-I Class E-1 Extreme mortality Index $150,000 BB+
Jan-13 Aetna Life Insurance Company Vitality Re IV Limited Series 2013-1 Class A Health Indemnity - MBR $105,000 BBB+
Jan-13 Aetna Life Insurance Company Vitality Re IV Limited Series 2013-1 Class B Health Indemnity - MBR $45,000 BB+
Sep-13 SCOR Global Life SE Atlas IX Capital Limited Series 2013-1 Class B Extreme mortality Index $180,000 BB
Jan-14 Aetna Life Insurance Company Vitality Re V Limited Series 2014-1 Class A Health Indemnity - MBR $140,000 BBB+
Jan-14 Aetna Life Insurance Company Vitality Re V Limited Series 2014-1 Class B Health Indemnity - MBR $60,000 BB+
Jan-14 Aetna Life Insurance Company Vitality Re V Limited Series 2014-1 Class A Health Indemnity - MBR $140,000 BBB+
Jan-14 Aetna Life Insurance Company Vitality Re V Limited Series 2014-1 Class B Health Indemnity - MBR $60,000 BB+
Jan-15 Aetna Life Insurance Company Vitality Re VI Limited Series 2015-1 Class A Health Indemnity - MBR $140,000 BBB+
Jan-15 Aetna Life Insurance Company Vitality Re VI Limited Series 2015-1 Class B Health Indemnity - MBR $60,000 BB+
Apr-15 AXA Global Life Benu Capital Limited Class A Extreme mortality Index € 135,000 BB+
Apr-15 AXA Global Life Benu Capital Limited Class B Extreme mortality Index € 150,000 BB
Dec-16 Swiss Reinsurance Company Ltd. Vita Capital Limited Series 2015-1 Class A Extreme mortality Index $100,000 BB
Jan-16 Aetna Life Insurance Company Vitality Re VII Limited Series 2016-1 Class A Health Indemnity - MBR $140,000 BBB+
Jan-16 Aetna Life Insurance Company Vitality Re VII Limited Series 2016-1 Class B Health Indemnity - MBR $60,000 BB+
Aon Benfield 69 70 Insurance-Linked Securities Appendix IV Summary of Sidecar Issuance
As of June 30, 2016
Source: Aon Securities Inc., various company filings and press releases.
Aon Benfield 71 Summary of sidecar issuance
Sidecar Principal Sponsor Inception Lines of business Size ($ millions)
Top Layer Re RenaissanceRe Holdings Ltd., SF Dec-99 High excess U.S. property cat 100.0
Olympus Re White Mountains Insurance Group, Ltd. Dec-01 Property cat, property risk, retro and marine 500.0
DaVinci Re RenaissanceRe Holdings Ltd., SF Dec-01 Property cat reinsurance 600.0
Rockridge Re Montpelier Reinsurance Ltd. Jun-05 High excess cat retrocessional 90.9
Blue Ocean Re Montpelier Reinsurance Ltd. Dec-05 Property cat retrocessional 300.0
Cyrus Re XL Group Ltd Dec-05 Property cat reinsurance and retrocessional 525.0
Flatiron Re Arch Reinsurance Company Dec-05 Property and marine reinsurance 900.0
Helicon Re White Mountains Insurance Group, Ltd. Dec-05 Short-tailed property and marine 146.0
Kaith/K5 Hannover Rück SE Dec-05 Property cat, property risk, aviation and marine 370.0
Olympus Re II White Mountains Insurance Group, Ltd. Jan-06 Property cat, property risk, retro and marine 156.0
Petrel Re Validus Holdings, Ltd. May-06 Marine and offshore energy reinsurance contracts 125.0
Starbound Re RenaissanceRe Holdings Ltd. May-06 Short-tailed property and marine 310.5
Bay Point Re Harbor Point Limited Jun-06 US property, marine, retro and workers’ comp 150.0
Sirocco Re Lancashire Holdings Limited Jun-06 Marine and offshore energy insurance contracts 75.0
Timicuan Re RenaissanceRe Holdings Ltd. Jul-06 Reinstatement premium protection 70.0
Concord Re Lexington Insurance Company Aug-06 US commercial property 730.0
Mont Fort Re Flagstone Reinsurance Holdings, S.A. Aug-06 Peak zone and ILW 60.0
Cyrus Re XL Group Ltd Nov-06 Property cat reinsurance and retrocessional 635.0
Panther Re Hiscox Inc. Dec-06 Property cat reinsurance 360.0
Syncro Ltd. Lloyd’s #4242 (Chaucer) Dec-06 Property cat reinsurance 100.0
Norton Re Brit plc Dec-06 Property cat retrocessional 107.7
New Point Re Harbor Point Limited Dec-06 Property cat retrocessional 250.0
Triomphe Re Paris Re Dec-06 Property cat retrocessional 185.0
Sector Re Swiss Reinsurance Company Ltd. Jan-07 Property cat, aviation 220.0
MaRI Ltd. ACE Tempest Re Jan-07 Property cat reinsurance 400.0
Syndicate 6105 Ark Underwriting Jan-07 Property cat reinsurance 40.0
Syndicate 6104 Hiscox Inc. Jan-07 Property cat reinsurance 69.0
Syndicate 6103 MAP Underwriting Jan-07 Property cat reinsurance 78.6
Bridge Re Swiss Reinsurance Company Ltd. Apr-07 Property cat, aviation 182.5
Starbound Re II RenaissanceRe Holdings Ltd. Jun-07 Property cat reinsurance 341.5
Mont Gele Re Flagstone Reinsurance Holdings, S.A. Jul-07 Property cat reinsurance 60.0
Norton Re II Brit plc Dec-07 Property cat retrocessional 118.2
Sector Re II Swiss Reinsurance Company Ltd. Apr-08 Property cat, aviation 150.0
Cyrus Re ll XL Group Ltd Dec-07 Property cat reinsurance and retrocessional 140.0
New Point Re II Harbor Point Limited Dec-07 Property cat retrocessional 100.0
Globe Re Hannover Rück SE May-08 Property cat retrocessional 133.0
Kaith/K6 Hannover Rück SE Mar-09 Property cat, property risk, aviation and marine 180.0
Timicuan Re II RenaissanceRe Holdings Ltd. Jun-09 Property cat retrocessional, primarily Florida 60.4
72 Insurance-Linked Securities Sidecar Principal Sponsor Inception Lines of business Size ($ millions)
Fac Pool Re Hannover Rück SE Sep-09 Worldwide facultative 60.0
AlphaCat Re Validus Holdings, Ltd. May-11 Property cat reinsurance and retrocessional 180.0
Accordion Re Lancashire Holdings Limited Jul-11 Property cat 200.0
New Point Re IV Alterra Capital Group Jul-11 Property cat retrocessional 225.0
Upsilon Re RenaissanceRe Holdings Ltd. Jan-12 Property cat retrocessional 73.7
SPS 20881 Catlin Insurance Company Ltd. Jan-12 Various lines (Syndicate 2003 quota share) 77.5
SPS 61111 Catlin Insurance Company Ltd. Jan-12 Various lines (Syndicate 2003 quota share) 93.0
SPS 61121 Catlin Insurance Company Ltd. Jan-12 Various lines (Syndicate 2003 quota share) 41.9
PacRe Validus Holdings, Ltd. Mar-12 Property cat reinsurance (top layer) 500.0
Timicuan Re III RenaissanceRe Holdings Ltd. Jun-12 Property cat retrocessional, primarily Florida 73.7
New Point Re V Alterra Capital Group Jun-12 Property cat retrocessional 210.0
AlphaCat Re 2012 Validus Holdings, Ltd. Jun-12 Property cat reinsurance and retrocessional 70.0
Saltire Re I Lancashire Holdings Limited Nov-12 Combined exposure UNL aggregate reinsurance product 250.0
New Point Re V Alterra Capital Group Dec-12 Property cat retrocessional 37.0
Upsilon Re II RenaissanceRe Holdings Ltd. Jan-13 Worldwide aggregate retrocessional reinsurance 185.0
Harambee Re Argo Group International Holdings, Ltd. Jan-13 Portfolio for both insurance and reinsurance Undisclosed
AlphaCat Re 2013 Validus Holdings, Ltd. Jan-13 Worldwide property cat reinsurance and retrocession 230.0
Mt. Logan Re Everest Re Group, Ltd. Jan-13 Worldwide property cat reinsurance 250.0
K Cession Hannover Rück SE Mar-13 Peak property cat and whole account XOL non-marine 328.0
Lorenz Re Partner Reinsurance Company Ltd. Mar-13 Worldwide property cat reinsurance for select accounts 75.0
Altair Re ACE Tempest Re Apr-13 Worldwide property cat insurance and reinsurance 95.0
Kinesis Lancashire Holdings Limited Jul-13 Property, energy, marine, aviation and Lloyd’s 270.0
New Ocean Capital Management XL Group Ltd Jul-13 Collateralized reinsurance and capital markets Est. 200
New Point VI Markel Corporation Jul-13 Property cat retrocessional 215.0
Blue Capital Re. Holdings Montpelier Reinsurance Ltd. Nov-13 Property cat reinsurance 175.0
AlphaCat 2014 Validus Holdings, Ltd. Dec-13 Worldwide property cat reinsurance 160.0
Atlas Reinsurance X SCOR Global P&C Dec-13 Property cat reinsurance 56.0
Silverton Re Aspen Bermuda Limited Dec-13 Property cat reinsurance 65.0
Münchener Rückversicherungs- Eden Re Jan-14 Property cat reinsurance 63.0 Gesellschaft Aktiengesellschaft
Altair Re II ACE Tempest Re Jan-14 Worldwide property cat insurance and reinsurance 95.0
Harambee Re Argo Group International Holdings, Ltd. Jan-14 Property reinsurance Undisclosed
Upsilon RFO RenaissanceRe Holdings Ltd. Jan-14 Worldwide aggregate cat retrocessional 265.0
Pangaea IX Transatlantic Reinsurance Company May-14 Retrocessional Undisclosed
Silverton Re Aspen Bermuda Limited Dec -14 Property cat reinsurance 85.0
Münchener Rückversicherungs- Eden Re II Dec-14 Property cat reinsurance 75.0 Gesellschaft Aktiengesellschaft
Münchener Rückversicherungs- Eden Re I 2015-1 Dec-14 Property cat reinsurance Undisclosed Gesellschaft Aktiengesellschaft
Pangaea Re Transatlantic Reinsurance Company Dec-14 Property cat reinsurance Undisclosed
1 Converted at £1.00 = $1.55 as of Jan. 1, 2012. Whole account quota share of the Catlin Syndicate at Lloyd’s (Syndicate, 2003).
Aon Benfield 73 Sidecar Principal Sponsor Inception Lines of business Size ($ millions)
Versutus Brit plc Jan-15 Worldwide property cat reinsurance 75.0
AlphaCat 2015 Validus Holdings, Ltd. Jan-15 Property cat reinsurance 155.0
Sector Re V Swiss Reinsurance Company Ltd. Apr-15 Property cat reinsurance 190.7
Lorenz Re Partner Reinsurance Company Ltd. Apr-15 Property cat reinsurance 84.0
Silverton Re Aspen Bermuda Limited Jan-16 Property cat reinsurance 125.0
Münchener Rückversicherungs- Eden Re II Jan-16 Property cat reinsurance 360.0 Gesellschaft Aktiengesellschaft
Altair Re IV ACE Tempest Re Jan-16 Property cat reinsurance Undisclosed
K-Cessions Hannover Ruck SE Jan-16 Property cat reinsurance 500.0
Versutus Brit plc Jan-16 Property cat reinsurance 82.5
74 Insurance-Linked Securities Contact
Paul Schultz Chief Executive Officer, Aon Securities Inc. +1 312 381 5256 [email protected]
About Aon Benfield
Aon Benfield, a division of Aon plc (NYSE: AON), is the world‘s Through our professionals’ expertise and experience, we advise leading reinsurance intermediary and full-service capital clients in making optimal capital choices that will empower advisor. We empower our clients to better understand, manage results and improve operational effectiveness for their business. and transfer risk through innovative solutions and personalized With more than 80 offices in 50 countries, our worldwide access to all forms of global reinsurance capital across treaty, client base has access to the broadest portfolio of integrated facultative and capital markets. As a trusted advocate, we capital solutions and services. To learn how Aon Benfield helps deliver local reach to the world‘s markets, an unparalleled empower results, please visit aonbenfield.com. investment in innovative analytics, including catastrophe management, actuarial and rating agency advisory.
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