The catastrophe bond and insurance-linked security transactions issued during 2011

by Artemis on January 3, 2012

2011 has been a very interesting year for the catastrophe bond and insurance-linked securities market. We’ve seen cat bond defaults as a number of deals became a total loss, uncertainty as issuance stalled after the new RMS risk model was released, continuing financial market turbulence and other disasters which threatened exposed cat bonds. Despite all of this the market has successfully seen a healthy level of issuance and we have recorded 28 new cat bond or ILS deals in our Deal Directory.

Here’s a list of all the cat bond and ILS deals we have recorded in our Deal Directory during 2011. A few of these are private deals which other sources may not count in their annual total volume of issuance. In total we have recorded (at today’s conversion rates) just over $4.95 billion dollars of ILS and cat bond issuance in our Deal Directory during 2011, a great total for the year given the slowdown and other market impacting events.

With interest in cat bonds and ILS still rising from investors & investment managers and both experienced & potential new sponsors we currently expect 2012 to at least match this figure and hopefully surpass it.

Issuer Cedent Risks / Perils covered Size Date
Loma Reinsurance Ltd. (Series 2011-2) Argo Re Not confirmed – U.S. hurricane, U.S. earthquake, European windstorm, Japan earthquake $100m Dec 2011
Vecta I Ltd. Aurigen Reinsurance Embedded value securitization of life insurance mortality and lapse risk C$120m Dec 2011
Tramline Re Ltd. (Series 2011-1) Amlin AG U.S. hurricane, U.S. earthquake, European windstorm $150m Dec 2011
Atlas VI Capital Ltd. (Series 2011-1) SCOR U.S. hurricane, U.S. earthquake, European windstorm $337m Dec 2011
Golden State Re Ltd. (Series 2011-1) California State Compensation Insurance Fund Workers compensation claims resulting from California earthquakes $200m Dec 2011
Residential Reinsurance 2011 Ltd. (Series 2011-2) USAA U.S. hurricane, U.S. earthquake, U.S. severe thunderstorm, U.S. winter storm, U.S. wildfire $150m Nov 2011
Compass Re Ltd. (Series 2011-1) National Union Fire Insurance Co. of Pittsburgh U.S. hurricane, U.S. earthquake $575m Nov 2011
Successor X Ltd. (Series 2011-3) Swiss Re U.S. hurricane, European windstorm $130m Nov 2011
Queen Street IV Capital Ltd. Munich Re U.S hurricane, European windstorm $100m Oct 2011
Calypso Capital Ltd. (Series 2011-1) AXA Global P&C European windstorm €180m Oct 2011
Hoplon Insurance Ltd. MyLotto24 Lottery winnings €70.5m Sept 2011
Kizuna Re Ltd. Tokio Marine Japan typhoon $160m Aug 2011
Pylon II Capital Ltd. EDF (via Natixis) European windstorm €150m Aug 2011
Embarcadero Re Ltd. (Series 2011-1) California Earthquake Authority California earthquake $150m Aug 2011
Vita Capital IV Ltd. (Series V and VI) Swiss Re Extreme mortality $180m Jul 2011
Queen Street III Capital Ltd. Munich Re European windstorm $150m Jul 2011
Oak Leaf Re Ltd. (Series 2011-1) Unknown Florida based cedent U.S. hurricane $11.95m Jul 2011
Sector Re V Ltd. (Series 1, Class B) Swiss Re U.S. hurricane, U.S. earthquake, Australia earthquake, Australia tropical cyclone, European windstorm, Japanese earthquake $70m Jun 2011
Loma Reinsurance Ltd. (Series 2011-1) Argo Re U.S. hurricane, U.S. earthquake, European windstorm, Japan earthquake $100m Jun 2011
Residential Reinsurance 2011 Ltd. (Series 2011-1) USAA U.S. hurricane, U.S. earthquake, U.S. severe thunderstorm, U.S. winter storm, U.S. wildfire $250m May 2011
Johnston Re Ltd. (Series 2011-1) North Carolina JUA / IUA North Carolina hurricane $202m May 2011
Blue Fin Ltd. (Series 4) Allianz U.S. hurricane, U.S. earthquake $40m Apr 2011
Vitality Re II Ltd. Aetna Life Insurance Company Medical benefit claims levels $150m Apr 2011
Sector Re V Ltd. (Series 1, Class A) Swiss Re U.S. hurricane, U.S. earthquake, Australia earthquake, Australia tropical cyclone, European windstorm, Japanese earthquake, $95m Mar 2011
Queen Street II Capital Ltd. Munich Re U.S. hurricane, European windstorm $100m Mar 2011
East Lane Re IV Ltd. (Series 2011-1) Chubb Group U.S. hurricane, U.S. earthquake, U.S. severe thunderstorm, U.S. winter storm $475m Mar 2011
Successor X Ltd. (Series 2011-2) Swiss Re U.S. hurricane, U.S. earthquake $305m Feb 2011
Foundation Re III Ltd. (Series 2011-1) Hartford Fire Insurance Co. U.S. hurricane $135m Feb 2011

Remember, for full details of every catastrophe bond & ILS transaction since the market began just visit our Deal Directory.

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