Swiss Re Insurance-Linked Fund Management

Original Risk: A Society for Change Agents

PERILS AG industry loss index utilised in $3.18 billion of risk transfer transactions


The last time we wrote about PERILS AG, the independent Zurich-based company providing industry-wide European catastrophe insurance data and loss indices, they had just reported that their industry loss index had been used for over $2.79 billion worth of risk transfer transactions (including ILW’s and catastrophe bonds). Now, just a month and a half later that number has grown to $3.18 billion at the 24th October.

From 1st January 2010 to 24th October 2011 PERILS-based capacity placed in the reinsurance and capital markets totalled $3.18 billion. Of this total, $1.42 billion (45%) was in the form of insurance-linked securities (cat bonds) while the remaining $1.76 billion (55%) comprised private transactions which were predominantly industry loss warranty (ILW) reinsurance or derivative transactions. 59% of the total capacity used PERILS data resolution (geographic and line of business based) to allow them to create bespoke trigger indices.

Of the recently closed cat bonds which included European windstorm risks, both Calypso Capital 2011-1 and Queen Street IV Capital have used PERILS as a trigger mechanism. We’re not sure whether both of these are included in these figures, particularly Queen Street IV as that deal officially closed on the 27th October.

PERILS based limits and weighting to 24th October 2011

PERILS based limits and weighting to 24th October 2011

As of the 24th October, the PERILS database contained 29,160 data entries in the PERILS Industry Exposure Database 2011, covered 11 countries (after PERILS added Norway and Sweden earlier this year) and data received from around 80 national insurance companies.

To date,  40 insurance risk transfer transactions have been based on the PERILS loss index. It’s great to see PERILS getting continued traction and use, both in the rated cat bond market and private ILW type transactions. We suspect that the capacity placed using PERILS will jump again over the next two quarters.

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