PERILS AG, the Zurich-based provider of industry-wide European catastrophe insurance exposure, industry loss data and indices, has experienced further growth in the use of its industry loss data within ILS and reinsurance transactions.
In the last year, the total amount of PERILS-based limits at risk had increased by 7% over the course of a year, to reach $4.3 billion at the end of the first-quarter of 2014. A year earlier the figure stood at $4 billion at the end of Q1 2013.
PERILS European catastrophe loss data and industry loss indices have been used in numerous insurance-linked security (ILS), catastrophe bond, industry-loss warranty and derivative type re/insurance transactions, where it provides data for risk analysis and its indices are used to structure and derive triggers.
In its latest update, published today, PERILS said that at the 31st March 2014 $2.9 billion or 68% of the limits at risk were related to 144A catastrophe bond transactions, while the other $1.4 billion or 32% were related to private transactions, such as ILW’s or private ILS.
79% of the total limits at risk used PERILS high-resolution data for structured, bespoke industry loss triggers, so county or CRESTA zone weighted, while the remainder was unstructured. The structured triggers are more effective at reducing basis risk for cedents. In terms of who uses the PERILS-based limits at risk, it is primarily reinsurers looking for protection, with 72% of the limits providing retrocessional protection and the rest direct reinsurance.
Since 1st January 2010 the total amount of limits placed using PERILS data and triggers has now reached $9.2 billion, which is an increase of 37% from the $6.7 billion of limits placed at the end of Q1 2013. In total 132 PERILS-based transactions have been placed since January 2010 and at the end of Q1 2014 there were 42 PERILS-based transactions at risk.