Here’s a copy of the Risk Management Solutions (RMS) press release regarding their involvement as risk modellers in the recently closed €75m SCOR Atlas VI Capital Ltd. catastrophe bond transaction. It gives a little insight into the way their RMS® Paradex Japan Earthquake model was used.
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Calif. – December 9, 2010 – Risk Management Solutions (RMS) today announced that it has successfully conducted the expert risk analysis for the second issuance of the Atlas VI bond (Series 2010-I Class A Notes) sponsored by SCOR. The issuance was upsized during marketing to investors, providing SCOR with €75 million of protection against Europe windstorm and Japan earthquake until April 2014. Atlas VI is the first bond to come to market using the RMS® Paradex Japan Earthquake index, developed this year.
“Paradex Japan Earthquake uses near real time ground shaking data available from U.S. Geological Survey ShakeMaps to calculate insured loss estimates.” said Jinal Shah, Paradex manager at RMS. “There was no definitive authority providing industry loss estimates for catastrophe events in Japan, so Paradex was designed to bridge this gap.”
“Paradex allowed us to seamlessly model two major peril regions for this bond,” said Augustin Gas, ILS marketing manager at SCOR. “It provides high-resolution data, which minimizes our basis risk, and contracts settle in fewer than 40 days following an event, which is a major advantage for us.”
RMS’ suite of Paradex indices has been expanded this year to cover the five major peril regions, including Europe windstorm, Japan earthquake and typhoon, and US hurricane and earthquake.