Swiss Re Insurance-Linked Fund Management

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RMS confirm no impact to Montana Re catastrophe bond from typhoon Roke


Risk modeller RMS have confirmed that there will be no impact to the Montana Re Ltd. Series 2010-1 catastrophe bond as a result of the damage caused by typhoon Roke in Japan. We wrote a week ago that the market was not expecting the losses from Roke to be severe enough to trigger any catastrophe bonds, but now RMS have published a Paradex index value for the typhoon and confirmed that there is no risk of a Montana Re default.

Typhoon Roke struck Japan on the 21st September. RMS have issued a Paradex index value of JPY107.4 billion for typhoon Roke based on Paradex Japan Typhoon, an index that approximates modeled insured industry losses in Japan from wind only, and includes commercial, industrial, residential, and Zenkyoren lines of business. No flood losses are captured in this index value and the majority of the loss is residential.

Paradex estimates are used to support catastrophe bond transactions and as a trigger for them. The Montana Re 2010-1 cat bond uses Paradex to measure and trigger its Japanese typhoon exposure and RMS say that there is no risk of default to this cat bond from Roke.

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