Swiss Re Insurance-Linked Fund Management

Original Risk: A Society for Change Agents

The catastrophe bond and insurance-linked security transactions issued during 2012


The catastrophe bond and insurance-linked security primary market had an active year in 2012, with total issuance over the course of the year helping 2012 become the second highest volume of issuance recorded in a single year. Cat bonds and ILS in 2012 saw both repeat issuers and sponsors return to the market, as well as some new entrants tap the capital markets for cat bond capacity for the first time. No cat bond losses occurred in 2012, although Sandy still threatens to change that statistic should losses rise.

We recorded a very healthy 29 cat bond and ILS deals in our Deal Directory, which includes a number of private or unrated transactions which we received details about. This is just one more transaction than we recorded in 2011. The majority are pure catastrophe risk deals, with one medical benefit claim linked ILS and one pure mortality bond, one other deal contains both catastrophe and mortality risk.

The cat bond market supported investors needs well in 2012 with a good mix of perils and geographies covered and diversification also found thanks to a good mix of triggers and deal terms. The downward slide in cat bond pricing helped some very large deals come to market in 2012, along with the largest single tranche cat bond on record, Everglades Re.

Here is a list of every deal we recorded as completed during 2012. As we said, this includes some private or unrated deals which other sources of cat bond and ILS market data may not include in their reviews. In total our Deal Directory recorded approximately $6.339 billion worth of cat bond capacity issued in 2012, beating 2011’s $4.95 billion comfortably even though the number of transactions was only just higher at 29.

Issuer Cedent Risks / Perils covered Size Date
Compass Re Ltd. (Series 2012-1) National Union Fire Insurance Co. of Pittsburgh U.S. hurricane, U.S. earthquake $400m Dec 2012
Lakeside Re III Ltd. Zurich American Insurance & Zurich Insurance Co. Ltd. U.S. and Canadian earthquake $270m Dec 2012
Skyline Re Ltd. (Series 2013-1) ? New Madrid earthquake and severe thunderstorms $50m Dec 2012
Residential Reinsurance 2012 Ltd. (Series 2012-2) USAA U.S. hurricane, U.S. earthquake, U.S. severe thunderstorm, U.S. winter storm and California wildfire $400m Nov 2012
Queen Street VII Re Ltd. Munich Re U.S. hurricane, European windstorm $75m Nov 2012
Atlas Reinsurance VII Limited SCOR U.S. hurricane, U.S. earthquake, European windstorm $228m Nov 2012
Mythen Re Ltd. (Series 2012-2) Swiss Re U.S. hurricane, UK extreme mortality $200m Nov 2012
MultiCat Mexico Ltd. (Series 2012-1) Swiss Re Mexico hurricane, Mexico earthquake $315m Oct 2012
Eurus III Ltd. Hannover Re European windstorm €100m Sep 2012
Embarcadero Re Ltd. (Series 2012-2) California Earthquake Authority California earthquake $300m Jul 2012
Vita Capital V Ltd. Swiss Re Extreme mortality $275m Jul 2012
Queen Street VI Re Ltd. Munich Re U.S hurricane, European windstorm $100m Jul 2012
Oak Leaf Re Ltd. (Series 2012-1) Unknown Florida based cedant U.S. hurricane $22.78m Jun 2012
Long Point Re III Ltd. (Series 2012-1) Travelers U.S. hurricane (Northeastern U.S. states only) $250m Jun 2012
Residential Reinsurance 2012 Ltd. (Series 2012-1) USAA U.S. hurricane, U.S. earthquake, U.S. severe thunderstorm, U.S. winter storm, U.S. wildfire $200m May 2012
Mythen Ltd. (Series 2012-1) Swiss Re First and second event U.S. hurricane, European windstorm $400m May 2012
Everglades Re Ltd. (Series 2012-1) Citizens Property Insurance Florida hurricanes $750m Apr 2012
Pelican Re Ltd. (Series 2012-1) Louisiana Citizens Louisiana hurricane $125m Apr 2012
Akibare II Ltd. Mitsui Sumitomo Insurance Co. Ltd. Japan typhoon (wind & flood losses) $130m Apr 2012
Blue Danube Ltd. (Series 2012-1) Allianz Argos 14 GmbH U.S. hurricane, U.S. earthquake, Canada earthquake, Caribbean hurricane, Mexico hurricane $240m Apr 2012
Combine Re Ltd. (Series 2012-1) Swiss Re America U.S. hurricane, U.S. earthquake, U.S. severe thunderstorm, U.S. winter storm $200m Mar 2012
East Lane Re V Ltd. (Series 2012-1) Chubb Group U.S. hurricane, U.S. severe thunderstorm $150m Mar 2012
Mystic Re III Ltd. (Series 2012-1) Liberty Mutual U.S. hurricane, U.S. earthquake $275m Mar 2012
Queen Street V Re Ltd. Munich Re U.S. hurricane, European windstorm $75m Feb 2012
Embarcadero Re Ltd. (Series 2012-1) California Earthquake Authority California earthquake $150m Jan 2012
Kibou Ltd. (Series 2012-1) Hannover Re for Zenkyoren Japan earthquake $300m Jan 2012
Ibis Re II Ltd. (Series 2012-1) Assurant U.S. hurricane $130m Jan 2012
Successor X Ltd. (Series 2012-1) Swiss Re U.S. hurricane, European windstorm $63m Jan 2012
Vitality Re III Ltd. (Series 2012-1) Aetna Life Insurance Company Medical benefit claims levels $150m Jan 2012

We should note that we cannot yet confirm whether Skyline Re Ltd. completed in 2012, or whether it settled after the New Year. There is also a chance that Skyline Re may have upsized, so our total of approximately $6.339 billion could be revised slightly once we have more details on that transaction.

Catastrophe bond and ILS issuance in 2012 was well distributed across the year with the 1st, 2nd and 4th quarters all seeing very strong issuance, while the 3rd quarter experienced the typical lull caused by the Atlantic hurricane season. Even with that lull the 3rd quarter still managed $790m of issuance. Investors need this regular issuance to enable them to raise and deploy capital more easily, rather than focusing on a specific period of the year. The chart below shows the volume of issuance and number of transactions per quarter over the course of 2012 (data from our Deal Directory).

2012 catastrophe bond and ILS issuance by quarter

2012 catastrophe bond and ILS issuance by quarter

The only month of 2012 which saw no primary issuance at all, again according to our Deal Directory, was August. The chart below shows issuance volume in $ billions and the number of transactions recorded each month. What is particularly interesting is the clear bounce back in November as the Atlantic hurricane season came to an end despite the uncertainty surrounding hurricane Sandy. The fact that the market came back so strongly at the end of the year is testament to the attractive issuance conditions and the maturity of the market. January saw the most deals come to market with 5, closely followed by April and November with 4, while April saw the greatest volume at $1.245 billion helped by Everglades Re.

2012 catastrophe bond and ILS issuance by month

2012 catastrophe bond and ILS issuance by month

We look forward to filling up the Deal Directory as new transactions come to market in 2013 and will keep you abreast of any, and all, developments in the cat bond and ILS market. Remember, for full details of every catastrophe bond & ILS transaction since the market began just visit our Deal Directory.

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