Swiss Re Insurance-Linked Fund Management

PCS - Emerging Risks, New Opportunities

Twelve Capital Leverages AIR’s Catastrophe Modeling Systems for Better Management of its Portfolio of Insurance-Linked Securities


BOSTON, Dec. 6, 2010 – AIR Worldwide (AIR) today announced that Twelve Capital, an independent investment manager focusing on insurance-related investment opportunities, has selected AIR’s CATRADER®, the industry standard application for analyzing catastrophe reinsurance and insurance-linked securities. Twelve Capital will use CATRADER and ALERT™, AIR’s online real-time loss estimation service, to assess and manage the risks associated with its portfolio of catastrophe bonds and other insurance-linked securities.

“We selected CATRADER because it is the most flexible catastrophe bond analysis tool, and it provides full transparency when analyzing positions in our portfolio,” said Sandro Kriesch, partner of Twelve Capital. “CATRADER also allows us to better understand the impact of potential new investments on our portfolios, which contain other catastrophe-exposed components such as traditional reinsurance contracts.”

CATRADER enables investors to assess the risk associated with the widest range of financial instruments, including cat bonds, ILWs, sidecars, and traditional reinsurance contracts. In CATRADER Version 12.0, AIR enhanced the catastrophe bond program functionality by integrating detailed information about every active catastrophe bond directly into CATRADER. Those updates help users manage catastrophe bonds and provide more detailed reporting options for portfolios of insurance-linked securities.

“We are particularly impressed with the new catastrophe bond management and reporting tools, which enable us to easily obtain multiple different views of our portfolios of catastrophe bonds to identify gaps and find opportunities for more diversification,” continued Kriesch. “These reports seamlessly combine the information from the catastrophe bond offering circular with loss data from CATRADER, to provide us with a detailed snapshot of our portfolio of catastrophe bonds. We combine this information with our proprietary system CatEye, which allows for efficient aggregation, detailed price history, and reporting of our and third party portfolios.”

“AIR provides investors like Twelve Capital with both a detailed estimate of the risk profile and a step-by-step analysis of the bond’s structure, making it possible to evaluate and stress-test individual tranches or trigger mechanisms,” said Yörn Tatge, managing director of AIR Worldwide GmbH in Munich, Germany. “CATRADER provides investors the flexibility to accurately model financial instruments and easily assess the risk profile of both individual instruments and portfolios of insurance-linked securities.”

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