Risk Management Solutions has conducted risk analysis for two new catastrophe bonds: Bosphorus Re 1 Ltd. (Series 2013-1) cat bond; and the Tar Heel Re Ltd. (Series 2013-1) cat bond, launched in April 2013.
With the recent series of cat bonds, RMS has modeled $1.2 billion of new issuance in 2013.
Bosphorus Re 1, sponsored by the Turkish Insurance Catastrophe Pool (TCIP), was upsized from its initial target of $100 million after strong investor demand. The cat bond provides TCIP with $400M of protection against earthquakes in the Istanbul region of Turkey until April 2016.
This transaction uses a parametric trigger based on a network of stations in and around Istanbul. This is the first transaction to bring pure parametric Turkey earthquake risk to the market, and investor demand drove the price down to a record low.
Tar Heel Re is sponsored by North Carolina Joint Underwriting Association and North Carolina Insurance Underwriting Association (NCJUA/IUA) and was also upsized from its initial target of $250 million. The cat bond provides NCJUA/IUA with $500 million of protection against U.S. tropical cyclones until May 2016.
RMS conducted the risk analysis using its RiskLink version 11.0 U.S. Hurricane Model, and the deal is the first to include a number of sensitivity analyses around long and medium-term rate scenarios and storm-surge leakage levels. This gives investors a range of modeled loss estimates to help inform more resilient risk management decisions.
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