ILS ANALYSIS 13
“As investors in the market evaluate this
asset class versus others, it’s going to be a close comparison. This asset class still has the benefit of being non-correlated with other classes,” he says. “This has been one of the reasons that we’ve been able to push these coupons so low.”
Schultz says that more of the same is to be expected and an increase isn’t likely.
“We don’t see many dangers in the global or
macroeconomic factors, such as interest rates globally changing significantly, and we don’t see our market changing significantly upward either. It’s either flat or still trending down.”
However, Schultz notes, investor appetite does
vary between different perils, with US hurricane still largely the preferred option.
TABLE 1: RETURNS FOR AON BENFIELD ILS INDICES Index title
Return for
monthly period ended Apr 30
Aon Benfield ILS Indices
All Bond Bloomberg Ticker (AONCILS)
BB-rated Bond Bloomberg Ticker (AONCBB)
US Hurricane Bond Bloomberg Ticker (AONCUSHU)
US Earthquake Bond Bloomberg Ticker (AONCUSEQ)
Source: Aon Benfield
RECENT CATASTROPHE BOND AND ILS TRANSACTIONS Cedant
Risk
Texas Windstorm Insurance Association via Hannover Rück Se.
Undisclosed USAA
Castle Key Insurance & Castle Key Indemnity (Allstate subsidiaries)
Zenkyoren
ompo Japan Nipponkoa Insurance Inc.
Undisclosed Allstate
American Coastal Insurance Company
Citizens Property Insurance Corporation
Texas named storm Florida & Gulf of Mexico wind
US tropical cyclone, earthquake, severe thunderstorm, winter storm, wildfire, meteorite impact, volcanic eruption
Florida named storm, earthquake & severe thunderstorm
Japan earthquake Japan typhoon
Florida named storm
US named storm (minus Florida), US eathquake (CA, NY, WA)
US named storm (Florida only initially)
Florida hurricane Source: Intelligent ILS, publicly available information * Yet to close Issuing vehicle
Alamo Re (Series 2014-1)
Dodeka IV
Residential Reinsurance 2014 (Series 2014-1)
Sanders Re (Series 2014-2)
Nakama Re (Series 2014-1)
Aozora Re (Series 2014-1)
Market Re (Series 2014-1)
Sanders Re (Series 2014-1)
Armor Re (Series 2014-1)
Everglades Re (Series 2014-1)
2014 2013 Return for
trailing three- month period ended Apr 30
2014 2013 2014
“The greatest demand in the market is for
US hurricane bonds, so there tends to be a larger margin associated with this peril. US earthquake is second, but when you move out of these peak risks and into non-peak peril
risks you’re going to see
lower returns because there’s not as much demand,” he says. l
Return for
year to date ended Apr 30
2013
Return for trailing
12-month period ended Apr 30
2014
5-year
average annual return
10-year average annual return
2013 2009–2014 2004–2014 0.83% 1.19% 1.51% 3.34% 2.46% 4.36% 8.85% 13.69% 0.37% 0.70% 0.97% 2.30% 1.62% 2.96% 5.71% 9.93% 0.60% 1.22% 1.08% 3.22% 1.89% 3.54% 9.86% 14.80% 0.33% 1.18% 0.88% 2.53% 1.32% 3.59% 4.50% 8.33% 9.75% 8.11% 11.05% 6.39% 8.39% 6.89% 9.46% 6.47%
Size
Advisors
$300m* Structuring & bookrunners: GC Securities; modelling: AIR
$28m Undisclosed $130m $200m
Struturing & bookrunners: Goldman Sachs, Swiss Re Capital Markets; co-manager: Deutsche Bank; modelling: AIR
Structuring & bookrunners: Aon Benfield Securities, Swiss Re Capital Markets; modelling: AIR
$300m Structuring & bookrunner: Aon Benfield Securities; modelling: AIR
$100m Structuring & bookrunner: GC Securities; modelling: AIR
$10m $750m
Structuring & bookrunner: Jardine Lloyd Thompson Capital Markets; modelling: own modelling
Structuring & bookrunners: Aon Benfield Securities, Goldman Sachs and Deutsche Bank; modelling: AIR
$200m Structuring & bookrunner: Willis Capital Markets & Advisory; modelling: AIR
$1.5 bn
Structuring: Citigroup; bookrunners: Citigroup, BofA Merrill Lynch; modelling: AIR
www.intelligentinsurer.com
INTELLIGENT ILS JUNE 2014
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