Over the course of 2011, 14 sponsors brought 18 transactions to the 144A market. In terms of transaction count, this places 2011 equal to 2009 as the second most active year in the history of the market. The 2011 sponsor class also included three first-time sponsors and the inaugural securitization of California state workers compensation losses associated with California earthquake events.
Not unlike 2010, 2011 issuance was dominated by US hurricane peril. Of the 30 tranches brought to market, 23 had exposure to US hurricane comprising 73 percent (USD2.83 billion) of the total USD3.87 billion placed. Issuance with exposure to the Asia Pacific region was down from previous years. In the wake of the Tohoku earthquake just one transaction (Loma Re) had exposure to Asia-Pacific risk, as compared to four in 2010, as both investors and sponsors adopted a wait and see approach to the impact the Tohoku event would have on risk modeling, pricing and capacity in the region. With respect to trigger types, index-based trigger structures represented a majority of the issuance as the PERILS trigger continues to increase its market share for European Windstorm issuance. Of the eight transactions that had exposure to European Windstorm, only one (Pylon II Capital Limited) did not use an index trigger based on PERILS reported loss data.
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