Here we present GC Capital Ideas’ stories on analyses of enterprise risk management disclosures. A 2014 study updated the analysis done in 2009, one of our most popular stories. The full briefings are attached.
Archive for the ‘Capital Markets’ Category
Here we review GC Capital Ideas posts on how alternative capital has impacted the dynamics of risk transfer.
Here we review GC Capital Ideas posts on GC Securities* placement of catastrophe bonds completed over the first six months of 2016.
GC Securities* Completes Catastrophe Bond First Coast Re Ltd. on Behalf of Security First Insurance Company
GC Securities, a division of MMC Securities LLC, a U.S. registered broker-dealer and member FINRA/NFA/SIPC, today announced the placement of a single class of the Series 2016-1 Notes with principal amount of USD75,000,000 through the newly formed special purpose insurer domiciled in Bermuda, First Coast Re Ltd., to ultimately benefit Security First Insurance Company (”SFIC”) in SFIC’s first use of catastrophe bond-based reinsurance.
GC Securities, a division of MMC Securities LLC, a U.S. registered broker-dealer and member FINRA/NFA/SIPC, today announced the placement of a single class of Principal At-Risk Variable Rate Notes (”Notes”) with a principal amount of USD 190,000,000 through the newly formed designated activity company (”dac”) domiciled in Ireland, Queen Street XII Re dac, to benefit Münchener Rückversicherungs-Gesellschaft Aktiengesellschaft in München (”Munich Re”). This is the largest issuance of the eleven issuances in Munich Re’s Queen Street series since 2011 and the second largest issuance of all Munich Re’s Queen Street series. Additionally, Queen Street XII Re dac is the first special purpose vehicle authorized for the purposes of Directive 2009/138/EC (as amended) (”Solvency II Directive”) in the 144A catastrophe bond market.
The table lists the top ten catastrophe bond transactions that were completed in 2015.
GC Securities* Completes Catastrophe Bond Galileo Re Ltd. Series 2016-1 Notes on Behalf of XL Insurance (Bermuda) Ltd.
GC Securities, a division of MMC Securities LLC, a U.S. registered broker-dealer and member FINRA/NFA/SIPC, today announced the placement of three classes of Series 2016-1 Notes, with an aggregate principal amount of USD 300,000,000 through the existing catastrophe bond shelf program, Galileo Re Ltd., to benefit XL Insurance (Bermuda) Ltd. and certain of its insurance and reinsurance affiliates and related entities (XL Catlin). This is the first time that XL Catlin has utilized the 144A cat bond market since XL Group plc’s (XL) acquisition of Catlin Group Limited (Catlin).
Pricing dynamics in the fourth quarter of 2015 were mixed, with bonds trading in different directions based on the risk level, peril exposure and relative market size rather than the market shifting categorically in one direction across all names. The typical fourth quarter “Dead Cat” market (in which bonds prior to their scheduled redemption date that have little to no remaining modeled risk exposure are still paying their full scheduled coupon) was active. Notably however, the required return for Dead Cat liquidity providers in the fourth quarter of 2015 averaged 255 basis points per annum, whereas in the fourth quarter of 2014 the required return was averaged closer to 220 basis points.
The private market saw 20 private cat bond transactions in 2015 representing USD 903.94 million of risk capital transferred to capital market investors.
Three 144A property and casualty (P&C) catastrophe bonds were scheduled to mature in the fourth quarter, representing USD 595 million of risk capital being returned to investors. Of the USD 595 million, USD 100 million of MultiCat Mexico Limited Class C Notes have been extended past the scheduled redemption date of December 4, 2015 as a result of Hurricane Patricia’s impact on the Pacific coast of Mexico in late October 2015. The Class C Notes, which are parametrically triggered based on central pressure observed or interpolated on or within a defined area, are currently awaiting the release of the National Hurricane Center’s Tropical Cyclone Report in order to determine the principal reduction for the Class C Notes. However, the Class A and Class B Notes from MultiCat Mexico Limited did mature at their scheduled redemption date of December 4, 2015.