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Preparing for Catastrophe

Can the capital markets save the insurance industry from the next big one?

By Robert Hunter

Hurricane Georges may have been a Caribbean and Gulf Coast phenomenon, but it also ranked as a major event in the financial world. When it became clear that losses were not likely to exceed $3 billion, the insurance industry blew a gusty sigh of relief.
If Georges had suddenly veered east and pounded Miami—or if Hurricane Andrew had done the same in 1992—damages could have approached $100 billion and wiped out insurance companies from Bermuda to Bath to Bonn. The U.S. insurance industry relies on an estimated $200 billion in insurance capacity to cover some $35 trillion in U.S. property. Georges was a near miss; what happens if we’re not so lucky next time?

It may be a case of capital markets to the rescue. In July 1997, the United Services Automotive Association (USAA) completed a massive securitization of its insurance risk, serving notice that the long-prophesied convergence of the insurance industry and the capital markets had finally come. In the deal, underwritten by Goldman Sachs, Merrill Lynch and Lehman Brothers, USAA issued $477 million in catastrophe-linked bonds to 62 different investors, who received 575 basis points over Libor to assume USAA’s one-year Florida hurricane risk.

The USAA deal put insurance securitization in general and catastrophe bonds in particular on the map. The Chicago Board of Trade had begun listing Property Claims Services (PCS) cat options in 1995, and a number of much smaller deals had been announced since 1994 (see “Notable Insurance Deals,” Page 32). But the USAA deal “convinced naysayers that there is some fire behind all the smoke,” says Mike Normile, managing director in the structured finance group at Merrill Lynch. “Up to that point, most transactions had been, at best, minor successes. From that point on, the business has developed in terms of overall volume and number of transactions, and it has grown laterally in terms of the products that are available.”

Since many insurance securitizations are done privately, it is difficult to gauge the size of market. Some estimate that there was $2 billion in insurance capacity added last year and another $1 billion this year; others say $2 billion has been added so far this year, up from only $750 million last year. The overwhelming consensus, however, is that business is growing rapidly. “We’re moving much faster in the insurance products arena than we moved in mortgages and asset-backed securities,” says Normile. “The integration of insurance risk into the capital markets through the mechanism of securitization—done either as bonds or derivatives—will probably be five times as fast as was the development of the asset-backed business.”

Indeed, the market seems to have reached what William Jewett, senior vice president and chief underwriting officer at the Centre Re division of Zurich Re, calls “critical mass.” “It’s no longer a one-off mentality,” he says. “There’s momentum building—certainly enough to get people’s continued attention and dedication of resources—to the extent that it is going to be an emerging asset class. Will other lines of insurance risk be able to be securitized successfully? Will it build into a significant market and viable secondary market? These are the questions people are asking.”

Maturing cats

The over-the-counter securitization market, less than four years old, is starting to come of age. A few weeks after the 1997 USAA deal, Goldman Sachs completed a $35 million naked swap of Florida hurricane risk exposure with another, unnamed party. The deal is regarded as the first known insurance risk swap. In April, Swiss Re New Markets executed a swap of fixed premium for a one-off payment in the event of a Japanese earthquake. In June, the first Japanese typhoon cat bond was consummated when Yasuda Fire & Marine securitized $80 million, paying a handsome 370 basis points over Libor. The innovative deal is known as a “top and drop,” combining a high “attachment point” (or trigger, in option-speak) and a remote probability of occurrence. If a moderate-sized event doesn’t reach the attachment point, Yasuda has the option of dropping the coverage to a lower attachment point, allowing it effectively to replace a layer of its current reinsurance program following a major event.

The market has found a way to cover reinsurers as well. Historically, when reinsurers wished to lay off risk, or to “retrocede,” either on a piece of their business or their entire book, their only option was to purchase reinsurance from another reinsurer. But this spring, a deal called Mosaic (securitizations are named after their off-shore special purpose vehicles) may have charted a new course for retrocession. In the deal, F&G Re issued a $45 million bond against a layer of its portfolio, exposing bondholders to a fairly diversified basket of risks. Some view Mosaic as a harbinger of things to come. “Taking the diversification element that has been critical throughout the rest of securitization and incorporating it into insurance risk seems to be where the industry is going at this point,” says Richard Gugliada, managing director of new assets at Standard & Poor’s. “Traditionally, these types of structures have been done by incorporating a single risk, not an entire basket of insurance risk. In the future, cat bonds may start to incorporate multiple hazards within a single structure. That’s really the most interesting thing going on in insurance these days.”

Perhaps even more important than the increasing novelty of deals being done is their spreads. In June, USAA issued another $450 million in cat bonds at a spread of 400 basis points over Libor—a decrease of 175 basis points from the first deal. Other cat bonds, such as Parametric Re, the first parametric cat bond (see “Let’s make a Deal,” Page 30); Mitsui Re, the second parametric cat bond; and Trinity Re, a Florida hurricane bond, went for 430 basis points, 375 basis points and 367 basis points, respectively. “I know how to do regression analysis,” says Prakash Shimpi, president of Swiss Re New Markets, “but I don’t have to. There’s a clear trend of prices coming down, of rationalization. Even if insurers are concerned about these prices still being excessive, I think there’s a clear message in the market that the prices are going to come to a range where good economic theory tells us there’s a balance between investors and issuers.”

“The integration of insurance risk into the capital markets through the mechanism of securitization will probably be five times as fast as was the development of the asset-backed business.”
Mike Normile
managing director,
Merrill Lynch

Since August, insurance spreads have nosed up a bit, but this has more to with macroeconomic reality than market inefficiency. “Because of the fixed-income markets plunging in August, credit spreads have widened, so insurance spreads have widened as a result,” says Merrill’s Normile. “These things don’t move in diametrically opposite directions—they move in parallel. At the same time, spreads in the insurance arena have moved up more slowly than credit spreads have moved up. And this is not surprising.”

Size matters

While the frequency and diversity of insurance securitization is increasing all the time, it has not become commoditized enough to lure smaller players into the market. “In the deals that have been done so far, all the underlying insurers have been very large entities, and I don’t think the smaller one-, two- or three-state mutuals in the United States are going to have the wherewithal to put together a deal,” says Andrew Cook, chief financial officer and treasurer of LaSalle Re Holdings. “And given the [small] size of securitization product they’ll need, they would have a difficult time selling a $10 million or $15 million bond issue. There is always going to be a market for the reinsurance companies to come in and tailor specific solutions for those clients more efficiently and more effectively than the securitization—at least where it stands in today’s marketplace.”

Most of the deals done today, says Cook, are of the “plant the flag” variety. During the last few years, the relative dearth of major catastrophes has caused reinsurance prices to fall dramatically. As a result, many insurers have been content to sit on the securitization sidelines. But the reinsurance market is cyclical—major catastrophes such as Hurricane Andrew ($16 billion) and the Northridge, Calif., earthquake ($12.5 billion) can pop up at any time and suck reinsurance capacity dry. “In the insurance market, the amount of capacity that’s available fluctuates with the number of disasters,” says John Copenhaver, president of Aon Financial Products. “So when you have a big disaster like Hurricane Andrew, insurance rates go up, and then they gradually come down if reinsurers enter the market to take advantage of the high premiums, until there’s another disaster, when they spike up again. It’s saw-toothed.”

As a result, some say, now is a good time for insurers to get their feet wet in securitization. “A tremendous amount of work goes into getting one of these done—from the risk assessment to all of the disclosure documentation to the investor-education process to going through the rating process,” says Paul VanderMarck, vice president of marketing at Risk Management Solutions, a catastrophe modeling firm. “If there were a major loss tomorrow—a huge earthquake, a $30 billion insured event—and suddenly a whole slew of insurers and reinsurers decided they wanted to do securitizations, there would be only a limited talent pool available to get these deals done, between the investment bankers, lawyers, modeling companies and rating agencies. So for a company that has already done a deal and has familiarized the investor side of the market with who it is, if it wants to do another deal after the event, it would be a far easier process with a higher probability of success than if it had to start from scratch.”

A Marriage Made in Heaven?
The capital markets and the insurance industry have been converging for years. And for good reason. The capital markets provide insurers with an attractive alternative to the traditional reinsurance sector, which is notorious for murky price discovery (brokers frequently make the rounds by calling a dozen or so reinsurers before making a quote), brutal price negotiations and, after deals are consummated, inefficient transfers of funds.

More important, reinsurers bring varying amounts of credit risk into the fold. Standard & Poor’s notes that one-quarter of all reinsurance is written by companies with credit ratings of single-A or lower. Guy Carpenter has found that the top layer of reinsurance has a default probability of 22 percent over a 10-year period. In other words, when insurers need reinsurance the most—following major catastrophes—thinly capitalized reinsurers pose the risk of defaulting on their promises.

The capital markets, by contrast, offer insurers greater predictability and stability, lower distribution costs and, particularly among exchange-traded products, absolute price transparency and massive capacity in the form of hungry new investors.

The insurance market offers investors a number of benefits as well. Chief among them: high returns and low correlation. According to Guy Carpenter, the return on insurance risk from 1986–1996 was 9.2 percent over Treasuries, while B-rated corporate bonds beat Treasuries by only 4.63 percent. Moreover, insurance-linked securities are zero-beta products—they are statistically uncorrelated with the S&P 500 (a correlation coefficient of -.13) and Treasuries (-.07). Guy Carpenter estimates that adding 2 percent of catastrophe risk to a portfolio of 60 percent stocks and 40 percent bonds will increase expected returns by 1.25 percent and decrease standard deviation—the cumulative volatility of the portfolio—by .25 percent.

Higher return on investment and lower volatility? Sounds good to lots of investors looking to diversify in the post-Asian flu world. The Tokyo Marine (a.k.a. Parametric Re) cat bond attracted mutual funds and banks (50 percent of total investors), life insurers (24 percent), hedge funds (16 percent), and reinsurers and non-life insurers (10 percent). According to Goldman Sachs, the average distribution of cat bond investors breaks down as follows: 35 percent mutual funds, 25 percent hedge funds, 20 percent life insurers, 9 percent reinsurers and non-life insurers, and 11 percent banks and corporates.

“There is some uncertainty, both in the models and in Mother Nature,” says Dennis Kuzak, vice president at EQE, a San Francisco-based risk modeling company, “but it is quantifiable to some extent, and I would argue that it’s a lot less volatile than what we’ve seen in emerging market and high-yield debt.” In fact, Willis Corroon and PXRe have even created investment funds to buy cat bonds, hoping to expand the universe of investors even further.

Of course, not all investors are head-over-heels infatuated with cat bonds. Many are uncomfortable with the risk they perceive in the instruments, concerned about the moral hazard of insurance risk, put off by the relative lack of liquidity in the products to date, wary of products with no natural hedging mechanisms or annoyed by regulatory barriers that force all OTC securitizations to go through offshore SPVs.

Swiss Re, for one, shrugs off such complaints. “In our experience,” write Dan Osterhout, managing principal of Swiss Re New Markets in the United States, and Willy Hersberger, a principal at Swiss Re New Markets in Zurich, “institutional investors with an interest in catastrophe bonds typically have a detailed knowledge of BB-rated corporate debt. They expect volatility in individual bonds in exchange for the potential of higher return. They do their homework and study rating agencies and modeling firms.”

According to Goldman Sachs, 15 institutions held insurance-linked securities at the beginning of 1997, while more than 90 hold them today—proof that investors are cuddling up to cat bonds like never before.

—R.H.

The relatively robust market to date is a good sign of things to come. “The fact that so much was done in such a soft reinsurance market is further evidence that there is a need for alternate capital sources,” says Gail Belonsky, director of capital markets at Swiss Re. “It’s difficult to grow the market too much when reinsurers are writing cover at such low levels, but the reason that people are doing deals is, first, there is the possibility of doing longer than one-year deals; second, they have memories of huge price volatility in the past and they’d like to have alternate sources in case that happens again; and third, insurers are worried about the credit quality of their total reinsurance programs, especially after a large catastrophe. Securitization transactions provide high credit quality coverage because they are collateralized.” RMS’s VanderMarck agrees. “A number of recent transactions have been designed not to replace current reinsurance coverage but to hedge against increasing reinsurance costs in the future.”

Let’s Make a Deal: The Securitization Universe
Most insurance securitizations come in the form of cat bonds issued by offshore special-purpose vehicles (SPVs), which are used to skirt U.S. income taxes. Cat bonds are generally issued in multiple tranches—one of which is principal-protected and at a modest 100 basis points to 150 basis points above Libor, and one or more of which are completely exposed to the cat risk and yield more than 300 basis points over Libor. The principal-protected tranches are rated AAA, while exposed tranches are generally in the BB grade, offering expected loss probabilities of around 1 percent.

But not all cat bonds are alike. There are three main types: indemnity bonds, index bonds and parametric bonds. Indemnity deals are structured so that losses suffered by the SPV directly reflect the losses suffered by the primary insurer. These inject a degree of what the insurance industry calls “moral hazard” into the investment equation—since the bonds are linked to the insurer’s own losses, the company can inflate its losses resulting from an event to trigger payoff. Portfolio indemnity deals do not appeal to many insurers, moreover, because the deals require them to disclose their risk exposures, creating what many believe to be a competitive disadvantage.

Index deals are based on recognized insurance indices such as the Property Claims Services index or the Guy Carpenter index. Insurers assume basis risk in index deals, since there is a chance that the index does not accurately reflect insurers’ particular books of business. Some wonder whether insurers who issue index-linked cat bonds are merely substituting the credit risk they would face in traditional reinsurance for basis risk—a tricky proposition. Andrew Cook of LaSalle Re Holdings offers a solution: “You can issue an index-linked cat bond with basis risk, and then use a reinsurer to insure the basis risk. This way, you’re taking very little credit exposure on the basis risk, and the basis risk is fully secured. It doesn’t have to be an either/or—you can manage it.” And some larger players with huge books of diversified business, such as Swiss Re, aren’t overly concerned with basis risk—they believe their books accurately reflect the industry index.

Parametric deals are based on the natural parameters of specific catastrophes in specific locations, such as the magnitude of a California earthquake, rather than a specific loss amount. The first known parametric deal was the Tokyo Fire & Marine cat bond, also known as Parametric Re, completed in December 1997. The at-risk tranche of the $80 million securitization paid 430 basis points over Libor, covering a certain magnitude of earthquake in the Tokyo Bay region of Japan. Indemnity deals are the purest play on catastrophes, because they’re based strictly on observable physical events and do not inject moral hazard or basis risk.

Beyond cat bonds, a number of other products are finding their way into the marketplace. The most popular is the CatEPut, a contingent equity arrangement that gives the issuer the right to sell equity at a predetermined price after a catastrophic event. LaSalle Re has been a vocal supporter of the CatEPut, having sold a $100 million product in July 1997. (LaSalle Re is a reinsurer with coverage including a $100 million credit facility, $300 million in traditional reinsurance and the CatEPut.)

“The CatEPut gives us $100 million of prearranged capital of series B preferred shares though a syndicate of highly rated purchasers,” says LaSalle Re’s Cook. “For this we pay an annual option premium of $2.35 million.” What are the benefits to LaSalle? “First, we immediately receive an infusion of capital after a catastrophe, at terms and conditions that might not be available in a post-event marketplace,” says Cook. “More important, it allows us to seize the opportunities that will present themselves in a post-event marketplace. Our underwriters will be in our offices writing business, not on the road trying to raise capital.”

Other securitization structures include contingent surplus notes, arrangements that allow investors to place funds in a trust, which is then invested in Treasury securities. In the event of a catastrophe, the insurer has the option of replacing the trust collateral with surplus notes, which appear on the investor’s balance sheet as an increase in assets without an offsetting increase in liabilities.

—R.H.

Securitization or insuritization?

Sometime in 1999, Congress, spurred on by the Citigroup merger, will likely blast a massive hole in the New Deal banking laws of the 1930s, which sought to preserve the Depression-ravaged financial system by, among other things, creating firewalls between the banking, insurance and brokerage industries. This could open the floodgates for the next wave of insurance products—what some call “insuritization,” in which financial institutions offer clients coverage of all of their risks, from insurance to financial to political, in one package. The benefits could be enormous to corporates—hedging a basket of uncorrelated risks in one structure as opposed to separately could save corporates barrels of money.

“Risk is risk,” says Merrill’s Normile, “and we believe we can structure around almost any type. The means by which the risk is eliminated is irrelevant to us as well. We’ll take whatever route is the most expedient and, from the client’s point of view, the correct way to eliminate the risk—whether in the form of securities, derivatives or reinsurance.”

What does this mean for derivatives neophytes in the corporate world? Soon, they’ll be able to structure products that embed financial hedges such as currency and interest rate products into conventional insurance coverage. “The next wave is multiline products, with one of the lines being a financial commodity,” says Swiss Re’s Belonsky. “That’s the kind of product that has only been in the market for about a year to any serious extent. It’s something that, at least on the corporate side, treasurers would love to start using, because that is really what they care about—their entire business. And it should be cheaper for them.”

Swiss Re was the first out of the insuritization gate, with a product called Beta, lunched in 1995. It updated Beta with a product called Macro last year, and launched the Integrated Managerial Risk Solution, which covers directors and officers liability and employment practices liability, last month. AIG did a deal last year with Honeywell called COIN, an insurance product that also covered commodity and insurance risks. And in April, Cigna Property and Casualty formed a new business unit called Cigna Combined Risks to structure insuritization packages. Its first: a product called Variable Risk, which allows companies to tailor their insurance coverage to adjust to predetermined financial risks such as interest rate, exchange rate and commodity price fluctuations. “Traditional insurance programs locked companies into coverage amounts and rates without regard to the possibility of changing economic or business conditions,” says Michael Luck, director of Cigna Combined Risks. “We have taken the static terms of an insurance program and made them dynamic.” Marsh & McLennan is offering two all-in-one packages, one of which reportedly includes foreign exchange and interest rate protection, and protection against price fluctuations in 14 separate commodities.

“Taking the diversification element that has been critical throughout the rest of securitization and incorporating it into insurance risk seems to be where the industry is going at this point.”
Richard Gugliada
managing director of new assets,
Standard & Poor’s

“The lines between brokers and insurers are going to blur a little as a result of securitization,” says Tom Taylor, president and chief operating officer of CNA Specialty Operations, “because our clients are going to look at us and expect us to be able to provide risk management and financial modeling to allow them to appropriately share their risk. There’s no question that the insurance process is going to change. At the end of the day, market forces are going to drive us in the direction of more disintermediation. I don’t know whether it’s going to be the insurance carriers, the brokers, the reinsurers or investment banks, but whoever finds the way to make the process the least frictional is likely to win in the long run.”

Some envision a market with room for everyone. “I see not general winners and losers but evolving institutions, evolving products, incorporating elements of both markets and people from both,” says Zurich Re’s William Jewett. “Whether it’s a reinsurance company owned by an investment bank, a securities firm, or a securitization group within a reinsurance broker or a reinsurance company, skill sets, techniques and approaches historically associated with different types of financial institutions will be applied to the insurance and reinsurance risk management process.”

The distinctions have already blurred a great deal. “Insurance companies are looking at banks with an eye toward congressional legislation,” says Joe Buff, a risk management consultant. “Consequently, insurers are thinking more about such tools as value-at-risk to measure their exposures. This is a trend that has moved to the United States from Europe. The major Dutch insurance holding companies, for instance, have already applied VAR calculations to their American insurance operations.”

Want to issue a Cat Bond? Here’s the Process
The first step an insurer must take is to set up an offshore special-purpose vehicle to minimize U.S. income tax consequences. Next, says Dennis Kuzak, vice president at EQE, it should consult a modeling company, or “risk assessor,” to provide the deal’s analytics. “We advocate very strongly that clients hire a modeling company even before retaining an investment banker,” he says, “because an investment banker is motivated to do the transaction. For the client to make the best choice, it needs information as to its total risk profile and which piece could be securitized, which piece it should retain and which piece it should lay off to traditional reinsurance. It should get a baseline risk assessment for its various perils and various regions.”

Modeling forms the backbone of the securitization. “Catastrophe risk is a physical phenomenon,” says Kuzak, “not a financial phenomenon. Understanding the frequency and severity of the natural peril, and then the probability of loss to perils across various asset classes, requires different skill sets from those possessed by Wall Street quant jocks.” In addition to EQE, Risk Management Solutions, Applied Insurance Research, Tillinghast Towers-Perrin and others offer modeling services to insurers looking to securitize.

Once the modeler and investment bank are selected, the groups present their case to the rating agencies, which often request more information. This step is critical, of course, since a poor rating drastically decreases a bond’s marketability. Once the ratings are made, the ceding firm decides whether or not to proceed with the bond issue. If it decides not to continue, the modeling agencies and investment banks are paid for the efforts; if it decides to continue, the modeling firm usually receives a completion fee, based on the deal’s size, to cover its liability should the deal go bad for investors. “We’ve heard of some firms trying to buy into the market by offering not to charge the issuer on the front end but to take a profit on the back end if the deal is done. This causes great concern as to the moral hazard of the deal—whether the risk assessment is unbiased.”

Finally, the bond is issued and the ceding firm can relax—until hurricane season starts.

—R.H.

The creation of Bermuda-based reinsurance subsidiaries by Goldman Sachs (Arrow Re, capitalized at $300 million) and Lehman Brothers (Lehman Re, capitalized at $500 million), indicates that corporates will soon have more tools at their disposal than ever before. Meanwhile, traditional insurers are busy expanding their reinsurance options. While the OTC securitization market continues to develop, the exchange world continues to create synthetic reinsurance products with capital markets perks. The PCS options traded at the Chicago Board of Trade and the Bermuda Commodity Exchange’s Guy Carpenter index options “continue to show positive signs,” says Richard Sandor, chairman of Hedge Financial and vice chairman of the CBOT. The CBOT, moreover, has received approval from the CFTC to list a new class of options covering single cat events, and will begin trading them during the first quarter of 1999.

Meanwhile, the Princeton, N.J.-based Catastrophe Risk Exchange, or Catex, continues to serve as a conduit for insurers, reinsurers and financial intermediaries to trade tranches of risk such as books of automobile liability risk for books of property risk. And the CBOT is in the process of creating the Chicago Board Insurance Exchange to bring the insurance and capital markets even closer together. “Think of it as a way to combine commodity price risk, financial risk and insurance risk into one package,” says Sandor. “It would offer professional traders the ability to provide capital into the market, using an insurance vehicle as opposed to a futures exchange.”

Sandor sees a pattern between the development of the insurance derivatives business and the development of the interest rate derivatives market. “In the interest rate market, the CBOT developed listed contracts, and the OTC market in swaps and bonds grew dramatically. We’re seeing the exact same pattern in insurance—first came the exchange-traded products, then the OTC cat bonds. There’s been almost an exponential growth in the OTC market, and continued growth on the exchange side. Ultimately, we’ll have a convergence of capital markets, insurance markets and commodity markets. We’re already seeing Berkshire Hathaway, AIG, Goldman Sachs and Citigroup being capable of giving you property casualty cover, financial cover and commodity cover all in one package.”

Notable Insurance Deals
Source: Aon Re
Date Completed Insured or Cedant Insurer or Assuming Investors Deal Description Size
(in $ thousands)
Type of Deal
1994 Hannover Re unnamed life insurers, money managers catastrophe retrocession 5,000 risk transfer
June 1994 Hawaii Hurricane Relief Fund Chase Manhattan catastrophe line of credit 500,000 contingent capital
September 1994 Florida Windstorm Underwriting Association Chemical Bank catastrophe line of credit 1,000,000 contingent capital
September 1994 Florida RPC JUA JP Morgan catastrophe line of credit 1,500,000 contingent capital
February 1995 Nationwide unnamed life insurers, money managers contingent surplus notes 400,000 contingent capital
late 1995 AIG Mercury Asset Management catastrophe securitization 10,000 risk transfer
April 1996 Arkwright 144a market contingent surplus notes 100,000 contingent capital
July 1996 State Auto Chase Manhattan catastrophe line of credit 100,000 contingent capital
October 1996 RLI Centre Re CatEPut 50,000 contingent capital
December 1996 Hannover Re unnamed life insurers, money managers proportional reinsurance swap 100,000 risk transfer
December 1996 St. Paul Re unnamed life insurers, money managers property surplus share 68,500 risk transfer
January 1997 Winterthur European life insurers, money managers catastrophe securitization 130,000 risk transfer
March 1997 Reliance unnamed life insurer and individuals multiline catastrophe securitization less than 40,000 risk transfer
March 1997 Horace Mann Centre Re CatEPut 100,000 contingent capital
June 1997 USAA 144a market catastrophe securitization 400,000 risk transfer
July 1997 unnamed swap transaction catastrophe securitization 35,000 risk transfer
July 1997 Swiss Re 144a market catastrophe securitization 100,000 risk transfer
July 1997 LaSalle Re reinsurance and capital markets CatEPut 100,000 contingent capital
November 1997 Tokyo Fire & Marine 144a market catastrophe securitization 90,000 risk transfer
February 1998 Centre Re Solutions 144a market catastrophe securitization 80,000 risk transfer
April 1998 Mitsui Fire & Marine swap transaction catastrophe swap 30,000 risk transfer
May 1998 Reliance unnamed life insurer and individuals option on catastrophe notes 30,000 risk transfer
June 1998 CAN 144a market catastrophe securitization 8,500 risk transfer
June 1998 USAA 144a market catastrophe securitization 450,000 risk transfer
June 1998 Yasuda Fire & Marine 144a market catastrophe securitization 80,000 risk transfer
July 1998 St. Paul Re 144a market aggregate securitization 30,000 risk transfer
July 1998 XL, Global Re and Mid Ocean Re swap transaction catastrophe securitization 100,000 risk transfer
August 1998 undisclosed Swiss Re catastrophe securitization 10,000 risk transfer
October 1998 Allianz undisclosed catastrophe securitization 150,000 risk transfer

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