Insurance-Linked Securities Consulting

EQECAT provides catastrophe risk consulting for insurance-linked securities in the support of insurance, reinsurance, corporate, and government clients to assist in the placement of insurance risk into the capital markets. Insurance-linked securities consulting services include:

  • Full probabilistic risk analysis of client portfolios
  • Assistance in design of risk transfer structures and loss triggers
  • Basis risk studies
  • Transaction risk analysis
  • Disclosure and documentation
  • Rating agency support
  • Investor marketing support

Insurance-linked securities consulting may extend past closing, through the life of the deal, and include model and portfolio resets, loss event reporting, and monitoring of natural catastrophe activity that could impact pricing of cat bonds in the secondary market.

Probabilistic Risk Analysis

Analysts use the RQE® cat modeling software platform to quantify risks to be included in a transaction. Outputs, such as loss exceedance curve, are used to establish layers of risk to be transferred, expected loss and a quantification of uncertainty.

Risk Transfer Design Including Loss Triggers

Analysts assist clients in the design of a transaction structure to include attachment and exhaustion levels, potential loss triggers (e.g. indemnity, industry loss, parametric index, pure parametric), per occurrence or aggregate covers, single vs. multi-peril, etc.

Basis Risk Analysis

Analysts assess the likelihood that a client's proposed deal structure will not fully match the underlying expected loss characteristics as defined by the model. The basis risk can then be managed and/or mitigated.

Transaction Risk Analysis, Disclosure and Documentation

EQECAT provides complete probabilistic risk analysis of the defined transaction structure providing full risk metrics, along with descriptions of the peril(s), underlying models used, data sources, historical cat activity, descriptions of the risk (portfolio) being transferred. Risk results usually include simulations of major historical scenarios and credible hypothetical future scenarios. Documentation can be via a Rule 144a placement or via a private cat swap placement.

Rating Agency Presentations

Analysts work with the client and underwriter to achieve the targeted rating using descriptions of the risks, models, key assumptions and limitations, and additional sensitivity analyses requested by the rating agency.

Investor Marketing Support

EQECAT provides marketing support to underwriters in placing the securities via investor presentations, one-on-one meetings, and phone calls related to the risk assessment and risk disclosure prepared in the offering documents.

Post-Closing Services

Following deal completion, EQECAT may provide additional services including acting as calculation agent for loss determination and resets to accommodate changes in underlying ceded portfolios, industry loss exposures, or updates to the models since the deal was placed. EQECAT may also advise the client and rating agencies on major cat events that could result in attachment to the issue, and/or one of its tranches.

Professional Commentaries

Professional Commentaries provide investors with a complete probabilistic risk analysis of the defined transaction structure, providing full risk metrics, expected loss contribution, descriptions of the peril(s), underlying models used, historical catastrophic activity, descriptions of the risk (portfolio) being transferred, and EQECAT's perspective on salient considerations for this particular tranche.

Request information about EQECAT's insurance-linked securities consulting.



Catastrophe Risk Consulting Information

Contact the Consulting Services Group to learn how insurance-linked securities can assist in risk placement in capital markets.

Related Materials

Insurance-Linked Securities Consulting Fact Sheet

Insurance-Linked Securities Consulting Fact Sheet
(PDF 282 KB)

Professional Commentaries Fact Sheet

Professional Commentaries Fact Sheet
(PDF 283 KB)

Related News

September 24, 2012
Investors seeking yield need look no further than catastrophe bonds
Discussing the catastrophe bond market and its attractiveness to investors at a conference, Bill Keogh said:

"People want yield, and that's where you get yield. I don’t know where else you could get yield these days."

October 20, 2011
Swiss Re
Swiss Re places EUR 180 million of European windstorm risk on behalf of AXA Global P&C through Calypso Capital Ltd.
EQECAT provided third-party risk analysis for the cat bond notes covering European windstorm events.

January 28, 2011
Swiss Re planning new Successor X cat bond - S&P
Swiss Re plans to add to its long running catastrophe bond series by launching the first transaction in 2011 under its Successor X shelf programme, credit rating agency Standard & Poor's said on Friday. EQECAT will provide risk modelling services for the bond.