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					Casualty Actuarial Society:
   Overview of Catastrophe Risk
          Securitization


          Presented by:
American Re Securities Corporation
           March, 2000
                                       Table of Contents

I.                             Transaction Structures

II.                            Transaction Costs

III.                           Transaction Timing

IV.                            Catastrophe Bond Investors

Appendix I                     Gold Eagle Capital Limited

Appendix II                    Other Transactions



This presentation has been prepared by American Re Securities Corporation on behalf of itself and associated companies, and is provided for information purposes
only. Under no circumstances is it to be used or considered as an offer to sell, or a solicitation of any offer to buy. Neither American Re Securities Corporation nor any
affiliate has acted or will act as a fiduciary or financial, investment, commodity trading or other advisor of or for any recipient of this presentation and any investment,
trading or hedging decision of a party will be based upon its own independent judgement after consultation with such tax, accounting, legal and other advisors as it
deemed appropriate. Although the information in this presentation has been obtained from sources believed to be reliable, we make no representations as to its
accuracy or completeness and it should not be relied upon as such. Any opinions expressed herein are subject to change. From time to time, American Re Securities
Corporation, its associated companies and any of their officers, employees or directors may have a position, or otherwise be interested in, transactions in any securities
directly or indirectly the subject of this presentation. American Re Securities Corporation, or its associated companies, may from time to time perform investment
banking or other services for, or solicit investment banking or other business from, any company mentioned in this presentation.

The information contained herein is confidential and may not be copied or otherwise reproduced or quoted to any party other than the receiving party (including its
directors, officers, employees, or professional advisors in whole or in part).




March, 2000                                                                                                                                                           2 of 27
Transaction Structures
    Fundamental Transaction Structure


                                                                                Investors


                                                                    Coupon on
                                          Optional                                         Principal
                                                                    Principal

                    Premium                                 Premium                                Principal
                                         Insurance                               Special                                 Collateral
    Sponsor
                                       Intermediary                              Purpose                                  Trust
                    Contingent                              Contingent                             Interest and
                                                                                  Entity
                    Claims                                  Claims                                 remaining
                    Payment                                 Payment                                principal at
                                                                                                   maturity




    Insurance Intermediary provides retrocessional coverage for Sponsor
    Insurance Intermediary cedes risk to a Special Purpose Entity
    The Special Purpose Entity fully collateralizes the maximum recovery by issuing securities to the Capital Markets




March, 2000                                                                                                                      4 of 27
                      Indemnity CAT Bond
  Linked to actual losses of Sponsor in excess
   of retention:

  No basis risk
                                                       Maximum Possible   Insurer
  Co-insurance is required                                Exposure

  Requires extensive disclosure
                                                          Indemnity
      Detailed disclosure on underwriting, business                      Investors
                                                          Cat Bond
       practices and underlying exposures                                 and Insurer

  Bond structure must allow for claims
   development period:
                                                          Traditional     Re-Insurers
                                                         Reinsurance      and Insurer
      Investors have extension risk
      No recovery for Sponsor until the end of the
       development period                                 Retention       Insurer




March, 2000                                                                5 of 27
                    Parametric CAT Bond
  Linked to physical event parameters
      Location
      Magnitude for Earthquake
      Maximum windspeed or barometric pressure   Maximum Possible   Insurer
       for Windstorm (no precedent exists for         Exposure
       Windstorm)

  Introduces basis risk between parametric
                                                    Parametric
   trigger and incurred losses                                       Investors
                                                    Cat Bond
  No Co-insurance

  Requires minimal disclosure                                       Re-Insurers
                                                     Traditional
                                                    Reinsurance      and Insurer
      No disclosure on underwriting, business
       practices or underlying exposures
                                                     Retention       Insurer
  No extension risk for Investors

  Less elapsed time before Sponsor’s
   recovery than for an indemnity bond



March, 2000                                                           6 of 27
               Modeled Index CAT Bond
 Modeled Index Linked Securities: e.g. ModILSSM

  Linked to an Index:
      Modeled Industry Losses
                                                          Maximum Possible   Insurer
      Modeled Insurer Losses                                 Exposure

  Less basis risk than for a Parametric CAT Bond

  No Co-insurance                                           ModILSSM
                                                                             Investors
                                                             Cat Bond
  Requires minimal disclosure

      No disclosure on underwriting and business
       practices                                             Traditional     Re-Insurers
                                                            Reinsurance      and Insurer
      If an industry index, no disclosure on Sponsor's
       exposures
                                                             Retention       Insurer
  No extension risk for Investors

  Less elapsed time before Sponsor’s recovery
   than for an indemnity bond



March, 2000                                                                   7 of 27
     Coping with the Basis Differential

 Basis differential can be placed or retained:
                                                                       Probability of Exceedance 
  The Sponsor can retain the basis
      No cost related to third party taking basis
      Positive value can be structured to equal or




                                                        Loss/Gain 
       exceed negative value
      May prevent transaction from being treated as
       reinsurance for regulatory purposes

  Through an Insurance Intermediary, the
   index or parametric bond can be
   transformed into an indemnity policy, and
                                                                          0.X%
   the Intermediary can place or retain the
   basis risk

  An Intermediary can arrange for a cap on
   the basis differential, thereby ensuring
   performance within a collar range




March, 2000                                                                                      8 of 27
Transaction Costs
                     Costs of Transaction

 Initial transaction costs   Estimated One-Time Transaction Costs
  are constant for any
  transaction of $100             Legal Costs                          $500,000
  million in size or less:        Modeling Costs                       $250,000
                                  Structuring and Underwriting Fee   $3,000,000
                                  Rating Agencies                      $200,000
                                  Printing Costs                        $20,000
                                  Miscellaneous and Accounting          $25,000
                                  Trustee Fee                           $30,000
                              Total One-Time Transaction Costs       $4,025,000

 Ongoing transaction costs depend on
  the maturity of the bond. The following
  estimates are the spread to LIBOR             1 Year     3 Year     5 Year
  demanded by Capital Markets investors         400 bps   450 bps    500 bps
  for a ModILSSM or Parametric bond of
  BB risk:

March, 2000                                                                10 of 27
           Annual Costs of Transaction
 All-in, estimated transaction costs, expressed as an annual Rate-on-Line:




                                 1 Year             3 Year            5 Year
         $50 Million             12.1%               7.2%              6.6%
         $100 Million             8.0%               5.8%              5.8%




March, 2000                                                                    11 of 27
Transaction Timing
                                  Time Frame

  Structural Design




     Risk Modeling


                                                                         Indemnity Bond

    Documentation


                                                                         ModILS SM or
                                                                         Parametric Bond
    Rating Agency




         Marketing




           Closing

                      0   1   2    3         4         5     6   7   8
                                  Elapsed Time (in months)




March, 2000                                                                13 of 27
Catastrophe Bond Investors
                   Investors in CAT bonds
                                  Some Previous Investors:

               Mutual Funds
                                     Bank of Montreal
                                     Bracebridge
                Life Insurers        Capital Research and Trading
                                     Combined Insurance Company
                                      of America
               Hedge Funds           Everest Re
                                     John Hancock Mutual Life
                                     Lazard
                 Reinsurers
                                     Lincoln Re
                                     Lutheran Brotherhood
                   Banks             Pacific Life
                                     PIMCO
                                     Renaissance Re
              Non-Life Insurers
                                     TIAA
                                     Travelers
                                     US Fidelity & Guarantee

March, 2000                                                   15 of 27
Gold Eagle Capital Limited
          Appendix I
Transaction Highlights
 Gold Eagle Capital Notes offer diversified exposure to catastrophic risk:
   East Coast/Gulf Hurricane
   New Madrid Earthquake
   California Earthquake
 Modeled Index Linked Securities (ModILSSM), where performance is linked to an
  index reflecting modeled, rather than actual, insurance losses, avoid certain risks
  associated with indemnity CAT bonds:
   Investors exposed solely to frequency of event occurrence, with no uncertainty
    as to severity of loss
   No exposure to claims paying practice or changes in underlying policies
   Exposure data and associated attachment points are placed in escrow and
    remain static
   No uncertainty from secondary perils
   Allows rapid post-event settlement period
 Class A Notes were the first, fully principal-at-risk, investment grade CAT bond




March, 2000                                                                       17 of 27
Transaction Summary
Securities:                $50 million of Class A Floating Rate Modeled Index Linked Notes
                           $126.6 million of Class B Floating Rate Modeled Index Linked Notes

Issuer:                   Gold Eagle Capital Limited, a special purpose Bermuda company

Index Swap Counterparty: American Re Capital Markets, Inc. (“ARCM”), a wholly owned
                         subsidiary of American Re Corporation (“ARC”)

Use of Proceeds:          Invested in Permitted Investments to collateralize the Index Swap

Index Swap
Calculation Agent:        Risk Management Solutions, Inc. (“RMS”)

Maturity Date:            April, 2001 (subject to a maximum extension of 2 months)

Risk Period:              November 24, 1999 to March 31, 2001, excluding 1999 Hurricane

Coupon:                   Class A:               US$ 3 month LIBOR +295 bps
                          Class B:               US$ 3 month LIBOR +540 bps

Ratings:                  Class A:               Baa3/BBB-              Moody’s/Fitch
                          Class B:               Ba2/BB                 Moody’s/Fitch



March, 2000                                                                             18 of 27
                                                                                                 Amount                                        Moody’s
Gold Eagle                                                                 Description

                                                                          Class A
                                                                                                 ($MM)
                                                                                                    50.0
                                                                                                                     Coupon

                                                                                                                  LIBOR+295
                                                                                                                                   Maturity

                                                                                                                                       17 mo
                                                                                                                                                Rating
                                                                                                                                                Baa3

Capital Limited                                                           Class B                  126.6          LIBOR+540            17 mo    Ba2

November 1999


                                                                       CIBC, London


                                                 Return on permitted                     LIBOR -[XX]
                                                 investments
                                                                                                  Principal
                                                Fixed                                             Repayment
                 Index Swap                     Payment                                           & Interest
                                                                       Gold Eagle                                          ModILSSM
                 Counterparty
                                                                      Capital Limited                                      Investors
                   (ARCM)                 Qualifying Event                                        Cash
                                          Settlement Amount                                       Proceeds


                                               Return on Permitted                       Cash Proceeds
                                               Investments                               from Sale of Notes


                                                                          Collateral
                                                                          Account




   Gold Eagle Capital Limited enters into a cash-collateralized, catastrophe Index Swap with ARCM.
   Gold Eagle Capital Limited collateralizes this swap by issuing $176.6 million of Modeled Index Linked Notes to investors.
   Gold Eagle Capital Limited enters into an Interest Rate Swap to smooth investment income.




March, 2000                                                                                                                                      19 of 27
Determination of the Index Value
 RMS determines if a given Hurricane or Earthquake is a Qualifying Event.
 Within 60 days:
         RMS parameterizes (quantifies the characteristics of) the Qualifying Event
         RMS calculates an Index Value utilizing those parameters and the escrowed
          Exposure Dataset
 If the final Index Value results in a write down of principal, such write down will
  occur on the Interest Payment Date following the determination of the Index Value
 Any Index Value resulting in a principal write-down must be supported by an Agreed
  Upon Procedures Letter from KPMG to verify the correct application of the RMS
  model
 Generic event and write-down timing example:
                                                                                         January, 2001
              September, 2000                        November, 2000                      Interest Payment Date
              Trigger Event                          60 day final Index Value            write-down of principal
                                      ~30 days                                  5 days
                  ~30 days                                  variable
                                October, 2000                                   January, 2001
                                30 day Preliminary                              Determination Date
                                Index Value                                     >60 days after event



March, 2000                                                                                                        20 of 27
Modeled Risk Profile
Class A Notes                                  Principal                         17 month
   Attachment Probability (17 month)   0.24%   Reduction                       Exceedance
   Exhaustion Probability (17 month)   0.24%                                    Probability
   Expected Loss (17 month)            0.24%
   Expected Loss (annualized)          0.17%                     Class A
                                               $177 million                          0.24%
Class B Notes
   Attachment Probability (17 month)   1.10%
   Exhaustion Probability (17 month)   0.70%
   Expected Loss (17 month)            0.89%                  Entire Class B
   Expected Loss (annualized)          0.63%   $127 million                          0.70%



Events Qualifying for Calculation:                             2/3 Class B
• A Hurricane of category 1 or higher,         $84 million                           0.86%
  occurring in the Eastern Hurricane Region
  on or after January 1, 2000
• An Earthquake in the New Madrid Seismic                      1/3 Class B
  Zone or California exceeding magnitude 5.0   $42 million                           1.10%
  at its epicenter




March, 2000                                                                        21 of 27
 New Madrid Modeled Risk Profile
  Boundaries for Qualifying New                    RMS CAT                          17 month
    Madrid Earthquake Events                       Index Value                    Exceedance
                                                                                   Probability

                                                                    Class A
                                                   620                                   0.11%



                                                                 Entire Class B
                                                   470                                  0.18%



                                                                  2/3 Class B
                                                   435                                  0.22%
Events Qualifying for Calculation:
• An Earthquake exceeding certain magnitude
  thresholds at its epicenter, in the New Madrid
                                                                  1/3 Class B
  Region:
                                                   400                                  0.24%
           Mw            Mb            Ms
           5.0           5.0           5.0


March, 2000                                                                           22 of 27
 California Modeled Risk Profile
Boundaries for Qualifying California                       RMS CAT                          17 month
       Earthquake Events                                   Index Value                    Exceedance
                                                                                           Probability

                                                                            Class A
                                                           620                                 <0.03%



                                                                         Entire Class B
                                                           291                                 <0.03%



                                                                          2/3 Class B
                                                           260                                  0.05%
Events Qualifying for Calculation:
• An Earthquake exceeding certain magnitude
  thresholds at its epicenter, in the California Region:
                                                                          1/3 Class B
            Mw            Mb             Ms                245                                  0.17%

            5.0           5.0            5.0



March, 2000                                                                                   23 of 27
 East Coast/Gulf Modeled Risk Profile
Boundaries for Qualifying Hurricane                    RMS CAT                          15 month
              Events                                   Index Value                    Exceedance
                                                                                       Probability

                                                                        Class A
                                                       [620]                               [0.11%]



                                                                     Entire Class B
                                                       [410]                               [0.49%]



                                                                      2/3 Class B
                                                       [395]                               [0.59%]
Events Qualifying for Calculation:
• A Hurricane occurring in the Eastern Hurricane
  Region of category 1 or higher. Any named tropical                  1/3 Class B
  storm or hurricane that is designated as such by     [380]                               [0.70%]
  the NHC prior to January 1, 2000 shall be excluded
  as a Qualifying Event.




March, 2000                                                                               24 of 27
Historical Events
                            Magnitude(1)                                            Modeled
                                                                                            Loss to Loss to
               Event             / Cat                         Location              Index
                                                                                            Class B Class A
                             Intensity(2)                                            Value
      New Madrid Earthquake
      New Madrid 1811-1812         8.2                  New Madrid                      846        100%       100%
      Charleston, MO 1895          6.2                  New Madrid                       43          0          0
      California Earthquake
      San Francisco 1906           8.3                  San Francisco Area              291        100%          0
      Northridge 1994 (3)          6.8                  Los Angeles                      39          0           0
      U.S. Hurricane
      Not Named 1926                4                   Florida                         364           0          0
      Andrew 1992                   4                   Florida                         209           0          0
      Not Named 1938                3                   New England                     126           0          0
      Donna 1960                    4                   Florida, East Coast              76           0          0
      Camille 1969                  5                   Louisiana, Mississippi           49           0          0
      (1) Magnitudes for New Madrid events are moment magnitudes (Mw).
         Magnitudes for California events are surface wave magnitudes (Ms).
      (2) The highest Saffir-Simpson category as assigned by the NHC.
      (3) The Modeled Index Value for the Northridge earthquake of 1994 is reflective of the policy structures that
          were in place as of 1997 and is subsequently lower than estimates of the actual Northridge loss.




March, 2000                                                                                                           25 of 27
Other Transactions
      Appendix II
      Some Comparable Transactions
                                                          Japan Earthquake

         Parametric Re (Parametric)     11/97 Tokyo Marine & Fire      $100.0   10     0.70%   L+430      Ba2
         Concentric, Ltd (Parametric)    5/99 Tokyo Disneyland         $100.0   5      0.42%   L+310      Ba1
         Namazu Re                      11/99 GKG (Gerling)            $100.0   5      0.75%   L+450    BB(S&P)

                                                           Japan Windstorm

         Pacific Re                     6/98 Yasuda Fire & Marine       $80.0    5     0.96%   L+370     Ba3
         (Includes Modeled elements)
                                                              US Earthquake

         SR Earthquake Ltd              8/97 Swiss Re                  $137.0     2    0.68%   10.49%    Ba1
         Domestic Inc.                  3/99 Kemper Insurance          $100.0     3    0.50%    L+369    Ba2
         Seismic Limited                3/00 Lehman Re                 $150.0   1.83   0.73%    L+450    Ba2

                                                              US Windstorm

         Residential Re                  6/97   USAA                   $477.0    1     0.70%   L+582     Ba2
         Trinity Re                      2/98   Centre Solutions        $83.5    1     0.83%   L+367     Ba3
         Residential Re                  6/98   USAA                   $450.0    1     0.60%   L+404     Ba2
         Trinity Re                     12/98   Centre Solutions        $56.6    1     0.77%   L+417     Ba3
         Residential Re                  6/99   USAA                   $200.0    1     0.43%   L+366     Ba2
         Juno Re, Ltd                    6/99   GKG (Gerling)           $80.0    3     0.45%   L+420     Ba2

                                                          Diversified US Risk

         Mosaic Re                       7/98   F&G Re                  $54.0     1    0.61%   L+440    BB(S&P)
         Mosaic Re II                    2/99   F&G Re                  $45.7     1    0.43%   L+400    BB(S&P)
         Gold Eagle Capital (Class A)   11/99   American Re             $50.0   1.42   0.17%   L+295     Baa3
         Gold Eagle Capital (Class B)   11/99   American Re            $126.6   1.42   0.63%   L+540      Ba2




March, 2000                                                                                                       27 of 27

				
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