$104m series issued for coverage against multi peril losses

Risk Management Solutions (RMS) has reviewed the risk analysis processes for a multi-peril indemnity deal.

The transaction provides cover in two tranches against losses from US windstorm and earthquake, Japanese typhoon and earthquake and European windstorm, as well as protection against annual aggregate worldwide peril losses.

Issued by Valais Re, a Cayman Islands special purpose vehicle (SPV), the securities provide $104m of three-year, collateralised cover for Flagstone Reinsurance and Flagstone Réassurance Suisse SA.

Flagstone's underwriting and modeling processes use a set of the RMS models, accompanied by data to analyse their exposures. RMS concluded that the methodology and assumptions employed would provide a reasonable and prudent representation of the underlying risks inherent in the transaction.

‘While a third party could remodel a smaller indemnity transaction, it would be impractical for a modeling firm to reanalyse a portfolio with hundreds of cedants, particularly given the typical time constraints on cat bond deals’, said Peter Nakada, managing director at RMS Consulting.

He added: ‘This transaction demonstrates the value that can be added by assessing a reinsurer’s own modeling, and we are pleased to continue reviewing these deals as the market for them evolves.’