RMS

RMS Performs Risk Analysis for U.S. Earthquake Casualty Catastrophe Bond

Calif – December 14, 2011 – Risk Management Solutions (RMS) has completed the expert modeling analysis in connection with the securities offering undertaken by Golden State Re Ltd., a special purpose reinsurance company domiciled in Bermuda. The securities offering is intended to finance a separate reinsurance transaction providing $200 million of collateralized coverage against U.S. earthquake casualty over three years for the State Compensation Insurance Fund, and is the first of its kind to cover workers compensation.

The trigger for the reinsurance arrangement is based on modeled notional losses calculated by RMS using ground motion data from the U.S. Geologic Survey. To manage the temporal variability inherent in workers compensation risks, RMS will use earthquake time-of-day to estimate the exposed population of workers.

"The use of a modeled loss trigger with a time-of-day component illustrates how a relatively complex risk, like earthquake casualty, can be transferred transparently and efficiently to the capital markets," commented Peter Nakada managing director of RiskMarkets, RMS' dedicated insurance-linked securities (ILS) team. "We're excited to have the RMS^® U.S. Earthquake Casualty Model used in this innovative transaction, and to have helped bring the deal to market."

Risk managers can also leverage the data to gain valuable insight into portfolio diversification opportunities within hurricane states and clearly identify and monitor storm surge accumulation "hot spots."

"Used in combination with other hazard data, our Storm Surge Dataset enhances the risk selection process and provides a more complete view of risk," Mr. Kapitan added. "This unique perspective gives our clients a more detailed understanding of the drivers of hurricane loss and, because the information is based on the same data, provides consistency from hazard information through to modeled loss."
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