AIR/Verisk Touchstone Models
ModelingLong
AIR Worldwide Touchstone model competes with RMS; multi-vendor blending standard practice
Source: caia.org
Active Risk Selection ILS
StrategyLong
Cherry-pick favorable bonds; avoid high-loss-creep names; rotate by peril; aim for 100-200 bps over benchmark
Source: resonanzcapital.com
Aggregate Cat Bond
Cat Bond StructureLong
Sum-of-losses across multiple events over period (typically 12 months) must breach attachment; broader risk than per-occurrence
Source: wikipedia.org
All-Risk Aggregate ILS
StrategyLong
Buy all-natural-peril aggregate bonds; broad coverage; smooth payoff vs single-event; low yield
Source: resonanzcapital.com
Aon Securities ILS Indices
Trading ToolsTool
Aon All Bond Index/BB Index/US Wind Index/Euro Wind; performance attribution standard
Source: caia.org
Artemis Deal Directory
Trading ToolsTool
Artemis.bm comprehensive deal database; track all 144A issuances; primary source
Source: artemis.bm
Basis Risk Management
RiskHedge
Indemnity = lowest basis risk; parametric = highest; sponsor balances speed-of-payout against basis risk
Source: chicagofed.org
Best-Execution Cat Bond Trading
StrategyLong
Use multi-broker requests; Aon ILS Solutions/Marsh/GC Securities; minimize bid-ask 1-3%
Source: artemis.bm
Bond Roll Strategy Annual
TradingLong
Roll matured bonds into new issuances; maintain expected loss target; reinvest at prevailing spreads
Source: resonanzcapital.com
Bond-Picking by Modeled EL
StrategyLong
Filter by modeled EL ÷ premium ratio; reject ratios above 50%; favor lower-risk-load multiple bonds
Source: resonanzcapital.com
CBOT Cat Futures (Historical)
Cat DerivativesSpeculative
CBOT introduced 1992 post-Andrew; replaced by cat options 1994; withdrawn 2000; thin liquidity killed instrument
Source: sciencedirect.com
California EQ ILS
StrategyLong
California Earthquake Authority Ursa Re; recurring sovereign-quality issuer; modeled and indemnity
Source: chicagofed.org
Cat Bond Lite (Private Cat)
StrategyLong
$10-50M private cat bonds; lower transaction cost; niche sponsor protection; less liquid than 144A
Source: artemis.bm
Cat Bond Stop-Loss Rebalancing
Risk MgmtHedge
Trim exposure when portfolio NAV drops 5%+ during event; preserve capital; reload post-settlement
Source: resonanzcapital.com
Cat Options OTC
Cat DerivativesSpeculative
OTC cat options; payout based on PCS index; binary or call structure; institutional hedging or directional
Source: sciencedirect.com
Cliff Risk at Attachment
RiskLong
Cat bond payoff is binary near attachment; small loss change = total principal loss; black-and-white risk
Source: caia.org
Climate Adjusted Modeling
ModelingLong
Adjust historical models for climate change frequency and severity loadings; key 2026 issue
Source: alts.axa-im.com
Climate Change Loading
RiskLong
Climate change premium loading; 5-15% premium increase for non-modeled climate risk; growing institutional concern
Source: alts.axa-im.com
Collateralized Reinsurance
ReinsuranceLong
Fully-collateralized reinsurance contract; no credit risk vs sponsor; private deal; less liquid than cat bonds; 10-20% expected return in hard markets
Source: artemis.bm
Concentrated Single-Peril ILS
StrategyLong
Concentrate Florida wind for high yield; double premium of diversified portfolio; high single-peril risk
Source: resonanzcapital.com
Concentration Risk Florida Wind
RiskLong
FL wind dominates US issuance; concentration risk; need geographic diversification for portfolio
Source: artemis.bm
Core-Satellite ILS+PrivateCredit
PortfolioLong
Private credit core + Cat/ILS satellite; barbell of credit risk and event risk
Source: sageadvisory.com
Corporate Cat Bond Sponsor
IssuerLong
Non-insurance corporates (utilities, transit) issue cat bonds for direct asset protection; growing niche
Source: wharton.upenn.edu
Counterparty Collateral Mgmt
Risk MgmtHedge
Monitor SPV collateral quality; ensure liquid cash equivalents; post-Lehman tightened standards
Source: institutdesactuaires.com
Cyber Cat Bond
StrategyLong
Emerging asset class 2023-2026; covers systemic cyber events (Beazley PoleStar Re); high uncertainty premium
Source: naic.org
Distance-to-Trigger Pricing
PricingLong
Higher attachment + thinner layer = lower expected loss + lower premium; layer width affects spread
Source: caia.org
Diversifying ILS Allocation 5-15%
PortfolioLong
Sage Advisory recommends 5-15% satellite allocation; reduces drawdowns; uncorrelated with equities; Sharpe enhancement
Source: sageadvisory.com
ESG Cat Bond Selection
StrategyLong
Select issuers with strong ESG reporting; growing investor demand; minimal premium impact
Source: alts.axa-im.com
Earthquake Country Pool
HedgingHedge
Caribbean Catastrophe Risk Insurance Facility; Pacific Catastrophe Risk Pool; sovereign parametric pools
Source: chicagofed.org
Embedded Value Securitization
Life ILSLong
Life insurer packages future profit stream from in-force book; investors receive coupons from policy persistency
Source: naic.org
European Wind Storm ILS
StrategyLong
Euro Wind bonds (Allianz Blue Halo, Eurus); peril-pure exposure; PERILS index trigger
Source: artemis.bm
Excess of Loss Sidecar
ReinsuranceLong
Take specific layer (e.g. $50M xs $100M) of cedent's book; binary outcome at layer; tail-heavy
Source: institutdesactuaires.com
First-Time Sponsor Premium
IssuerLong
First-time issuers must pay premium spread for placement; 2025 multiple FTI sponsors
Source: naic.org
Floating Rate Coupon Strategy
Cat Bond YieldLong
Coupon = SOFR + risk spread; rate-insensitive hold during Fed hiking; survived 2022 Fed cycle while traditional bonds drew down
Source: naic.org
Flood Cat Bond
StrategyLong
Federal Flood Insurance Program (NFIP) issued FloodSmart Re; first sovereign flood bond; growing market
Source: chicagofed.org
Hurricane Season Tactical Trim
StrategyLong
Trim FL wind exposure pre-peak hurricane season Aug-Oct; redeploy after season
Source: artemis.bm
Indemnity Trigger Cat Bond Investing
Cat Bond BasicLong
Buy 144A indemnity-trigger cat bond at issuance; payout linked to sponsor's actual losses; 2-3 year payout settlement post-event; lowest basis risk for sponsor
Source: chicagofed.org
Industry Loss Trigger Cat Bond
Cat Bond BasicLong
Buy industry-loss trigger bond; payout when PCS or PERILS aggregate insured losses breach attachment (e.g. $30B); 3-month settlement; basis risk between industry and sponsor losses
Source: chicagofed.org
Industry Loss Warranty (ILW)
ReinsuranceLong
OTC derivative paying fixed amount when industry loss exceeds threshold ($20B Florida wind); pure binary parametric structure
Source: finra.org
Insurer Risk Transfer Strategy
HedgingHedge
Insurer issues cat bond to transfer tail risk to capital markets; cheaper than reinsurance in hard market; 3-year tenor typical
Source: chicagofed.org
Interval/Listed ILS Vehicle
PortfolioLong
Quarterly redemption windows; allows broader retail access; trades at NAV with redemption gates
Source: sageadvisory.com
Issuance Calendar Trading
StrategyLong
Heavy May/June issuance pre-hurricane season tightens spreads briefly; opportunistic timing
Source: artemis.bm
Japan EQ ILS
StrategyLong
Japanese earthquake bonds (Tokio Marine Akibare, Sompo Sakura); modeled-loss or industry-loss triggers
Source: artemis.bm
KCC (Karen Clark) Models
ModelingLong
Independent vendor with non-standard methodology; sometimes preferred for hurricane
Source: caia.org
LIBOR/SOFR Spread Pricing Model
PricingLong
Coupon = floating rate + spread = expected loss + risk load + transaction cost; 2-4x EL is typical risk-load multiplier
Source: caia.org
Lane Financial Synthetic Index
Trading ToolsTool
Lane Financial methodology for synthetic cat loss index; secondary check on PCS/PERILS
Source: caia.org
Liquidity Reserve Buffer
Risk MgmtHedge
Hold 10-20% cash buffer for redemptions; cat bond market can illiquidify post-event; fund managers learned 2017-2018
Source: resonanzcapital.com
Long-Only Pure Beta ILS
StrategyLong
Track market spread index; passive beta exposure; ~6-10% expected return in normal years; -20%+ in major loss years
Source: sageadvisory.com
Longevity Risk Bond
Life ILSShort Longevity
Pension funds buy protection; pay if longevity exceeds projection; investor takes longevity-risk premium
Source: naic.org
Loss Creep Reserve Management
RiskLong
Investor reserves against potential loss creep; conservative marks pre-final-PCS-bulletin; common after Hurricane Ian
Source: resonanzcapital.com
Loss Creep Trading
TradingLong Or Short
After event, loss estimates evolve over months; trade discount-to-par based on loss creep direction
Source: resonanzcapital.com
Loss Year Buy-Up Strategy
StrategyLong
Increase allocation after loss year captures hard-market premium; e.g. post-2017 Irma vintage outperformed
Source: sageadvisory.com
MTA Storm Surge Hedge
HedgingHedge
NYC MTA cat bond uses parametric tidal gauge trigger for subway flood protection; 2013-2017-2020 renewals
Source: wharton.upenn.edu
Maturity Wall Reinvestment
StrategyLong
Stagger maturities to avoid concentrated reinvestment risk during soft markets; ladder 1-3-5 year tenors
Source: resonanzcapital.com
Medical Cost Bond
Life ILSLong
Triggered by medical claim cost ratios exceeding threshold; rare; payout if healthcare inflation exceeds bands
Source: naic.org
Mexican Quake ILS (FONDEN)
StrategyLong
Mexico parametric earthquake bond; rapid disaster recovery payout; magnitude-based; sovereign issuer
Source: chicagofed.org
Modeled Loss Trigger Cat Bond
Cat Bond BasicLong
Trigger based on catastrophe model output running event params against fixed exposure portfolio; <1% market share; used for emerging perils
Source: marinpost.org
Mortality Risk Bond
Life ILSLong
Vita Capital series (Swiss Re); pays coupon if mortality stays below threshold; pandemic risk hedge; principal lost on extreme mortality spike
Source: institutdesactuaires.com
Multi-Peril Cat Bond
Cat Bond StructureLong
Bundles US wind + EQ + Euro wind + Japan EQ in one bond; spreads premium across perils; common in MTA Risk and Matterhorn Re
Source: wharton.upenn.edu
Multi-Peril Diversification
PortfolioLong
Mix US wind + Euro wind + Japan EQ + California EQ; diversifies geographic and peril correlations
Source: artemis.bm
Multi-Region Dependence Modeling
ModelingLong
Burnecki model 2024-2025; independent vs proportional vs arbitrary 2-D loss distribution; pricing impact for multi-region
Source: arxiv.org
Multi-Strat ILS Vehicle
StrategyLong
Combines cat bonds + collateralized re + sidecars + ILWs; broader return drivers; less liquid than pure cat bond
Source: aima.org
Multi-Vintage ILS Laddering
PortfolioLong
Buy across years to smooth vintage risk premium variation; reduces single-vintage concentration
Source: resonanzcapital.com
Off-Cycle Issuance Premium
StrategyLong
Q1 placements (post-renewal cycle) trade at premium for buyers; sponsor must pay placement premium
Source: artemis.bm
PCS/PERILS Loss Reporting
Trading ToolsTool
Property Claim Services (US) and PERILS (Europe) provide industry loss estimates; resolve industry-loss triggers
Source: chicagofed.org
Pandemic Bond (World Bank)
HedgingHedge
World Bank Pandemic Emergency Financing Facility; triggered partial payout 2020 COVID; controversial trigger design
Source: naic.org
Pandemic Risk ILS
StrategyLong
Mortality and morbidity bonds; post-COVID complexity; trigger design controversy limits market growth
Source: naic.org
Parametric Trigger Cat Bond
Cat Bond BasicLong
Parametric trigger: windspeed >130 mph at specified gauges or earthquake >M7.0; rapid settlement (~3 months); ~10% of market; high basis risk for sponsor
Source: marinpost.org
Per-Occurrence Cat Bond
Cat Bond StructureLong
Single-event trigger; one event must breach attachment alone; common for headline perils (Florida hurricane named storm)
Source: wikipedia.org
Post-Event Discount Buy
Cat Bond YieldLong
Buy bonds marked down post-event before final loss determination; if loss creep stays below attachment, recover full principal
Source: resonanzcapital.com
Pre-Hurricane Season Buy
Cat Bond YieldLong
Buy April-May pre-Atlantic season; sell mid-November post-season if no major event; capture seasonal premium decay
Source: artemis.bm
Pre-Hurricane Season Vol Premium
TradingShort Vol
Sell volatility on cat bond fund NAV pre-season; collect uncertainty premium if no event
Source: artemis.bm
Public-Sector Sponsor Quality
IssuerLong
State catastrophe fund (Florida Citizens, California EQ Authority Ursa Re) high-quality recurring sponsors
Source: chicagofed.org
Quota Share Co-Invest
StrategyLong
Co-invest with reinsurer in quota share of book; participate in underwriting margin; multi-year deals
Source: finra.org
Quota Share Sidecar
ReinsuranceLong
Pro-rata participation in insurer's premium and losses on defined book; e.g. 20% of cedent book; income-like with tail risk
Source: institutdesactuaires.com
RMS Catastrophe Model Pricing
ModelingLong
RMS RiskLink models hurricane/EQ; expected loss + risk load = required spread; key institutional pricing input
Source: caia.org
Reinstatement Risk Hedge
Risk MgmtHedge
Aggregate bonds expose to second/third event; hedge by buying per-occurrence offsets
Source: artemis.bm
Repeat Sponsor Premium
IssuerLong
Repeat sponsors (USAA Residential Re, State Farm Merna, Allstate Sanders Re) trade at tighter spreads vs first-time issuers
Source: naic.org
Resilience Bond Investing
StrategyLong
Hybrid structure rewards mitigation investment with reduced premium; emerging structure post-2020
Source: alts.axa-im.com
Retrocession (Retro)
ReinsuranceLong
Reinsurance for reinsurers; covers Swiss Re/Munich Re/Hannover Re top layers; thin and volatile market; high return / high risk
Source: finra.org
Risk Load Multiple Cycle
PricingLong
Multiple compresses to ~1.5x EL in soft market; expands to 4x+ EL post-Cat-loss; cyclical
Source: sageadvisory.com
Risk Spread Capture
Cat Bond YieldLong
Buy at issuance when risk spreads peak post-loss-year (post-2017 Irma; post-2022 Ian); hardened reinsurance market gives 8-12% premium spread
Source: sageadvisory.com
Secondary Market Liquidity Capture
TradingLong
Trade secondary market via Aon Benfield/Swiss Re/Marsh McLennan; pre-event mark vs post-event mark; bid-ask 1-3%
Source: artemis.bm
Senior Tranche ILS
StrategyLong
Buy senior tranches with higher attachment; safer with smaller premium; institutional core holding
Source: wharton.upenn.edu
Side Pocket for Hit Bonds
Risk MgmtHedge
Side-pocket bonds with potential loss to prevent NAV-arbitrage; standard practice 2017+
Source: resonanzcapital.com
Sidecar Investment
ReinsuranceLong
Co-invest with insurer in proportional share of book; returns depend on underwriting result; quota share economics; hedge fund favorite
Source: finra.org
Single-Peril Single-Region
Cat Bond StructureLong
e.g. Florida-only hurricane; pure peril concentration; highest premium; used by state catastrophe funds (Citizens Florida)
Source: chicagofed.org
Soft Market Reduction
StrategyDefensive
Reduce allocation during soft markets when premiums compress to 1.5x EL; redeploy elsewhere
Source: sageadvisory.com
Sovereign Cat Bond
IssuerLong
Mexico FONDEN; Philippines parametric; Caribbean CCRIF; sovereign parametric for disaster recovery
Source: chicagofed.org
State Fund Hedging (Florida Citizens)
HedgingHedge
State catastrophe funds use indemnity bonds for solvency assurance; FONDEN Mexico uses parametric for fast disaster recovery cash
Source: chicagofed.org
Subordinated Tranche ILS
StrategyLong
Buy subordinated tranches with lower attachment; double premium; first-loss exposure
Source: wharton.upenn.edu
Swiss Re Cat Bond Total Return Index
Trading ToolsTool
Total return index for cat bond market; widely used institutional benchmark
Source: caia.org
Terrorism Cat Bond
StrategyLong
Post-9/11 niche; certified-act-of-terrorism trigger; small market; backed by TRIA
Source: caia.org
Total Return ILS Fund
StrategyLong
Cash collateral yield + risk spread + roll-down; 6-10% target return; bond-like vol with equity-like upside
Source: resonanzcapital.com
Tranched Cat Bond Class A vs B
Cat Bond StructureLong
Class A (higher attachment, lower coupon, BB-rated) vs Class B (lower attachment, higher coupon, B-rated); Matterhorn 2020-5 example
Source: wharton.upenn.edu
UCITS Cat Bond Fund
PortfolioLong
Daily/weekly liquidity; listed cat bonds only; clean access without QIB requirement; e.g. Schroder/Twelve Capital/Plenum funds
Source: resonanzcapital.com
Vintage Avoidance Post-Loss-Year
TradingLong
Avoid vintages with high concentration in just-hit perils; rotate exposure to fresh capacity
Source: resonanzcapital.com
Warehoused Risk Trading
StrategyLong
Take warehoused reinsurance risk pre-securitization; bridge financing for sponsor; specialist niche
Source: institutdesactuaires.com
Wildfire Cat Bond
StrategyLong
Post-2017-2018 California fires created wildfire bond market; PG&E and Florida specific structures; high premium
Source: alts.axa-im.com
XXX/AXXX Reserve Funding
Life ILSLong
Life insurer issues notes to fund redundant reserves; investors paid from pledged assets
Source: naic.org
An encyclopedia of publicly documented strategies for education. YCAI does not recommend, endorse, or trade any of these. Not investment advice.