Structured Finance Issuance Including Terrorism Risk 

A Presentation for the Advisory Committee on Risk-Sharing 

Mechanisms

July 28, 2017

Private and Confidential
Private & Confidential 1

Transactions With Terror as a Key Risk

Year(s) Transaction(s) Sponsor Size Description

1996-2001 Georgetown Re St. Paul Re $68.5 Million

First Rule 144A Securitization completed in the capital 

markets. Surplus share of both elemental and non-elemental 

property risk originated by St. Paul Re. The Preferred tranche 

experienced partial losses in 9-11. The cedant and investors 

reached a mutually agreed commutation shortly thereafter.

2002 Special Risk Insurance and 

Reinsurance of Luxembourg

Allianz, XL, Hannover, Swiss 

Re, Zurich (all 18.2%), SCOR 

(9.1%)

274 Million 

Euros ($323.7 

Million)

Set up in April 2002 to offer European companies and their 

worldwide operations insurance for property damage, 

physical loss and business interruption caused by terrorist 

attacks. Aimed to fill a gap in the market following the Sept. 11 

terrorist attacks & provided limits of 275 million euros ($323.7 

million). Premiums fell below plan and the company was 

wound up by the partners thereafter.

2012- Saltire and Kinesis Lancashire Approx. $1.4 

Billion

Collateralized reinsurance sidecar writing both elemental and 

non-elemental property reinsurance, including terrorism in the 

latter category

2003 Golden Goal Fédération Internationale de 

Football Association (FIFA) $262 Million

The special purpose reinsurer that raised capital via this 

issuance would pay FIFA upon cancellation of the Final Match 

of the 2006 World Cup or delay past August 2007. While War 

and Boycott were generally excluded as causes, terror was 

specifically included and modeled.
Private & Confidential 2

Transactions with Terror as an Incidental Risk

Year(s) Transaction(s) Sponsor Size Description

1988-2008 XXX, AXXX and Embedded Value 

Securitizations (Numerous)

Numerous US and European 

Carriers ~$29 Billion

These transactions either securitized future revenues arising 

from blocks of life insurance policies (“embedded value”) or 

else invested proceeds in a collateral account from which US 

carriers purchased high layer reserve protection (“XXX,” 

“AXXX”). In general adverse mortality and hence terrorismdriven mortality could generate losses to these notes. 

2001- Extreme Mortality Securitizations (Vita, Nathan, 

Tartan, Atlas, Osiris & Benu)

Swiss Re, Munich, Scottish, 

SCOR, Axa $3.56 Billion

Allowed cedants to collect if mortality rates in specified 

countries including the US, France, Japan, Australia, Canada, 

the UK exceeded certain levels on an indexed basis. While the 

key risk for these transactions was generally identified as 

pandemic, terror was also defined and often modeled as a 

potential trigger.

2010- Vitality Re Aetna ~$1.4 Billion

Excess of loss coverage for Aetna to the extent its Medical 

Benefit Ratio exceeds certain levels. This could be driven by 

variation in claims or pricing, by pandemic or in extreme cases 

by terrorism or other causes

2016 Operational Re Credit Suisse via Zurich CHF220 ($223 

Million)

Cover for Operational Risks including some cyber exposures 

(IT system failure / business interruption), fraudulent behavior 

of external parties and bank employees, fiduciary issues, 

losses due to improper business practices or unauthorized 

activity, accounting errors, documentation errors, regulatory 

compliance issues, HR issues, discrimination in the workplace 

or personal injury. The key risk for these transactions was 

generally identified as pandemic; terror also defined and often 

modeled as a potential trigger.
General: We are providing you with the information herein solely in response to your specific request for information related to the opportunity(ies) discussed herein

(collectively the “Information”). The Information is confidential and as of the date(s) indicated, has not been audited, and is intended solely for general informational

purposes. The Information is based on the analysis of certain data provided to Hudson Structured Capital Management Ltd. and its affiliates (collectively, “HSCM”) from thirdparty sources believed to be accurate and reliable -- any of which may be erroneous or change without notice. The Information reflects current views, estimates, assumptions

and models of HSCM, and may not take into account material economic, market and other factors that could impact decision making. Although HSCM utilizes views,

estimates, assumptions and models it believes to be reasonable, other views, estimates, assumptions and models also may be reasonable, and could end up being more

accurate -- there can be no assurance that any expected or delineated outcome will be achieved. The Information is subject to on-going review and revision, and is by no

means exhaustive. We have no obligation (express or implied) to update any or all of the Information or to advise you of any changes or errors; nor do we make any express

or implied warranties or representations as to the completeness, accuracy or otherwise, or accept any responsibility for errors. This Information is provided to you on the

specific understanding that, as a sophisticated investor, you will understand and accept the inherent limitations herein, will not rely on them in making any decision.

Non-Solicitation: The Information is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or to participate in any investment or trading strategy. No

person has been authorized to give any information or to make any representations regarding an investment or trading strategy and, if given or made, such information or

representation must not be relied upon as having been authorized or made by any fund or HSCM. Any offer of securities or recommendation to make any investment or

undertake a trading strategy will only be made pursuant to a definitive offering memorandum and/or other appropriate documents (and all other customary ancillary

documents) that are indicated as such, and that contain material information not contained herein and which, as appropriate, supersede and/or qualify this Information. Any

decision to invest or participate must only be made after reviewing such definitive offering memorandum and/or other appropriate documents (and ancillary documents),

conducting such investigations and performing such analysis as you deem necessary.

Suitability: An investment in an alternative investment asset class (including hedge funds, private equity funds and venture capital funds like those managed by HSCM) can

be speculative and is not suitable for all investors. Investing in such asset classes is intended only for experienced and sophisticated investors who are willing to bear the

risks associated with such investments. Investors must carefully review and consider any potential risks before investing, and consult their own investment, legal, accounting

and tax advisors in order to make an independent determination of the appropriateness and consequences of such an investment. Investors could bear the financial risks of

such an investment for an indefinite period of time as there will likely be no public market for such an investment and it may have limited or no liquidity.

Past performance and historical trends do not imply, forecast, predict or guarantee future results. There can be no assurance that an investment or strategy will be profitable

or achieve a targeted or expected return. You could lose some or all of your money in the investment discussed herein.

3

Notes

Private & Confidential
4

Contact Detail

Private & Confidential

Michael J. Millette

203-975-4852

michael.millette@hscm.com

www.hscm.com

One Dock Street

Suite 404

Stamford, CT 06902