Eqecat Supported Quake, Fire, Windstorm, Securitization

Eqecat, Inc., a subsidiary of EQE International, says it provided the risk analysis to support a 3-year, $200 million securitization of U.S. earthquakes and resulting fires, Japanese earthquakes and resulting fires and European windstorm risk for the special-purpose Irish company Atlas Re.

The transaction transfers to investors the risks associated with these three major territories, in three debt tranches -- Class A, Class B and Class C notes -- and Atlas Re in turn provides retrocessional coverage to SCOR Re (SCOR) for first and subsequent events during the risk period.

In order to meet the capital market's demand for data, EQE performed a detailed data review of SCOR's entire property and construction portfolio and applied its data quality filter to derive a reference portfolio for each of the three territories.

To achieve an approximation of the total portfolio, a gross-up factor was calculated as the ratio of the total portfolio loss to the reference portfolio loss for each territory at a given exceedance probability, and was applied to the reference portfolio losses, Eqecat said.

To assist potential investors and rating agencies in evaluating the securities, Eqecat provided overall loss probabilities and peril/regional contributions to the risk and performed analysis of all known historical events for the last 300, 1300, and 50 years in the U.S., Japan, and Europe respectively.

Eqecat developed its estimates using the stochastic simulation implemented in its market leading USQuake, JapanQuake and Eurowind commercial Eqecat software to perform the analysis. Eqecat will update the analysis on an annual basis.

The transaction was structured by Goldman Sachs, underwritten by Goldman Sachs and Marsh McLennan Securities and rated by Standard and Poor's, Fitch IBCA and Duff & Phelps Credit Rating Co.