Mercury is focused on providing transparent investment oportunities for investors who value a clear understanding of what’s going on under the bonnet. We offer exposure either through a Bermuda based investment fund, through our unique structured note format or via a bespoke managed account.
Mercury iCRIX Tracker Fund
Through our main fund, the Mercury iCRIX Tracker Fund (MiCRIX Tracker) we offer the opportunity to access pure sector exposure without the idiosyncratic risk associated with individual asset selection. The fund is the first, and still the only, index tracking fund in the space. MiCRIX exhibits very low correlation with other mainstream asset classes while offering attractive risk adjusted returns.
The index tracks the performance of a diversified portfolio of Industry Loss Warranties (ILWs) which creates exposure to the sector. Industry Loss Warranties are commoditized reinsurance agreements, where the settlement of any losses under the contracts is based on the insured industry loss from a specific catastrophe event.
The index represents a balanced portfolio of peak peril exposures. For each peril, risks attach across a range of insured industry market loss levels approximating a market weighting approach. The return achieved across the portfolio is expected to be sufficient to absorb the total loss of a single tower of exposure, insulating the index from a negative annual return from a single loss event. The index has experienced only three down months in the 87 since inception; including full pillar losses in 2011 from the Japanese earthquake (the first triggered Japanese earthquake loss since the 1923 Great Kanto earthquake) and 2012 from Hurricane Sandy.
Prime Management Ltd, active in the risk-linked securities market since 2002, acts as the index calculation agent. Index calculation is based on pricing data collected from a panel of reinsurance brokers.
Mercury ILW Notes
In 2012, we teamed up with BNPP to structure the Mercury ILW Note, a documentation light, private, insurance linked note. The structure opens up the asset class to a range of investors whose mandate previously limited them to 144A Catastrophe Bonds. The Mercury ILW Note facilitates a more proactive approach to portfolio management. Notes can either be offered in a single pillar or multi pillar format, allowing an element of diversification to be introduced into the structure.
With both the fund vehicle and the reinsurer registered as Segregated Accounts Companies under Bermuda law, we have ample flexibility to quickly establish a private fund with a bespoke investment mandate. Mercury can develop and track bespoke private indices to suit specific risk/ reward or peril preferences or can underwrite to a discretionary brief.