Mercury iCRIX, the first investible catastrophe risk index is based on pricing data collected from a panel of reinsurance brokers. The index reconstructs a diversified portfolio of Industry Loss Warranties (ILWs), capturing the pure sector exposure of insurance linked assets without the idiosyncratic risk associated with individual asset selection.
The index tracks the performance of a balanced portfolio of the following peak peril exposures; US Quake, US Regional Wind, European Wind, Japanese Quake and Japanese Wind. For each peril, risks attach across a range of insured industry market loss levels approximating a market weighting approach. The index portfolio generates a return broadly 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 since inception in Jan 2006; 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.
The Index Calculation Agent is SSC Fund Services (Bermuda) Ltd who have been active in the risk-linked securities market since 2002.
Monthly returns and performance statistics are available at www.artemis.bm/mercury_micrix