Mercury Capital generates non-correlated, attractive risk-adjusted returns through insurance linked investments
Mercury Capital, a specialist in Industry Loss Warranties, launched the Mercury iCRIX Tracker Fund in December 2012. The fund tracks the performance of the Mercury investible Catastrophe Risk Index (MiCRIX), offering investors the opportunity to access the low correlation, high yield returns of a portfolio of natural catastrophe event risk without the idiosyncratic exposure of individual risk selection.
For linear payout transactions, the loss in excess of the attachment point will be subject to payout.
Mercury Capital Ltd. is a specialist catastrophe risk manager based in Bermuda. We source low frequency high severity insurance risk for the capital markets. Our focus is on generating investment opportunities with excellent risk adjusted returns for sophisticated investors.
Mercury specialises in Industry Loss Warranties, a segment of the market that avoids the basis and data risk associated with Ultimate Net Loss risk transfer solutions. Mercury manages the Mercury iCRIX Tracker Fund which it launched in December 2012 with seed funding from Ark Syndicate Management Ltd. We also offer a bespoke note product that wraps an ILW into structured note format for third party investors. This offers investors with a bond only mandate the ability to proactively seek diversifying exposure rather than wait for opportunities in the Insurance Linked Securities issuance programme.
Natural catastrophe risk is fundamentally un-correlated with more traditional asset classes and as such provides valuable diversification within the alternatives allocation of a traditional investment strategy.
Mercury Re Ltd, a subsidiary of Mercury Capital Ltd, is licensed by the BMA as a Special Purpose Insurer and is authorised as a Segregated Accounts Company.
A transaction that is exposed to multiple events arising over the course of the defined risk period (e.g. all natural perils in Australia causing an aggregated industry loss of USD 10 bn). The amount of the accumulated losses determines whether the transaction is triggered or not. Typically, a minimum loss level is defined, which must be reached in order to count toward the aggregate. Contrast with Single-Occurrence Cover.