The index will be based on loss data collated by CyberAcuView from primary US cyber carriers for events where the industry-wide loss exceeds $500mn.
CyberAcuView collects data from around 40%-50% of the US cyber market on a give-to-get basis, with inputs from firms including AIG, Beazley and Chubb.
Luzi Hitz, CEO at Perils, said that cat bond market participants had been asking for a cyber index product over the past year, and he was “very curious to see how quickly it will be picked up”.
“Cyber market growth has been impeded by restricted capacity in the reinsurance market. Enabling risk transfer through ILWs and other ILS will hopefully facilitate additional reinsurance capacity,” Hitz said.
Mark Camillo, CEO at CyberAcuView, said the firm’s current dataset represented a strong base from which to extrapolate an industry loss, and the firm aimed to expand the number of insurers providing data over time.
Camillo explained that since CyberAcuView began collecting data in 2019, no single cyber event has exceeded a $500mn industry loss. However, he did not expect that cyber ILWs would attach below this point.
The NotPetya ransomware attack of 2017 would have exceeded an industry loss of $500mn, Camillo added.
“We report any event that impacts more than one insurer and more than company/ policyholder. This includes attritional losses from widespread events,” Camillo said.
The type of cyber events that would fall into this category include cloud failure, self-propagating malware and zero-day vulnerability.
Hitz told Trading Risk that the launch of the cyber index called to mind the first Perils-based property cat deal 40 years ago, a European windstorm ILW of around $50mn.
“Once the first deal is done, then the ball starts rolling,” Hitz said.
The cyber ILS market has been taking early steps in its development over the past couple of years.
In January, Fermat acted as anchor investor for the first cyber cat bond, Beazley’s initial Cairney Re offering, which sized at $45mn.
Meanwhile, Stone Ridge backed a cyber quota share deal with Hannover Re worth $100mn.
