Bermuda-based Catco Investment Management Ltd said yesterday that its net asset value climbed 5.3 percent during the first half of the year.The firm, which deploys investors’ capital in collateralised reinsurance contracts written through its Class 3 Bermuda reinsurance company Catco-Re Ltd, also gave details of expected losses connected to earthquakes in Japan and New Zealand last year in its interim report.During the January through June period Catco said its net asset value rose from $339.8 million to $357.9 million.The performance reflects the gain on the 2012 investment portfolio offset by the loss development of the catastrophic events of the first half of 2011.The company added that at the start of the year, Catco agreed terms with more than 20 counterparties in respect of reinsurance transactions. The counterparties deployed all of the available assets under management as at 1 January 2012.Contracts typically have a 12-month risk period commencing on 1 January 2012 and expiring on 31 December 2012, although there is a small portion of the portfolio written on a non-calendar basis.Catco said its reinsurance portfolio contained a broad mix of 38 risk pillars (as at 30 June 2012).“This diversification ensures that exposure to a single loss event, no matter the magnitude of the event, results in no erosion of capital,” the company stated.“In addition, in the event of any single catastrophic loss event Catco’s maximum exposure to such an event is completely transparent.”Catco commented on the Costa Concordia cruise ship disaster in January this year.“Current industry estimates suggest an insured loss of circa $1.05 billion. The Catco Reinsurance Fund’s investment portfolio, which almost all of the company’s assets are invested in, does not have any exposure to this marine event for industry losses below $1.25 billion,” the statement reads.“At this level, the Costa Concordia event would have no impact on the company’s 2012 investment portfolio. For illustrative purposes only, the maximum exposure of the Offshore Marine risk pillar as at 30 April 2012 was three percent, providing a maximum annualised net return of 20 percent if there were to be a total loss to this pillar associated with this event.”However, Catco said its ordinary shareholders were indirectly exposed to potential losses arising from the New Zealand earthquake of February 2011 and the Japan earthquake that occurred a month later, through the Master Fund and ultimately through Catco-Re Ltd.“The two retrocessional reinsurance counterparties that represent the NZ and Japan Exposures have implemented a 100 percent loss reserve on their respective balance sheets associated with Catco-Re’s protections,” Catco stated.“As a consequence, the Master Fund’s board of directors has resolved to include the same loss reserve provision in the net asset value calculation as at 30 June 2012, which has, in turn, been reflected in the company’s net asset value. Shareholders should note that this is a loss reserve, and not a crystallised loss, as Catco-Re’s protections are based on the actual paid claims.”Catco added that it had merged its C Shares, which had no exposure to the New Zealand and Japanese events, with the ordinary shares.The statement, signed by chairman Anthony Taylor, added: “The global retrocessional pricing for the company’s protection remains favourable given the appetite from reinsurance counterparties.“Being fully asset backed, the predicted industry retrocessional capacity erosion experienced during the year from other collateralised reinsurers has created significant advantages for the company.“The board is pleased with the progress during the first half of the year with the company remaining focused on low frequency high-severity exposure profile. The board remains committed to ensuring that the investment targeted returns are achieved.”