Bermuda-based Pentelia Capital Management has teamed up with Japanese giant Mitsubishi Corporation to create a new alternative investment fund to focus on insurance-linked securities.

Eolia Diamond Ltd. starts with $132 million and will be involved with insurance products including catastrophe bonds, natural catastrophe property reinsurance, mortality assets, terrorism coverage and aviation reinsurance.

The fund will be run by Pentelia Diamond Capital Management Ltd., the result of a combined effort between Pentelia Capital and Misubishi subsidiary Diamond Financial Solutions.

A Pentelia Capital Management spokesperson said: "We are extremely pleased to enter into this new business venture with our partner Mitsubishi Corporation. Their access to the Japanese market will allow us to seize great opportunities in this geographical area." A Mitsubishi spokesman said:" We will make a full-scale entry into the growing insurance-linked assets business with our strong partnership with Pentelia Capital Management. We understand this innovative joint-venture for insurance-linked assets business is a first for Japanese companies.

"As insurance-linked assets have a low correlation with the other traditional financial assets such as stocks, corporate bonds and FX, certain investors looking for further diversification will focus their attention on these type of assets during capital market turmoil. We also cooperate with Mitsubishi Corporation Capital in terms of distribution for Eolia Diamond in Japan."

NATIXIS, a French investment bank, as well as Misubishi, organised the raising of capital for the new fund.

Pentelia Capital was founded by and is owned as a joint-venture between NATIXIS Alternative Investment International, and Bermuda-based insurance group White Mountains Insurance Group, Ltd.