Nationwide Mutual renews its Caelus Re catastrophe bond

by Artemis on May 6, 2010

Nationwide Mutual has returned to the catastrophe bond market with a renewal of its Caelus Re transaction. The new $200m deal is dubbed Caelus Re II Ltd. and is expected to close this week.

Caelus Re II Ltd., a Caymans Islands SPV, has been set up to provide Nationwide Mutual with cover on a per-occurrence basis for certain U.S. windstorms and earthquakes. Goldman Sachs and Aon Benfield Securities are both assisting with structuring and arranging the transaction. AIR Worldwide are providing risk modelling services.

The transaction will provide Nationwide Mutual with three years of coverage with the possibility for extension for loss development of 18 months for hurricane events and 24 months for earthquake events.

Nationwide Mutual retains 10% of the share of losses. Any losses will be decided on an indemnity basis. The collateral will be invested in highly rated U.S. money market funds. Standard & Poor’s has assigned a preliminary rating of ‘BB+’ to the Caelus Re II Ltd. 2010-1 Class A notes.

This transaction has the potential to close above the $200m as investors are proving keen for a slice of a catastrophe bond which includes earthquake exposure. We’ll update you should that happen and full details are in our catastrophe bond Deal Directory.

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