Catastrophe Bond and Insurance-Linked Security Transaction Deal Directory

ART Deal Directory lists most of the major insurance securitization, catastrophe bond, insurance linked securities and reinsurance capital market deals which have taken place. Please, if you have information on a deal we have not covered or can see something that we should change, do contact us to let us know!.

You can view deals from previous years by using the menu on the right.

Latest catastrophe bond and insurance-linked security transactions

	Cedent	Placement Agent	$	Coverage Details	Date
	Munich Re on behalf of Massachusetts Property Insurance Underwriting Association (MPIUA) SPV: Shore Re Ltd.	GC Securities are sole bookrunner for this transaction. GC Securities and Munich Re are co-lead managers. AIR Worldwide are providing risk modelling services.	$96m	Munich Re has established a new Caymans Island SPV called Shore Re Ltd. which will be used to issue a $96m catastrophe bond on behalf of a Massachusetts state wind insurance pool. The Massachusetts Property Insurance Underwriting Association (MPIUA) has been reinsured by Munich Re America for a portion of their hurricane risks and they in turn are seeking to hedge the ceded risk with the capital markets. The three year deal will feature an indemnity trigger and will provide protection against windstorm losses on a per-occurrence basis. Covered losses will not have any link to Munich Re’s loss experience in the area, rather they will cover the actual paid losses experienced by members of the MPIUA. The deal originally was marketed as two tranches of notes which would cover different levels of loss. Class A was supposed to cover losses between an attachment level of $600m and an exhaustion level of $900m. Class B was supposed to cover losses between an attachment level of $900m and an exhaustion level of $1.20B. However when the deal completed it was as a single tranche of $96m of Class A notes. Standard & Poor’s have rated the single Class A tranche ‘BB’. The collateral for this deal will be invested in highly rated Treasury money market funds.	Jul '10
	USAA SPV: Residential Reinsurance 2010 Ltd.	Goldman Sachs is structuring agent and book runner, Aon Benfield Securities as joint book runner and Deutsche Bank Securities as co-manager. AIR Worldwide are providing risk modelling and analysis services.	$400m	Residential Reinsurance 2010 has been given a preliminary size of $375m, split over four tranches, the final amount issued was $400m due to demand for this the 14th cat bond issuance from USAA. Residential Re 2010, a Cayman Islands based SPV, has been designed to provide USAA with three years of per-occurrence coverage for a portion of some of it’s subsidiaries U.S. hurricane, earthquake, severe thunderstorm, winter storm and wildfire exposure. It’s not often that a cat bond includes coverage for perils such as U.S. thunderstorm, winter storm and wildfire so we expect investors to have a strong appetite for this deal as a way to diversify their insurance-linked security portfolio. Hurricane risks are covered in the following U.S. States: District of Columbia and the following states: Alabama, Arkansas, Connecticut, Delaware, Florida, Georgia, Hawaii, Illinois, Indiana, Kentucky, Louisiana, Maine, Maryland, Massachusetts, Mississippi, Missouri, New Hampshire, New Jersey, New York, North Carolina, Ohio, Oklahoma, Pennsylvania, Rhode Island, South Carolina, Tennessee, Texas, Vermont, Virginia, and West Virginia. Earthquake risks are covered in all 50 states and the District of Columbia, although losses arising out of property damage caused by fire following will not be covered in Hawaii or Alaska. Severe thunderstorm and winter storm risks are covered in the 48 contiguous states and also the District of Columbia. Wildfire coverage is for California only. The notes in this transaction provide cover for USAA’s personal lines exposure only. USAA retains at least 10% of losses in each layer of the transaction. The deal ended up being split into four tranches. Classes 1 to 3 are all calculated on a per-occurrence basis which tranche 4 is an annual aggregate layer. The fourth tranche was not submitted for rating to S&P. The transaction can be extended by up to 18 months to allow for loss development and reporting. The risk period itself will not be extended. Collateral for the transaction is to be invested in highly rated U.S. treasury bills and the like. The Bank of New York Mellon is acting as indenture trustee. Other companies assisting USAA in getting Residential Re 2010 to market include Goldman Sachs as structuring agent and book runner, Aon Benfield Securities as joint book runner and Deutsche Bank Securities as co-manager. AIR Worldwide are providing risk modelling and analysis services. National Hurricane Centre data is to be used for hurricane risks, U.S. Geological Survey for earthquake and Property Claims Services (PCS) for thunderstorm, winter storm and wildfire risks. Standard & Poor’s have given the deal a preliminary rating; Class A notes are rated ‘BB’, Class B are rated ‘B+’ and Class C are rated ‘B-’. It will be a three year deal due to end in June 2013.	Jun '10
	Allianz SPV: Blue Fin Ltd.	Swiss Re Capital Markets and Aon Benfield Securities are arranging the deal. AIR Worldwide are providing risk modelling services.	$150m	Allianz is preparing a third catastrophe bond issue under it’s Cayman Island SPV Blue Fin Ltd. This third series of Blue Fin Ltd. is designed to provide Allianz with per-occurrence and aggregate protection against U.S. hurricane and earthquakes for three years (until May 2013). The deal is currently sized at $150m, $90m of Class A notes providing per-occurrence coverage and $60m of Class B notes providing aggregate coverage. The deal is due to complete during May and run until May 2013 with the possibility to extend in three month increments to allow for loss development and reporting. AIR Worldwide are providing risk modelling services to this transaction and will calculate index values on which losses will be decided. Swiss Re Capital Markets and Aon Benfield Securities are arranging the deal. Collateral is being invested in direct U.S. government obligations with high ratings. Allianz SE, the parent company, are acting as guarantor to the deal counterparty which is Allianz Argos 14 GmbH. Standard & Poor’s have provided preliminary ratings of ‘B-’ to the Class A notes and ‘BB’ to the Class B notes.	May '10
	Munich Re SPV: EOS Wind Ltd.	GC Securities are sole bookrunner on this transaction. Risk Management Solutions are providing risk modelling services.	$80m	The EOS Wind catastrophe bond which Munich Re has been preparing with the help of GC Securities has now completed. Originally targetting $100m of cover for Munich Re, this deal has completed at $80m. The Dublin, Ireland based EOS Wind Ltd. will provide Munich Re with $80m of cover on a per-occurrence basis over a four year period and uses a PCS index for the portion which covers U.S. hurricanes and a Paradex index for the portion which covers European windstorms. $50m of Class A Notes are exposed to U.S. hurricane events and utilize a state-weighted per occurrence PCS index trigger structure based on insured losses reported by PCS from a hurricane event. The $30m Class B Notes are exposed to U.S. hurricane events and will use the same PCS index trigger as the Class A Notes, as well as European windstorm events which utilize a country-weighted Paradex trigger. MEAG, Munich Re's asset management company, created a fund for U.S. Treasury Bills which will act as the collateral for the deal. Investers will receive variable-rate interest from the T Bills fund. We’re surprised at this deals failure to make it’s target volume. The fact it included European windstorm risks would usually make it popular with investors. We wonder whether investors are too focused on U.S. hurricanes with the season on the way or whether the slightly unknown quantity of Paradex may have made investors more tentative.	May '10
	Nationwide Mutual SPV: Caelus Re II Ltd.	Goldman Sachs and Aon Benfield Securities are both assisting with this deal. AIR Worldwide is providing risk modelling services.	$185m	Nationwide Mutual has returned to the catastrophe bond market with a renewal of its Caelus Re transaction. The new deal is dubbed Caelus Re II Ltd. 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. 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. Initial reports on this catastrophe bond suggested it was aiming for $200m but the deal finally closed at a slightly lower $185m. This despite being well received by investors before the hurricane season began, there has been a slight contraction in investment capacity over the last two weeks.	May '10
	Chartis SPV: Lodestone Re Ltd.	Risk Management Solutions is providing risk modelling services.	$425m	Chartis, formerly known as AIU Holdings, is preparing and marketing it’s first catastrophe bond issuance. The transaction is being issued by Chartis for it’s National Union Fire Insurance subsidiary in the U.S. Lodestone Re Ltd. is a Bermuda based SPV set up for the specific purpose of issuing $250m worth of insurance-linked securities to provide Chartis’ subsidiary with a source of reinsurance against both U.S. windstorms and earthquakes. On completion the deal grew to $425m in size demonstrating the appetite in the investment market for U.S. wind risks right before the Atlantic windstorm season begins. This bond uses a trigger with state specific payment factors on a per-occurrence basis which helps to make it more transparent (and understandable) to investors. The deal has been structured into two tranches ($175m Class A and $250m Class B) and would be triggered on a per-occurrence basis. Standard & Poor’s have given the Series 2010-1 Class A notes a ‘BB+’ preliminary rating and the Class B notes a ‘BB’ preliminary rating.	May '10
	Munich Re SPV: Johnston Re Ltd.	GC Securities are assisting this issuance. AIR Worldwide provide risk analysis and modelling services.	$305m	Munich Re is placing a new catastrophe bond deal under the newly formed Cayman Islands based SPV Johnston Re Ltd. Johnston Re is being placed on behalf of the two North Carolina based non-profit organisations which have insurance companies as their members, the North Carolina Joint Underwriting Association and the North Carolina Insurance Underwriting Association. Just last year Swiss Re placed the Parkton Re cat bond to provide reinsurance protection to these same associations. Johnston Re will provide reinsurance protection in North Carolina and the Barrier Islands to the associations. It’s a three year deal which will run until May 2013. The deal can be triggered on a per-occurrence basis measured by the actual loss experience the associations member insurers suffer and as such covered losses are not directly linked to Munich Re’s exposure in NC. Munich Re America Inc. will be responsible for making premium payments due under a retrocessional agreement in place between it and Johnston Re Ltd. Guy Carpenter are assisting with this deal through their GC Securities arm. In a sign of investor confidence the deal upsized significantly and completed at $305m. The extra capacity was secured by adding a second tranche to the transaction. Originally a single tranche $200m cat bond, Johnston Re Ltd. was extended to take advantage of demand. The first tranche has been optimised to complement and work with the existing Parkton Re cat bond which Swiss Re issued for the NCJUA/NCIUA previously, the tranche features a drop down that allows it to replace Parkton Re when it expires next year. The new second tranche runs for three years directly above the first tranche adding an extra layer of cover. The bond was tailored to be optimized with the existing Parkton bonds as well as the NC JUA/IUA’s traditional reinsurance program. Specifically, the Class A Notes incorporate an innovative “first of its kind non-event, time activated dropdown feature and coupon step-up to replace the Parkton bonds when they mature in May 2011. The catastrophe bond utilizes an indemnity trigger structure based on the Ultimate Net Loss of the NC JUA/IUA in the event of a hurricane. The flexible structure allows for the bifurcation of capital at different cost implications upon the occurrence of covered events into (i) capital used for loss development for prior covered events, and (ii) remaining capital available for future covered events. Johnston Re includes a feature originally developed in Parkton, in which the release of non-needed capital can occur if the bond is extended beyond the risk period for claims development. Additionally, Johnston Re is the first bond to lower the minimum retained share within the risk layer from 10 percent to 5 percent. Standard & Poor's have rated the transaction as follows: $200m of Class A notes are rated 'BB-', $105m of Class B notes are rated 'BB-'.	May '10
	Assurant Inc. SPV: Ibis Re II Ltd. (Series 2010-1)	Goldman, Sachs & Co. and Aon Benfield Securities, Inc. both assisted in structuring and arranging the transaction. Risk Management Solutions provided risk analysis.	$150m	U.S. insurer Assurant Inc. has added to the current catastrophe bond pipeline by beginning to market its second Ibis Re cat bond transaction Ibis Re II Ltd. Marketing to investors began this week and Ibis Re II is expected to close in May. The transaction started life as a $100m deal but due to investor demand Assurant closed this second Ibis Re deal at $150m as it took advantage of the demand to secure itself increased cover. The transaction provides Assurant with multi-year fully collateralized reinsurance cover for some of it’s U.S. Gulf, East Coast and Hawaii windstorm exposures. Ibis Re is structured in two tranches. Assurant launched its debut catastrophe bond, Ibis Re Ltd. a $150m hurricane risk bond in 2009, so it’s encouraging that they are returning to utilise the capital markets again for capacity so soon. The transaction uses a PCS trigger and PCS are reporting agency for the deal working with a Risk Management Solutions risk model. Standard & Poor's has rated the Class A tranche of notes 'BB' and the Class B tranche 'B+'.	May '10
	State Farm SPV: Merna Re II Ltd.	Aon Benfield have structured the deal. Risk Management Solutions have provided risk modelling services.	$350m	Merna Re II Ltd. is designed to provide State Farm with protection against some of it's earthquake risks in the U.S. Territories to be covered are Alabama, Arkansas, Illinois, Indiana, Kentucky, Louisiana, Michigan, Mississippi, Missouri, Ohio, Tennessee, and Wisconsin. Merna Re II will cover losses within those territories even if the earthquake epicentre occurred outside one of the named U.S. states. This perhaps suggests that State Farm may attempt to add other states to this deal or even issue another cat bond to cover other U.S. states where they have exposure. Merna Re II could be a case of them testing the markets appetite for these risks. Merna Reinsurance II Ltd. was incorporated on the 26th of February in Bermuda as a special purpose vehicle for the transaction. State Farm's 2007 $1.2B Merna Re deal is due to mature in June this year so this new transaction is seen as a replacement for some of the cover that provided them. No losses at all have been experienced by the original Merna Re deal. Merna Re II was initially marketed at a value of $250m although market sources were expecting it to close anywhere between $400m-$700m. It finally closed at $350m as State Farm appeared to decide that they didn't require any more protection than that from this transaction. Merna Re II is said to be being structured with an indemnity trigger. Standard & Poor's assigned a 'BB+' to the deals notes.	Apr '10
	Swiss Re SPV: Successor X Ltd. (Series 2010-1)	Swiss Re Capital Markets are arranging the deal. Bank of New York Mellon are indenture trustee. PERILS AG are reporting agency for European windstorm and the North Atlantic Hurricane Reporting Agency are reporting agency for U.S. hurricane. EQECAT are calculation and reset agent.	$120m	Swiss Re is to issue its first catastrophe bond of 2010 under the Successor X Ltd. SPV based in the Cayman Islands. This Series 2010-1 tranche is designed to protect Swiss Re from U.S. hurricane and European windstorm risks for three years. The size of the deal is still to be confirmed. It is due to run from March 2010 to March 2013 with final maturity sometime in March 2015. The contract provides protection on a per-occurrence basis and can be extended for up to 24 months for losses to develop. The notes cover Swiss Re for U.S. hurricanes in all hurricane prone areas and also Puerto Rico. European windstorm cover is for Belgium, Denmark, France (mainland only), Germany, Ireland, Luxembourg, Netherlands, Switzerland and the UK. Most interesting about this new transaction is that Swiss Re have chosen to use PERILS AG (the joint venture set up to aggregate and distribute European catastrophe loss data) as reporting agency for the European windstorm component of the deal. This is the first time PERILS have been involved in a catastrophe bond transaction. As with many deals last year collateral is being invested in direct U.S. government obligations with a Standard & Poor's stability rating of at least 'AAAm-G'. These highly rated secure assets have a much lower chance of default. The deal uses a modelled loss trigger for the U.S. hurricane component. However for the European windstorm component an industry loss trigger is used based on insured exposure and payout factors by region and estimated by PERILS. Standard & Poor's have given the notes a preliminary rating of 'B-'.	Mar '10
	Hartford Fire Insurance Company SPV: Foundation Re III Ltd.	Goldman Sachs are sole bookrunner and lead manager. GC Securities are co-manager. Deutsche Bank Trust Co. Americas are indenture trustee. RMS are providing risk analysis.	$180m	The Hartford Fire Insurance Company is getting prepared to launch a $180m catastrophe bond through its Foundation SPV based in the Cayman Islands. Foundation Re III Ltd. is currently being marketed at a preliminary amount of $100m as a transaction designed to provide the Hartford with reinsurance on a per-occurrence basis over a four year period against certain U.S. hurricanes. This would be the Hartford's third Foundation transaction. The previous two were both around the $250m mark so there is a good chance that this one could upsize before completion (it has already upsized from its initial size of $100m). The trigger for the transaction is a state-weighted PCS index-based industry loss trigger. The notes can be triggered by an event index value in excess of $1.2035B on a per occurrence basis and have an exhaustion amount of $1.4035B. The deal can be extended beyond four years by up to 24 months in three month increments to allow for loss development and reporting (the risk period cannot be extended). Collateral from the sale of the notes will be invested in highly rated U.S. Treasury money market funds. Standard & Poor's have given the single Class A tranche of notes a preliminary rating of 'BB+'.	Jan '10