Galileo Re Ltd. (Series 2015-1)
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Galileo Re Ltd. (Series 2015-1) - At a glance:
- Issuer / SPV: Galileo Re Ltd. (Series 2015-1)
- Cedent / Sponsor: Catlin
- Placement / structuring agent/s: GC Securities is sole structuring agent and bookrunner
- Risk modelling / calculation agents etc: AIR Worldwide
- Risks / Perils covered: U.S. named storms, U.S. earthquake, Canada earthquake, European windstorm
- Size: $300m
- Trigger type: Industry loss index
- Ratings: ?
- Date of issue: Feb 2015
Galileo Re Ltd. (Series 2015-1) - Full details
With the new Galileo Re 2015-1, Catlins second issuance using its Galileo Re Ltd. Bermuda domiciled special purpose insurance vehicle and fifth cat bond in total, the re/insurer is seeking fully-collateralized protection for a much higher risk layer of its reinsurance program than before.
In this issuance Galileo Re Ltd. is seeking to issue a single tranche of Series 2015-1 Class A notes, which will be sold to investors to provide a multi-year source of fully-collateralized reinsurance protection against certain U.S. named storm, U.S. and Canada earthquake and European windstorm risks (the same perils as the 2013 Galileo Re deal).
The notes will have a 3 year risk-period, maturing at December 31st 2017. All three of the covered perils will be covered on an annual aggregate basis and the triggers used are weighted industry loss index triggers, with PCS providing the index data for U.S. wind and quake and PERILS AG for European windstorm events.
U.S. named storm, so tropical storm, hurricane and post-tropical, coverage is for the typical U.S. east and gulf coast states and Florida, but also for some inland states where a degrading major storm could still have a major impact. U.S. quake is for the entire 50 states, BC and Canada. European windstorm cover is for the UK, Ireland, Germany, Belgium, France, Denmark, Luxembourg, Netherlands, Sweden, Norway and Switzerland.
We’re told that the weighted index attachment point for the Series 2015-1 Class A notes issued by Galileo Re will be $160m, while the exhaustion will be at an index value equivalent of $480m. That gap of $320m between attachment and exhaustion may hint at an ability to upsize this cat bond if Catlin chooses.
The notes have an initial attachment probability of 15.33%, showing just how high risk this transaction is.
The initial expected loss is 7.93%, which would be in the top ten highest EL figures Artemis has recorded, while the initial exhaustion probability is 3.94%.
Artemis understands that the notes are being offered to investors with price guidance of 13.5% to 14%.
The Galileo Re 2015 catastrophe bond upsized by 50% to close securing $300m of reinsurance coverage for Catlin.
The pricing on the Galileo Re cat bond’s $300m of notes settled at the lowest end of guidance, according to sources, at 13.5%.
In terms of a multiple, investors will be getting paid just 1.7 times the expected loss, which is a particularly low multiple perhaps reflecting the strong appetite for a higher-yielding bond.
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