Ibis Re Ltd. (Series 2009-1)

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Ibis Re Ltd. (Series 2009-1) - At a glance:

  • Issuer / SPV: Ibis Re Ltd. (Series 2009-1)
  • Cedent / Sponsor: Assurant
  • Placement / structuring agent/s: Goldman Sachs has structured and arranged the deal and acts as total-return swap counterparty
  • Risk modelling / calculation agents etc: RMS
  • Risks / Perils covered: U.S. hurricane, U.S. earthquake
  • Size: $150m
  • Trigger type: Industry loss index
  • Ratings: S&P: Class A - 'BB', Class B - 'BB-'
  • Date of issue: Apr 2009
  • Artemis.bm news coverage: Articles discussing Ibis Re Ltd. (Series 2009-1) from Artemis.bm

Ibis Re Ltd. (Series 2009-1) - Full details

This is the first catastrophe bond deal from U.S. specialty insurer Assurant and utilises a newly set up Cayman Islands based SPV Ibis Re Ltd.

This $150m deal will provide certain subsidiaries of Assurant including American Security Insurance Co. and American Bankers Insurance Co.) with a source of multi-year reinsurance for certain U.S. hurricanes over three years. The deal has received a preliminary rating of ‘BB’ for it’s Class A notes and ‘BB-’ for Class B notes from Standard & Poor’s.

The deal will cover Assurant subsidiaries against losses between April 2009 and April 2012 (or three years from the deals closing date if that slips past the end of April).

Ibis Re will cover losses due to hurricanes in the following states: Alabama, Connecticut, Delaware, District of Columbia, Florida, Georgia, Hawaii, Louisiana, Maine, Maryland, Massachusetts, Mississippi, New Hampshire, New Jersey, New York, North Carolina, Pennsylvania, Rhode Island, South Carolina, Texas, Vermont, Virginia, and West Virginia. (Florida is further broken into three polygons—Dade, Monroe/Broward, and the remainder of state—with specific payout factors based on where the hurricane makes landfall. Note that these polygons do not necessarily conform to the related county borders; rather, they relate to the pre-specified longitude/latitude coordinates corresponding to the county coastlines.

Risk modeling is based on RMS Risklink V8.0, this model will also be used for the annual reset. The trigger is based on a PCS index of insured losses per state.

The class A notes will cover approximately [14.56%] of losses to Assurant between the initial attachment point of $725 million and $1.24 billion, and the Class B notes will cover approximately [26.79%] of losses to Assurant between the initial attachment point of $445 million and $725 million.




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