Nelson Re Ltd. (Series 2008-1)

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Nelson Re Ltd. (Series 2008-1) - At a glance:

  • Issuer / SPV: Nelson Re Ltd. (Series 2008-1)
  • Cedent / Sponsor: Glacier Reinsurance
  • Placement / structuring agent/s: Goldman Sachs managed and placed the deal.
  • Risk modelling / calculation agents etc: AIR Worldwide provided risk analysis and modelling.
  • Risks / Perils covered: U.S. hurricane, U.S. earthquake, European windstorm
  • Size: $180m
  • Trigger type: Indemnity
  • Ratings: Moody's: Class G - 'B3', Class H - 'B3', Class I - 'B1'
  • Date of issue: Jun 2008
  • Artemis.bm news coverage: Articles discussing Nelson Re Ltd. (Series 2008-1) from Artemis.bm

Nelson Re Ltd. (Series 2008-1) - Full details

The newest issue from Nelson Re, a Cayman Islands exempted insurance company, set up by Glacier Re as the issuer of catastrophe bonds under a $1.5bn catastrophe bonds shelf programme in June last year.
This $180m issue will provide three years of cover for U.S. windstorm, U.S. earthquake and Euro windstorm.

This transaction is unique in that the coverage provided by this issuance will protect Glacier for its actual loss experience net of its expected recoveries from the Nelson Re Series 2007-1 notes – which was based on modelled-loss and modified-index triggers. Between these two transactions, Glacier has accumulated over $250m of excess of loss protection on a modelled and indemnity basis.

Three tranches of notes have been issued; the first at $67.5m provide cover for U.S. windstorm and earthquake and has been rated B3, the second at $45m has been rated B3 and the third at $67.5m has been rated B1 by Moody’s. The second and third tranches provide cover for European windstorm.

Update: The Nelson Re cat bond has been dogged by problems after Hurricane Ike struck Texas and losses threatened the cat bond. More details can be found in our stories about Nelson Re on the Artemis news blog.




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