U.S. specialty insurer Assurant is on the verge of closing a $150m catastrophe bond deal under the Cayman islands based special purpose vehicle Ibis Re. The deal will be Assurants first transaction in the catastrophe bond market. The deal will protect some of Assurant’s subsidiaries (including American Security Insurance Co. and American Bankers Insurance Co.) against losses from U.S. hurricanes until April 2012. The deal is expected to close by the end of April and we hear has been well received by the market.
Standard & Poor’s has assigned a rating of BB to Ibis Re’s $75m of Class A notes and BB- to the $75m of Class B notes. Goldman Sachs is structuring the transaction and also acting as total-return swap counterparty. Risk modelling is based on Risk Management Solutions (RMS) models. The trigger for the transaction is based on a PCS index of insured personal property 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.
Full details on this transaction are available on the Artemis Deal Directory.