Chubb’s latest, and fifth, catastrophe bond in the East Lane series of transactions completed and priced last week (more on that here). Now Standard & Poor’s have officially assigned their ratings to the two tranches of notes issued by East Lane Re V Ltd. and the shelf programme and notes have been listed on the Cayman Islands Stock Exchange. The specialist debt shelf programme would allow Chubb to use East Lane Re V for further issuances if they chose.
East Lane Re V Ltd. issued two tranches of Series 2012-1 notes, a $75m Class A tranche and a $75m Class B tranche. Both tranches are exposed to U.S. hurricanes and earthquakes over a four-year period with the notes due to mature in March 2016. Cover is afforded on an indemnity trigger, per-occurrence basis for each tranche. The Class B notes provide a lower level of cover, attaching at $850m of qualifying losses while the Class A attach at $1 billion.
The deal upsized by $25m during the marketing phase, the Class B tranche only targeted $50m but completed at $75m. This shows the increasing willingness of ILS investors to take on the riskier tranches of notes in their search for returns.
This East Lane V cat bond provides cover to Chubb for losses which occur in Alabama, Florida, Georgia, Louisiana, Mississippi, North Carolina, South Carolina, and Texas. Only personal lines property exposure is covered in this deal.
Standard & Poor’s assigned ratings of ‘BB’ to the Class A notes and ‘BB-‘ to the Class B notes.