RenRe’s Fibonacci Re 2017 & 2018 ILS notes have maturity extended again

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Bermudian reinsurance firm RenaissanceRe has extended the maturity of the remaining $23.3 million of insurance-linked securities (ILS) notes from its Fibonacci Re Ltd. vehicle’s 2017 and 2018 issuances, as loss development continues.

RenaissanceRe logoFibonacci Reinsurance Ltd. is RenaissanceRe’s sidecar-like special purpose reinsurance vehicle, that provides ILS investors and fund’s under the management of the reinsurer with a source of catastrophe bond-like investments in property catastrophe and non-natural peril property risks.

The Fibonacci Re notes cover a broad swathe of risks ceded to the vehicle by RenaissanceRe, meaning they were broadly exposed to many of the catastrophe loss events that struck the globe in 2017 and 2018.

Both year’s issues from Fibonacci Re were impacted to a degree, although in both cases the majority of the notes principal was allowed to mature loss free, but a portion retained to allow for losses to develop and it is these portions that continue to get extended every three months or so.

The first tranche of ILS notes were issued at the January 2017 renewals by Fibonacci Re, featuring a $140 million tranche of Series 2017-1 Class A participating ILS notes.

The notes were slated to be on-risk for one year, with maturity at January 10th 2018. But, after the 2017 hurricanes and other catastrophe events, only $136.7 million of the notes were allowed to mature at the scheduled time, with the remaining $3.3 million of 2017-1 Class A outstanding notes extended.

The Fibonacci Re 2017 notes were then repeatedly extended to allow for ongoing catastrophe loss development, which enables RenRe to find out whether it can make a reinsurance recovery from the vehicle or whether the collateral should be returned to the investors.

The last extension was to the 10th April 2019, but now the $3.3 million of Series 2017 notes from Fibonacci Re have had their maturity extended again to July 10th 2019.

It later emerged that RenaissanceRe had also faced losses to the 2018 Series issuance from Fibonacci Re, as it allowed $50 million of the $70 million Fibonacci Re 2018-1 notes to mature at the scheduled time in January 2019, but elected to retain and extend $20 million of the notes through until April.

The impacts of 2018 catastrophe losses caused the need for this extension of maturity, with the wildfires in California possibly the deciding loss event that drove RenRe to need the extension of collateral from this issuance.

This $20 million of Fibonacci Re 2018-1 notes have now had their maturity extended again, through to July 10th 2019 as well.

So loss development continues for the 2017-1 and 2018-1 tranches of Fibonacci Re notes.

However, RenRe did allow the $125 million of Fibonacci Re 2018-2 notes that were issued in June 2018 to fully mature at the end of 2018, which suggested that these were a more senior layer (higher in the tower and therefore lower risk) and avoided the catastrophe losses that affected the 2018-1 series tranche.

RenaissanceRe did not issue more Fibonacci Re notes at the January 2019 renewals, as its focus switched to other third-party vehicles instead. But June may see another tranche issued from Fibonacci we understand and it will be interesting to see how large any issuance is given these other tranches remain partially trapped.

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