RenRe’s Fibonacci Re 2017 notes have maturity extended again

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The remaining slice of in-force notes from Bermudian reinsurance firm RenaissanceRe’s $140 million Series 2017-1 issuance of notes from its Fibonacci Reinsurance Ltd. sidecar-like vehicle have had their maturity extended for another three months.

Fibonacci Reinsurance Ltd. is RenaissanceRe’s sidecar-like special purpose reinsurance vehicle, that provides investors and fund’s under RenRe’s management with catastrophe bond-like investments in property catastrophe and non-natural peril risks.

The sidecar-like vehicle made its first issuance of notes at the January 2017 renewals, when issuing a $140 million tranche of Series 2017-1 Class A participating ILS notes.

This $140 million tranche had been expected to be on-risk for one year, with maturity scheduled for January 10th 2018, but at that maturity time only $136.7 million of the notes were allowed to mature, with the remaining $3.3 million of 2017-1 Class A outstanding notes had their maturity extended to the 10th April 2018.

The reason behind the extension has never been confirmed, but we assume that this small slice of the transaction faces some losses from 2017’s major catastrophe events and RenRe has extended the maturity to allow for losses to develop, or industry loss estimates to be finalised.

It could be that the $3.3 million is purely being held as a buffer, in case losses eat into the layer of risk Fibonacci was covering with this issuance.

The remaining $3.3 million of Fibonacci Re 2017-1 Class A notes were not allowed to mature in April, having their maturity extended again to July 9th 2018, clearly to allow for this loss development to continue.

Now, the $3.3 million of 2017-1 Class A notes that remain from this Fibonacci Re issuance have been extended again, with the maturity now being advanced by another three months to October 10th 2018.

The $45 million Class B tranche of Series 2017-1 notes from Fibonacci Reinsurance were allowed to mature around June 8th 2018, suggesting that this tranche was not exposed to any losses from the catastrophes of 2017. This perhaps suggests that the extended Class A tranche was the more junior of the pair.

For more details on reinsurance sidecar transactions and investments view our list of collateralized reinsurance sidecars. For details of catastrophe bonds and similar ILS deals visit our Deal Directory.

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