Swiss Re Insurance-Linked Fund Management

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Bowline Re Ltd. (Series 2018-1)

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Bowline Re Ltd. (Series 2018-1) – At a glance:

  • Issuer: Bowline Re Ltd. (Series 2018-1)
  • Cedent / sponsor: Transatlantic Reinsurance Co.
  • Placement / structuring agent/s: Aon Securities is sole structuring agent and bookrunner
  • Risk modelling / calculation agents etc: AIR Worldwide
  • Risks / perils covered: U.S., Puerto Rico, U.S. Virgin Islands, D.C., Canada named storm, earthquake and severe thunderstorm
  • Size: $250m
  • Trigger type: Industry loss index
  • Ratings: NR
  • Date of issue: May 2018

Bowline Re Ltd. (Series 2018-1) – Full details:

This is the first catastrophe bond transaction to be sponsored by Transatlantic Holdings, as the company seeks retrocessional protection for its portfolio, covering ceding companies Transatlantic Reinsurance Company and subsidiaries TransRe London, TransRe Zurich, Fair American Insurance and Reinsurance Company and Fair American Select.

The firm has established a new special purpose insurer (SPI) named Bowline Re Ltd. in Bermuda, we’re told and the vehicle will seek to issue a single $200 million tranche of Series 2018-1 Class A notes which will be sold to ILS investors and the proceeds used to collateralize underlying retrocessional reinsurance agreements between Bowline Re and TransRe’s companies.

Transatlantic is looking for a source of multi-peril retrocessional reinsurance coverage across a four-year term with this Bowline Re 2018-1 transaction.

We understand the covered perils include named storms, earthquakes and severe thunderstorms and the coverage will extend across the United States, Puerto Rico, Canada, the U.S. Virgin Islands and District of Columbia.

The currently $200 million of coverage that Bowline Re will provide to TransRe companies will be on an annual aggregate basis and the triggers used will be weighted industry loss indices.

The Bowline Re 2018-1 Class A notes will have an initial attachment probability of 2.16%, an expected loss of 1.6% and are being offered to cat bond investors with coupon price guidance in a range from 4.25% to 4.75%, we are told.

Update 1:

TransRe opted to upsize this Bowline Re 2018-1 catastrophe bond to $250 million.

At the same time, the price guidance for the now $250 million of Class A notes was moved to the mid-point of intial guidance, at 4.5%.

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