Caelus Re II Ltd. – Full details:
Caelus Re II Ltd., a Caymans Islands SPV, has been set up to provide Nationwide Mutual with cover on a per-occurrence basis for certain U.S. windstorms and earthquakes.
The transaction will provide Nationwide Mutual with three years of coverage with the possibility for extension for loss development of 18 months for hurricane events and 24 months for earthquake events.
Nationwide Mutual retains 10% of the share of losses. Any losses will be decided on an indemnity basis. The collateral will be invested in highly rated U.S. money market funds.
Initial reports on this catastrophe bond suggested it was aiming for $200m but the deal finally closed at a slightly lower $185m.