Swiss Re Insurance-Linked Fund Management

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Cerulean Re SAC Ltd. (Easton 2019-1)

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Cerulean Re SAC Ltd. (Easton 2019-1) – At a glance:

  • Issuer: Cerulean Re SAC Ltd. (Easton 2019-1)
  • Cedent / sponsor: Hamilton Re
  • Placement / structuring agent/s: GC Securities is sole structuring agent and bookrunner
  • Risk modelling / calculation agents etc: ?
  • Risks / perils covered: U.S. named storm, U.S. earthquake
  • Size: $60m
  • Trigger type: Industry loss index
  • Ratings: NR
  • Date of issue: Jun 2019

Cerulean Re SAC Ltd. (Easton 2019-1) – Full details:

This is the first catastrophe bond issuance from Hamilton Insurance Group’s reinsurance unit Hamilton Re, which has sponsored a $60 million cat bond transaction.

The cat bond transaction has been issued using reinsurance broker Guy Carpenter’s cat bond issuance vehicle Cerulean Re SAC Ltd., through a single segregated account named Easton 2019-1.

Cerulean Re SAC Ltd. has issued a $60 million tranche of Series 2019-1 Principal At-Risk Variable Rate catastrophe bond notes, acting for the Easton 2019-1 segregated account.

The $60 million of notes have been sold to cat bond investors and the proceeds will collateralize reinsurance agreements with Hamilton Re, providing the reinsurer with a source of capital markets backed retrocessional protection.

The coverage protects Hamilton Re against certain losses from the perils of U.S named storms and US earthquakes, across two tranches of notes, on an industry loss trigger and per-occurrence basis.

We assume that the tranches will each represent a different layer of risk in Hamilton Re’s retro program, so providing ILS investors different risk and return profiles.

The transaction has mixed terms across the different notes issued.

The U.S. wind tranche covers a risk period ending Dec 31st 2019, so a single hurricane season, while the U.S. earthquake tranche covers a risk period ending May 31st 2020.

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