Swiss Re Insurance-Linked Fund Management

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Cerulean Re SAC Ltd. (Series 2019-1)

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

  • Issuer: Cerulean Re SAC Ltd.
  • Cedent / sponsor: Unknown
  • Placement / structuring agent/s: GC Securities is structuring agent and bookrunner
  • Risk modelling / calculation agents etc: N/A
  • Risks / perils covered: U.S. property catastrophe risks
  • Size: $22.94m
  • Trigger type: Unknown
  • Ratings: NR
  • Date of issue: Jul 2019

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

This issuance features three tranches of zero-coupon private catastrophe bond notes issued by Guy Carpenter’s Cerulean Re SAC Ltd. ILS issuance platform.

The three zero-coupon private cat bond tranches amount to $22.94 million of risk capital issued and all have three have due dates of June 1st 2020, so look like they provide a roughly one-year source of reinsurance or retrocession for their unknown sponsor.

These zero-coupon tranches are a $7.98 million tranche of Series 2019-1 Class A-1 notes, a $10.48 million tranche of Class B-1 notes and a $4.48 million tranche of Class B-2 notes.

All three tranches were listed on the Bermuda Stock Exchange (BSX). We assume the notes provide a source of collateralized coverage against U.S. property catastrophe risks, given the timing of their issuance.

They were listed at the same time as two other tranches of private cat bond notes, a $35 million tranche of Series 2019-1 Class A notes and a $25 million tranche of Series 2019-1 Class B notes. We believe these two tranches correspond to the Hamilton Re sponsored Easton 2019-1 private cat bond which we already have listed in our Deal Directory, so have not repeated them here.

GC Securities will have acted as sole arranger, structuring agent and placement agent or bookrunner for all of these tranches of private cat bond notes.

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