Swiss Re Insurance-Linked Fund Management

Original Risk: A Society for Change Agents

Cerulean Re SAC Ltd. (Series 2020-B)

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Cerulean Re SAC Ltd. (Series 2020-B) – At a glance:

  • Issuer: Cerulean Re SAC Ltd.
  • Cedent / sponsor: Unknown
  • Placement / structuring agent/s: GC Securities is sole structuring agent and bookrunner
  • Risk modelling / calculation agents etc: Unknown
  • Risks / perils covered: Unknown property catastrophe risks
  • Size: $12.6m
  • Trigger type: Unknown
  • Ratings: NR
  • Date of issue: Oct 2020

Cerulean Re SAC Ltd. (Series 2020-B) – Full details:

This is the fourth issuance from Guy Carpenter and Marsh Captive Solutions Cerulean Re private insurance-linked securities (ILS) platform that we have recorded in our Deal Directory.

Just over $12.6 million of Series 2020-B notes issued across three numbered tranches and listed on the Bermuda Stock Exchange (BSX).

The notes will have been sold to ILS investors or dedicated ILS funds, while the proceeds from their sale will have been used as collateral to underpin linked reinsurance or retrocession contracts, to the benefit of a ceding company.

Cerulean Re SAC Ltd., acting on behalf of three segregated accounts, has issued almost $3.27 million of Series 2020-B1 principal at risk variable rate notes, just over $6.8 million of Series 2020-B2 notes and $2.55 million of Series 2020-B3 notes, all under its ILS Note Program.

All three tranches of this private cat bond issuance have been structured as discounted, zero-coupon participating notes and all are due June 1st 2021.

Details are scarce, as is typical with most private ILS, cat bond lite type deals such as this.

We assume the three tranches of notes issued will represent securitisations of property catastrophe reinsurance or retrocession contracts, likely featuring U.S. perils given the June 1 due date.

As this transaction is from the Guy Carpenter operated issuance platform, it’s safe to assume that the reinsurance brokers’ capital market unit GC Securities will have acted as sole arranger, structuring agent and placement agent or bookrunner for this issuance of private cat bond notes.

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