Swiss Re Insurance-Linked Fund Management

PCS - Emerging Risks, New Opportunities

Dodeka XVI

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Dodeka XVI – At a glance:

  • Issuer: Dodeka XVI
  • Cedent / sponsor: Unknown
  • Placement / structuring agent/s: Unknown
  • Risk modelling / calculation agents etc: N/A
  • Risks / perils covered: U.S. property catastrophe risks
  • Size: $9.603m
  • Trigger type: Industry loss index
  • Ratings: NR
  • Date of issue: Jul 2018

Dodeka XVI – Full details:

This $9.603 million Dodeka XVI private catastrophe bond transaction is the eighteenth private ILS deal in the Dodeka series from ILS investment fund manager Twelve Capital, as the company continues to show its commitment to sourcing risk in securitised cat bond form for its ILS fund investors.

Including this new eighteenth Dodeka private ILS transaction, Twelve Capital has now securitized roughly $340 million of reinsurance risk through this series of private cat bonds, or cat bond lites.

This latest Dodeka XVI private cat bond transaction has been issued using Artex’s SAC Limited vehicle, managed by ILS facilitator Artex, with Dodeka XVI representing a single segregated account of the issuance vehicle.

The underlying peril exposure in the segregated account has been transformed into private ILS or cat bond form, resulting in the issuance of $9.603 million of tradable and listed principal-at-risk ILS notes.

These $9.603 million of Dodeka XVI insurance-linked notes have a due date of the 27th December 2018, so appear to represent a reinsurance or retrocession contract designed to provide coverage across the duration of the U.S. wind season, we assume.

The maturity date is the same as for the previous Dodeka XV arrangement as well, which suggests the two most recent Dodeka private cat bonds may be related, in terms of either being part of the same reinsurance layer or tower, or a similar structure.

Dodeka XVI’s $9.603 million of notes have been admitted to the Bermuda Stock Exchange (BSX) as Section V Insurance Related Securities and the notes have been sold to qualified ILS investors, which will be funds or managed accounts owned by Twelve Capital.

As with all of the Dodeka series of private ILS deals, we make the assumption that this Dodeka XVI cat bond lite features a transformed industry-loss warranty (ILW) contract, using a PCS industry loss trigger and covering U.S. natural catastrophe risks (likely U.S. wind because of the risk period).

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