Swiss Re Insurance-Linked Fund Management

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East Lane Re IV Ltd. (Series 2011-1)

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East Lane Re IV Ltd. (Series 2011-1) – At a glance:

  • Issuer: East Lane Re IV Ltd. (Series 2011-1)
  • Cedent / sponsor: Chubb
  • Placement / structuring agent/s: Deutsche Bank Securities Inc. and Goldman, Sachs & Co. are joint structuring agents and bookrunners. Citigroup Global Markets Inc. are joint bookrunner only. Co-managers are GC Securities and Willis Capital Markets & Advisory
  • Risk modelling / calculation agents etc: AIR Worldwide
  • Risks / perils covered: U.S. hurricane, U.S. earthquake, U.S. severe thunderstorm, U.S. winter storm
  • Size: $475m
  • Trigger type: Indemnity
  • Ratings: S&P: Class A - 'BB+', Class B - 'BB'
  • Date of issue: Mar 2011
  • news coverage: Articles discussing East Lane Re IV Ltd. (Series 2011-1) from

East Lane Re IV Ltd. (Series 2011-1) – Full details:

East Lane Re IV Ltd. is a Class B special purpose insurer domiciled in the Cayman Islands to issue catastrophe bond notes for Federal Insurance Co. and other Chubb subsidiaries.

This deal, originally split into two tranches with a preliminary size of $100m each at launch but closed upsized with a Series A tranche of $225m and a Series B tranche of $250m thanks to high demand, is designed to provide Chubb with collateralized reinsurance cover against losses from hurricanes, earthquakes, severe thunderstorms, and winter storms in certain covered areas on an indemnified, per-occurrence basis.

This deal is replacing some of the hurricane cover afforded to Chubb from previous East Lane Re cat bond transactions, much of which matures this year just before the Atlantic hurricane season begins.

East Lane Re IV provides Chubb with cover in the following U.S. states; Connecticut, Delaware, Maine, Maryland, Massachusetts, New Hampshire, New Jersey, New York, Pennsylvania, Rhode Island, Vermont, Virginia, and the District of Columbia.

The notes will be subject to an annual reset. Prior to the first reset the cat bond notes can be triggered by any of the perils covered which generates paid losses of over $3 billion for the Class A tranche and $2.15 billion for the Class B tranche. Chubb retain at least 10% of the exposure for each layer of cover. Class A notes will provide cover for 3 years and the Class B for four years.

Collateral proceeds from the sale of the notes will be invested in U.S. Treasury money market funds.

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