IBRD CAR Jamaica 2024

The Government of Jamaica has returned for its second catastrophe bond with the support of the World Bank and IBRD, with an initial target to secure at least $150 million in parametric named storm disaster insurance protection from the capital markets through this IBRD CAR Jamaica 2024  cat bond, to cover the country over four hurricane seasons.

The notes will be issued by the International Bank for Reconstruction and Development (IBRD) under its global debt issuance facility and the Capital-At-Risk notes program.

A single $150 million tranche of catastrophe-linked notes are being offered, to provide parametric disaster insurance protection against Atlantic named storm risks.

The notes will provide parametric per-occurrence protection to the Government of Jamaica over a term covering four hurricane seasons, with maturity expected on December 29th 2027, we are told.

Similar to the now matured first cat bond covering Jamaica, the parametric trigger is based on storm location and minimum central pressure, using data from the best track files out of the NHC’s automated tropical cyclone forecasting system.

Specific event parameters will be based on the calculated central pressure figure and also the storm track, while Jamaica and the surrounding Caribbean Sea have been divided up into a series of parametric boxes. Different payout factors apply, depending on which box a storm tracks into and the minimum central pressure it has and payouts will be on a linear sliding scale, with a minimum of 30% of the cat bond’s principal, running up to a full 100% payout, we understand.

The $150 million of Jamaica cat bond notes issued by the IBRD come with an initial attachment probability of 2.34%, an initial expected loss of 1.5% and are being offered to investors with a risk margin guidance in a range from 6.25% to 7% (so the price guidance range).

Update 1:

We’re told the size of this second Jamaica catastrophe bond has not increased, with the issuance still being for $150 million of notes.

However, the pricing has risen to the upper-end, with the notes expected to be finalised with a risk margin of 7%, so at the top of the initial range.

Update 2:

We’re now told that these IBRD CAR 136 notes were indeed priced with a risk margin, or spread, of 7% and the size of the second Jamaica catastrophe bond issuance remained at $150 million, so somewhat smaller than its first cat bond which had been $185m in size.

Some 15 global investors backed this second catastrophe bond for Jamaica, with the cat bond distribution split as 66% ILS funds, 1% re/insurers and 33% asset managers.

Geographically, the Jamaica cat bonds are being distributed 43% to the United States, 40% Europe, 14% Bermuda and 3% to Asia and Australia.