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Johnston Re Ltd. (Series 2011-1)

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Johnston Re Ltd. (Series 2011-1) – At a glance:

  • Issuer: Johnston Re Ltd. (Series 2011-1)
  • Cedent / sponsor: North Carolina JUA / IUA
  • Placement / structuring agent/s: GC Securities are sole bookrunner and a co-lead manager on the deal, Munich Capital Markets are the other co-lead manager
  • Risk modelling / calculation agents etc: AIR Worldwide
  • Risks / perils covered: North Carolina hurricane
  • Size: $202m
  • Trigger type: Indemnity
  • Ratings: S&P: Class A - 'BB-', Class B - 'BB-'
  • Date of issue: May 2011
  • news coverage: Articles discussing Johnston Re Ltd. (Series 2011-1) from

Johnston Re Ltd. (Series 2011-1) – Full details:

The second catastrophe bond in the Johnston Re series of deals affording cover to two North Carolina based non-profit underwriting associations.

As with their 2010 Johnston Re cat bond, the deal provides U.S. hurricane cover for Munich Re America for a reinsurance agreement they have with the North Carolina Joint Underwriters Assn. (NCJUA) and the North Carolina Insurance Underwriters Assn. (NCIUA).

Munich Re America are the company who benefit from a retrocessional reinsurance agreement with Johnston Re, which covers hurricane losses on a per-occurrence basis in North Carolina. The covered losses themselves are directly linked to the losses experienced by the two NC associations members. The NCJUA and the NCIUA (and their insurance company members) benefit from a long-term, fixed cost source of reinsurance through this deal.

Johnston Re Ltd. Series 2011-1 is being issued in two tranches of Class A and Class B notes, $70m of Class A notes and $131.85m of Class B notes. Both have a term of three years with maturity due on the 8th May 2014. They offer Munich Re America indemnified risk transfer via a retrocession agreement with Johnston Re for their per-occurrence reinsurance agreement with the NCJUA and NCIUA for a three year period.

For the first risk period (year) of the deal the Class A notes will cover a percentage of hurricane losses between an attachment level of $2.977 billion and an exhaustion level of $3.435 billion. The Class B notes will cover a percentage of losses between an attachment level of $3.256 billion and an exhaustion level of $3.913 billion. Both tranches use an indemnity trigger based on the NCJUA/NCIUA’s loss experience.

There is a possibility of extending the transaction for losses from any qualifying hurricane event to develop. Collateral for the notes will be invested in highly rated U.S. Treasury money market funds.

Pricing closed at the upper end of expectations.

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