Jungfrau IC Limited 2019 – Full details:
This is the latest private catastrophe bond securitisation to be created and settled using a private blockchain owned and operated by specialist ILS and reinsurance investment manager Solidum Partners.
For this first 2019 issuance of a catastrophe bond on a blockchain, Solidum created and settled twelve separate tranches of notes, on the ILSBlockchain, using its transformer and incorporated cell company Solidum Re (Guernsey) ICC Limited.
The $12 million of Jungfrau IC Limited notes are split across the twelve tranches within two B and V series, all of which are exposed to property catastrophe risks from around the world.
Some of the tranches are focused on cover for losses from U.S. risks, others U.S. risk plus peak perils, and some are worldwide reinsurance protection.
All of the tranches represent per-occurrence retrocessional reinsurance covers, with six of them offering first-event protection and the other six second-event protection. The underlying retrocessional reinsurance contracts all have a one-year term.
Each of the tranches represent a different level of seniority, hence risk level, providing investors with a wide range of risk and return options within the deal.
Solidum Partners told us that the notes are largely collateralised with U.S. Treasury bills. However some of the more senior second-event notes are allowed to be collateralised using non-correlating catastrophe bonds, subject to an over collateralisation and replacement should those cat bonds suffer losses during the terms of this deal.
This is a clever way to allow an investor or one of Solidum’s own funds to put perhaps lower risk and returning cat bonds to work in collateralising a higher risk and return investment opportunity, benefiting from the leverage that could provide.
Should a first-event occur, those cat bonds used for collateralisation must be exchanged for cash or T-bills, Solidum said.
All of the notes were settled using Solidum Partners ILSBlockchain and can now be traded amongst existing participants on the blockchain.
The total volume of catastrophe bond securities on the ILSBlockchain is now $50.1 million.