Swiss Re Insurance-Linked Fund Management

PCS - Emerging Risks, New Opportunities

La Vie Re Limited (Series 2020-1)

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La Vie Re Limited (Series 2020-1) – At a glance:

  • Issuer: La Vie Re Limited
  • Cedent / sponsor: Minnesota Life Insurance Company
  • Placement / structuring agent/s: Willis Re Securities is sole structuring agent & bookrunner
  • Risk modelling / calculation agents etc: RMS
  • Risks / perils covered: Extreme mortality
  • Size: $100m
  • Trigger type: Indemnity
  • Ratings: NR
  • Date of issue: Oct 2020

La Vie Re Limited (Series 2020-1) – Full details:

Minnesota Life Insurance Company, a life insurance subsidiary of the Securian Financial Group, is venturing into the insurance-linked securities (ILS) market for a relatively rare mortality catastrophe bond transaction, as the company looks to the capital markets for additional reinsurance for its life book.

Minnesota Life has looked to insurance-linked securities (ILS) as a way to add efficient stop loss mortality reinsurance coverage, with the help of structurer and bookrunner Willis Re Securities, we understand.

La Vie Re Limited, a Bermuda based company, will issue a single $100 million or greater tranche of Series 2020-1 notes, that will be sold to investors and the proceeds used to collateralize an excess-of-loss reinsurance agreement between it and Securian’s captive reinsurer 1880 Reinsurance which is based in Vermont, we’re told.

1880 Reinsurance is already engaged in a quota share reinsurance arrangement with ceding company Minnesota Life.

The transaction will provide extreme mortality coverage, on a loss ratio basis, we understand from sources, so the collateral will be used to provide a stop loss type of reinsurance above a pre-defined loss ratio it seems.

The notes will have a three-year term, with the reinsurance coverage provided running to the end of September 2023.

The $100 million of Series 2020-1 Class A notes issued by La Vie Re Ltd. will have an initial expected loss of 0.17% on a modelled basis, we understand, with the loss ratio trigger set at 110%.

Investors will be offered the notes with price guidance in a range from 2.5% to 3%, we’re told.

Update 1:

We understand that the price guidance has been narrowed towards the upper-end of the marketed range, with the final offering being made at 2.75% to 3%.

Update 2:

The still $100 million of mortality risk linked notes issued by La Vie Re Limited have now been priced at 2.85%, so towards the upper-end of initial guidance.

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