La Vie Re Limited (Series 2021-1)

Securian Financial Group life insurance subsidiary Minnesota Life Insurance Company has returned to the insurance-linked securities (ILS) market for its second mortality catastrophe bond transaction in just over a year, as the company looks to expand its capital markets backed reinsurance protection for its life book.

Minnesota Life Insurance Company sponsored its first mortality catastrophe bond arrangement in October 2020, securing $100 million of collateralized extreme mortality reinsurance protection from ILS investors.

This second La Vie Re mortality catastrophe bond sees its sponsor seeking another at least $100 million of extreme mortality protection from the capital markets, on an indemnity stop loss basis, triggered off its loss ratio.

Using the same Bermuda based special purpose insurer, La Vie Re Limited, a single tranche of Series 2021-1 notes will be issued and sold to investors, with the proceeds used to collateralize mortality reinsurance agreements for the sponsor.

As in the previous deal, the SPI La Vie Re Limited will enter into an excess-of-loss reinsurance agreement with Securian Finacial’s captive reinsurer 1880 Reinsurance, which is based in Vermont.

1880 Reinsurance will then pass on the protection to ceding company Minnesota Life through the quota share reinsurance arrangements it enters into.

This cat bond will provide Minnesota Life with extreme mortality protection, on a loss ratio basis, so the collateral will be used to provide a stop loss type of reinsurance above a pre-defined loss ratio.

The notes will have a three-year term, running to the end of September 2024 and the risk period is based on loss ratios since October 1st this year, we’re told.

The notes trigger is described as an annual indemnity stop loss based on the sponsors loss ratio and for the covered business.

The $100 million of Series 2021-1 Class A notes being issued by La Vie Re Ltd. will have an initial expected loss of 0.19% on a modelled basis, we’re told, with the loss ratio attachment point set at 110%, which is the same trigger point as the first La Vie Re mortality cat bond.

Investors will be offered the Series 2021-1 Class A notes with price guidance in a range from 2.5% to 3%, which is the same guidance as the previous 2020-1 deal.

Update:

According to sources, the la Vie Re 2021-1 mortality catastrophe bond issuance was pulled after investor support was limited by concerns over the continuing COVID-19 pandemic. Read more in this article.