Swiss Re Insurance-Linked Fund Management

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Market Re Ltd. (Series 2015-3)

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Market Re Ltd. (Series 2015-3) – At a glance:

  • Issuer: Market Re Ltd. (Series 2015-3)
  • Cedent / sponsor: Unknown
  • Placement / structuring agent/s: Jardine Lloyd Thompson Capital Markets are structuring agent and bookrunner
  • Risk modelling / calculation agents etc: ?
  • Risks / perils covered: Florida named storms
  • Size: $31.074m
  • Trigger type: Indemnity
  • Ratings: NR
  • Date of issue: Jun 2015

Market Re Ltd. (Series 2015-3) – Full details:

The Jardine Lloyd Thompson Capital Markets (JLTCM) team has completed another transaction using its own platform to issue a $31.074m Market Re Ltd. (Series 2015-3) privately placed catastrophe bond for an unnamed sponsor.

This Market Re Ltd. (Series 2015-3) private catastrophe bond is a renewal of a maturing transaction. It will provide the unnamed cedant with a one-year source of fully-collateralized catastrophe reinsurance protection for its Florida book of business.

Reinsurance protection is for the peril of Florida named storm risks and the transaction is structured using an indemnity trigger, to more closely match it with other forms of reinsurance the cedant benefits from.

The transaction saw the Market Re vehicle, JLTCM’s own issuance vehicle that seeks to make accessing the capital markets cheaper for smaller deals and sponsors, issuing two tranches of Series 2015-3 notes which were marketed and sold to ILS investors.

The two tranches provide the cedant with different kinds of reinsurance cover.

The first tranche, Class A, is sized at $6.699m of notes and provides both frequency and severity protection, so is structured on an aggregate basis. The second Class B tranche is $24.375m in size and provides per-occurrence protection to the cedant. We understand that the Class A tranche has grown in this years renewal transaction.

Structured as zero coupon bonds, the two tranches represent $7.5m of limit for the Class A notes and $25m of limit for the Class B notes.

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