Swiss Re Insurance-Linked Fund Management

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Market Re Ltd. (Series 2017-2)

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Market Re Ltd. (Series 2017-2) – At a glance:

  • Issuer: Market Re Ltd. (Series 2017-2)
  • Cedent / sponsor: Allianz Risk Transfer
  • Placement / structuring agent/s: Jardine Lloyd Thompson Capital Markets are structuring agent and bookrunner
  • Risk modelling / calculation agents etc: N/A
  • Risks / perils covered: Temperature risks
  • Size: $14.5m
  • Trigger type: Parametric
  • Ratings: NR
  • Date of issue: Dec 2017

Market Re Ltd. (Series 2017-2) – Full details:

This is the second weather risk exposed transaction to be issued using the JLTCM Market Re Ltd. private cat bond platform.

JLTCM said that this latest transaction from its Market Re Ltd. private cat bond platform, which it has termed Market Re 2017-2 (Weather), saw $14.5 million of notes issued and sold to ILS investors, in order to fully collateralize an underlying retrocessional reinsurance agreement.

This Market Re 2017-2 transaction will provide the sponsor, which we understand to be Allianz Risk Transfer (ART), with a single-year source of collateralized retrocession to cover it against certain losses caused by warmer than anticipated winters across Europe.

The trigger for this Market Re 2017-2 weather cat bond is a parametric index based on temperature measurements at weather stations across specific regions in Europe, we understand.

This is only the third cat bond to cover temperature related weather risks in the 20 year history of the market.

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