Swiss Re Insurance-Linked Fund Management

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MetroCat Re Ltd. (Series 2017-1)

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MetroCat Re Ltd. (Series 2017-1) – At a glance:

  • Issuer: MetroCat Re Ltd. (Series 2017-1)
  • Cedent / sponsor: First Mutual Transportation Assurance Co.
  • Placement / structuring agent/s: Swiss Re Capital Markets is sole structuring agent and lead bookrunner. Goldman Sachs is joint bookrunner
  • Risk modelling / calculation agents etc: RMS
  • Risks / perils covered: New York storm surge (named storm induced) and earthquake
  • Size: $125m
  • Trigger type: Parametric
  • Ratings: ?
  • Date of issue: May 2017
  • news coverage: Articles discussing MetroCat Re Ltd. (Series 2017-1) from

MetroCat Re Ltd. (Series 2017-1) – Full details:

MetroCat Re Ltd., a Bermuda domiciled special purpose insurer established for issuing series of catastrophe bond notes, will issue its second parametric cat bond on behalf of First Mutual Transportation Assurance Co. (FMTAC), the New York State-licensed captive insurer and subsidiary of the New York Metropolitan Transportation Authority (MTA).

The new MetroCat Re 2017-1 cat bond sees the MTA expanding the coverage it will receive from the capital markets, as it adds earthquake coverage to the named storm induced storm surge risk it secured with its previous deal.

This second MetroCat Re transaction will see a $125 million single tranche of Class A notes issued in order to fully collateralize the reinsurance agreements between the issuing vehicle and the captive First Mutual Transportation Assurance Co., which will in turn provide the insurance protection to the MTA.

The notes are exposed to parametric factors associated with storm surges caused by named storms and also earthquake risks, both within the New York metropolitan area, across a three-year term.

A range of calculation locations within the metro area of the city will be used to measure and report data on events that strike the region, with parametric trigger points set which if breached would determine whether a payout is due. Should an event occur the calculation agent will derive an index for the covered peril in question and if the index value breaches the trigger point a payout would occur. The protection is on a per-occurrence basis, so an event will either trigger a full payment or none.

The MetroCat Re 2017-1 notes have an attachment probability of 2.25%, over the medium-term, and an expected loss of the same at 2.25%. This is typical of a one-shot type parametric protection.

We understand that the notes will be offered to catastrophe bond investors with coupon price guidance in a range from 3.5% to 4%.

Update 1:

The notes were eventually priced at a coupon of 3.7%, so slightly below the mid-point of initial price guidance. The deal did not upsize, completing at $125 million for the MTA.

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