Swiss Re Insurance-Linked Fund Management

PCS - Emerging Risks, New Opportunities

Nelson Re Ltd. (Series 2008-1)

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Nelson Re Ltd. (Series 2008-1) – At a glance:

  • Issuer: Nelson Re Ltd. (Series 2008-1)
  • Cedent / sponsor: Glacier Reinsurance
  • Placement / structuring agent/s: Goldman Sachs managed and placed the deal.
  • Risk modelling / calculation agents etc: AIR Worldwide provided risk analysis and modelling.
  • Risks / perils covered: U.S. hurricane, U.S. earthquake, European windstorm
  • Size: $180m
  • Trigger type: Indemnity
  • Ratings: Moody's: Class G - 'B3', Class H - 'B3', Class I - 'B1'
  • Date of issue: Jun 2008
  • news coverage: Articles discussing Nelson Re Ltd. (Series 2008-1) from

Nelson Re Ltd. (Series 2008-1) – Full details:

The newest issue from Nelson Re, a Cayman Islands exempted insurance company, set up by Glacier Re as the issuer of catastrophe bonds under a $1.5bn catastrophe bonds shelf programme in June last year.
This $180m issue will provide three years of cover for U.S. windstorm, U.S. earthquake and Euro windstorm.

This transaction is unique in that the coverage provided by this issuance will protect Glacier for its actual loss experience net of its expected recoveries from the Nelson Re Series 2007-1 notes – which was based on modelled-loss and modified-index triggers. Between these two transactions, Glacier has accumulated over $250m of excess of loss protection on a modelled and indemnity basis.

Three tranches of notes have been issued; the first at $67.5m provide cover for U.S. windstorm and earthquake and has been rated B3, the second at $45m has been rated B3 and the third at $67.5m has been rated B1 by Moody’s. The second and third tranches provide cover for European windstorm.

Update: The Nelson Re cat bond has been dogged by problems after Hurricane Ike struck Texas and losses threatened the cat bond. More details can be found in our stories about Nelson Re on the Artemis news blog.

15th July 2011: Glacier Re submit the proof of loss which shows Nelson Re investors to be liable for nearly $27m of claims. The proof of loss goes off to be verified by the deals administrator; 15th August 2011: Deloitte & Touche issues a letter saying they are waiting for further information from Glacier Re so that they can re-calculate the ultimate net loss and what would be payable by investors; 25th August 2011: Deloitte & Touche issue another letter saying that they are unable to calculate the loss as they are, and we quote from Moody’s report: “Awaiting resolution between Nelson Re and Glacier Re on whether certain underlying policies that incepted in 2008 prior to June 7, 2008, and which were not initial modeled contracts, are covered under the reinsurance agreement”; 26th August 2011: Deloitte & Touche issued another letter saying that they couldn’t complete the calculations and hence could not validate Glacier Re’s request for reduced interest payments; 29th August 2011: Glacier Re extend the agreement with Nelson Re for another three months until 6th December. We assume this is so they can continue to try to validate their proof of loss.

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