Swiss Re Insurance-Linked Fund Management

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Oak Leaf Re Ltd. (Series 2018-1)

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Oak Leaf Re Ltd. (Series 2018-1) – At a glance:

  • Issuer: Oak Leaf Re Ltd. (Series 2018-1)
  • Cedent / sponsor: Southern Oak Insurance Company
  • Placement / structuring agent/s: Jardine Lloyd Thompson Capital Markets are structuring agent and bookrunner
  • Risk modelling / calculation agents etc: Participating investors undertook their own risk modelling
  • Risks / perils covered: Florida named storms
  • Size: $45.26m
  • Trigger type: Indemnity
  • Ratings: NR
  • Date of issue: Jun 2018

Oak Leaf Re Ltd. (Series 2018-1) – Full details:

This is the eighth annual Oak Leaf Re cat bond which will provide sponsor Southern Oak Insurance with a one-year source of fully-collateralized, capital market backed reinsurance protection for its Florida book of business on an indemnity basis, covering the underlying peril of Florida named storm risk.

This new eighth transaction saw JLTCM helping Southern Oak to $45.26 million of fully-collateralized reinsurance protection, through an Oak Leaf Re 2018-1 issuance that featured four tranches of notes which were privately placed and sold to ILS funds and investors.

This Oak Leaf Re 2018-1 privately placed cat bond will provide sponsor Southern Oak with a one year ultimate net loss and indemnity trigger source of collateralized reinsurance protection, providing it with coverage of its book of insurance business against named storms.

The Oak Leaf Re 2018-1 cat bond is split into four classes of notes, including a multi-section tranche that provides both severity and frequency protection, as well as a tranche providing reinstatement premium protection (RPP).

The bond has been issued with a one-year maturity, and can be extended up to 24 months to allow for development of any losses.

The transaction is split as follows: $37.9 million of Class A notes; $870,000 of Class B notes; $1.78 million of Class C notes; and $4.71 million of Class D notes. All tranches are structured as zero-coupon notes. We understand that the Class D notes provide the reinstatement premium protection.

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