Swiss Re Insurance-Linked Fund Management

PCS - Emerging Risks, New Opportunities

Sanders Re Ltd. (Series 2017-2)

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

  • Issuer: Sanders Re Ltd. (Series 2017-2)
  • Cedent / sponsor: Allstate
  • Placement / structuring agent/s: Aon Securities is sole structuring agent and joint bookrunner. Swiss Re Capital Markets is joint bookrunner.
  • Risk modelling / calculation agents etc: AIR Worldwide
  • Risks / perils covered: Florida named storm, earthquake, severe thunderstorm, volcanic eruption, meteorite impact, wildfire
  • Size: $200m
  • Trigger type: Indemnity
  • Ratings: NR
  • Date of issue: May 2017

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

Allstate has returned to the catastrophe bond market for its second issuance of 2017, with a Sanders Re Ltd. Series 2017-2 transaction that seeks collateralized reinsurance cover against losses from multiple perils in the state of Florida.

The Sanders Re 2017-2 cat bond transaction looks like a renewal and expansion of coverage for Allstate’s 2014 Sanders Re Ltd. (Series 2014-2) deal, which was also a Florida only protection covering its two subsidiaries Castle Key Insurance and Castle Key Indemnity, which both underwrite Floridian property insurance risks.

This new Sanders Re 2017-2 will also benefit the same two Castle Key subsidiaries with a source of fully-collateralized reinsurance protection provided by the capital markets investors who purchase the issued notes.

The range of perils covered is expanding for this renewal, sources told us the Sanders Re 2017-2 cat bond will provide Allstate’s subsidiaries with three years of reinsurance cover against losses due to named storms, earthquakes, severe thunderstorms, volcanic eruptions, meteorite impact and wildfires affecting the state of Florida.

The transaction targets $200 million of reinsurance protection across a three-year term from the sale of a single tranche of notes, with the coverage structured on an indemnity trigger and per-occurrence basis and cascading down the tower.

We’re told that the $200 million tranche of notes will have an initial attachment probability of 1.04% and an expected loss of 0.73%. The notes are being offered to investors with coupon price guidance in a range from 3.25% to 3.75%.

Update 1:

We understand that the pricing for the single tranche of Sanders Re 2017-2 cat bond notes has been fixed at the bottom end of guidance, at 3.25%.

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