Swiss Re Insurance-Linked Fund Management

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Ursa Re II Ltd. (Series 2022-2)

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Ursa Re II Ltd. (Series 2022-2) – At a glance:

  • Issuer: Ursa Re II Ltd.
  • Cedent / sponsor: California Earthquake Authority
  • Placement / structuring agent/s: Swiss Re Capital Markets is sole structuring agent and bookrunner
  • Risk modelling / calculation agents etc: EQECAT Inc.
  • Risks / perils covered: California earthquake
  • Size: $305m
  • Trigger type: Indemnity
  • Ratings: NR
  • Date of issue: Dec 2022

Ursa Re II Ltd. (Series 2022-2) – Full details:

The California Earthquake Authority (CEA) has returned to the catastrophe bond market and secured an additional $305 million of collateralized earthquake reinsurance protection through this Ursa Re II Ltd. Series 2022-2 issuance.

This is the largest cat bond placement since hurricane Ian disrupted the marketplace, showing that investors remain attracted to cat bonds as an asset class and still have the desire and capital to support long-term partners such as the CEA.

We’re told that the CEA’s special purpose insurer Ursa Re II Ltd. has issued two tranches of Series 2022-2 cat bond notes that have been sold to investors and the proceeds used to collateralize underlying earthquake reinsurance agreements.

The total issuance size is $305 million and that provides the CEA with California earthquake reinsurance protection on an indemnity and annual aggregate basis, providing protection across a nearly three-year term to the end of November 2025.

Ursa Re II has issued a $185 million tranche of Class AA notes, which are among the most senior ever issued for the CEA.

The Class AA notes would attach at $8.475 billion of losses to the CEA and cover 18.5% of a $1 billion layer of its reinsurance tower.

That gives the Class AA notes an initial attachment probability of 1.13%, an initial expected loss of 1.05% and we’re told the initial risk interest spread to be paid to investors is 7%.

Ursa Re II has also issued a $120 million tranche of Class B notes, which are riskier and cover a percentage of a $500 million layer of the reinsurance tower from an attachment point of $4.407 billion for the CEA, we understand.

That gives the Class B notes an initial attachment probability of 2.43%, an initial expected loss of 2.3% and we’re told the initial risk interest spread to be paid to investors is 10.25%.

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