Swiss Re Insurance-Linked Fund Management

Original Risk: A Society for Change Agents

Ursa Re Ltd. (Series 2016-1)

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Ursa Re Ltd. (Series 2016-1) – At a glance:

  • Issuer: Ursa Re Ltd. (Series 2016-1)
  • 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
  • Risks / perils covered: California earthquake
  • Size: $500m
  • Trigger type: Indemnity
  • Ratings: N
  • Date of issue: Nov 2016

Ursa Re Ltd. (Series 2016-1) – Full details:

This latest issuance sees the CEA utilising its Ursa Re Ltd. special purpose insurer for a third time, as it brings a single tranche of annual aggregate and indemnity structured notes to capital market investors.

Artemis understands that the Ursa Re 2016-1 cat bond is being marketed as a $300 million deal in a single tranche, with the goal being a three-year source of fully collateralised reinsurance protection for the CEA.

A $300 million tranche of Series 2016-1 Class A notes will be issued by Ursa Re Ltd., seeking California earthquake reinsurance protection on an aggregate basis for the CEA and using an indemnity trigger.

The Class A notes have an initial attachment probability of 2.38% and an initial modelled expected loss of 2.18%. They are being marketed to the ILS investor base with price guidance in the range of 3.25% to 4%, we’re told.

We understand that the notes will cover losses across a $500 million layer of the CEA’s reinsurance program, which perhaps signals that there is room for this Ursa Re 2016-1 cat bond to grow if investor support is strong.

Update 1:

The CEA lifted its ambitions for this catastrophe bond, to a target size of between $330m and $500m of notes.

At the same time the price guidance on this Ursa Re 2016-1 cat bond was tightened towards the upper end of guidance, to a range of 3.75% to 4%.

Update 2:

The Ursa Re 2016-1 cat bond has been priced and the CEA has achieved the 67% increase in size of the transaction to $500 million. At the same time the pricing on the $500 million of cat bond notes has settled at the top-end of initial guidance.

When this Ursa Re cat bond was launched the pricing was set in a range of 3.25% to 4%, but was subsequently tightened during marketing to a 3.75% to 4% range. We’re told that pricing has now settled at 4%, so the top-end of coupon guidance.

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