Swiss Re Insurance-Linked Fund Management

PCS - Emerging Risks, New Opportunities

Ursa Re Ltd. (Series 2019-1)

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Ursa Re Ltd. (Series 2019-1) – At a glance:

  • Issuer: Ursa Re Ltd.
  • Cedent / sponsor: California Earthquake Authority
  • Placement / structuring agent/s: Swiss Re Capital Markets is sole structuring agent and joint bookrunner. Aon Securities is joint bookrunner
  • Risk modelling / calculation agents etc: EQECAT
  • Risks / perils covered: California earthquake
  • Size: $400m
  • Trigger type: Indemnity
  • Ratings: NR
  • Date of issue: Nov 2019

Ursa Re Ltd. (Series 2019-1) – Full details:

The California Earthquake Authority (CEA) is returning to the capital markets in search of reinsurance capacity with its latest catastrophe bond transaction, an Ursa Re Ltd. (Series 2019-1) deal.

The new Ursa Re 2019-1 cat bond will be the CEA’s seventh takedown under the Ursa Re Ltd. special purpose insurer and note program and the eleventh cat bond where the California based earthquake insurance specialist is listed in our Deal Directory as the sponsor.

We understand that the CEA is bringing this latest catastrophe bond to market in the hopes of extending its fully collateralized earthquake reinsurance protection by as much as $400 million, through an issuance of a single tranche of Series 2019-1 Class C notes from Ursa Re Ltd.

The notes will be exposed to losses from California earthquake events, using an indemnity trigger and structured on an annual aggregate basis, we’re told.

We understand that the cat bond backed reinsurance protection from the Ursa Re 2019-1 cat bond is set to run across a three-year term.

The $400 million or more of notes issued will be sold to investors and the proceeds used to collateralize underlying reinsurance agreement between Ursa Re and the CEA.

The covered layer is said to be $500 million in size (leaving room to upsize if desired), sitting above a near $4 billion retention, giving an attachment probability of 2.25% and an expected loss of 2.11%.

The notes are being offered to cat bond investors with price guidance in a range from a coupon of 5.25% to 5.75%, we understand.

Update 1:

The Ursa Re 2019-1 cat bond will settled at $400 million in size, but pricing has been fixed at the top-end of guidance at 5.75%. This results in a multiple that is roughly 2.72 times the initial expected loss.

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