Swiss Re Insurance-Linked Fund Management

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Vesttoo Bermudian Bay Ltd. (Vescor Series 2023-1)

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Vesttoo Bermudian Bay Ltd. (Vescor Series 2023-1) – At a glance:

  • Issuer: Vesttoo Bermudian Bay Ltd.
  • Cedent / sponsor: Multiple (risks sourced by Corinthian Re)
  • Placement / structuring agent/s: Vesttoo
  • Risk modelling / calculation agents etc: Vesttoo, Milliman
  • Risks / perils covered: Non-cat casualty (85% US auto liability)
  • Size: Not issued
  • Trigger type: Indemnity
  • Ratings: AM Best: 'BBB'
  • Date of issue: Jul 2023

Vesttoo Bermudian Bay Ltd. (Vescor Series 2023-1) – Full details:

This is a rare offering of non-cat casualty insurance-linked securities (ILS) from insurtech company Vesttoo and making this issuance even more of a rarity, the notes are targeted to have a ‘BBB’ investment grade rating from AM Best, Artemis has learned.

Vesttoo has an investment grade ILS deal in the market, with circa $109 million of ‘BBB’ rated Vesttoo Bermudian Bay Ltd. (Vescor Series 2023-1) notes on offer that are linked to the performance of a risk pool featuring non-cat largely casualty risks.

We understand from sources that these Vescor Series 2023-1 notes are being issued using a new Bermuda segregated accounts company named Vesttoo Bermudian Bay Ltd.

The offering is for an estimated $109 million of notes, we understand, with these issued privately as Section 4(a)(2) notes, but with certain 144A features to allow them to be traded in the secondary market.

The notes will have a 4 year term, but we’re told can be called after 15 months of issue.

They are linked to programmes of insurance business that are largely casualty and non-catastrophe in nature, of which we’re told over 85% will be linked to US auto liability business, while workers’ compensation risks, general liability and a small amount of commercial multi-peril also feature in the subject business.

All of the underlying insurance business is sourced via collateralized reinsurance company Corinthian Re and it’s understood the risks are seasoned, having been underwritten over the last two years.

The claims ratio on the underlying business would have to reach above 98% for these Vescor 2023-1 notes to attach, sources said, making them very remote in terms of risk and having an extremely low expected loss and attachment probability (less than one-thousandth of a percent).

Vesttoo is said to have used its own technology to model the risks, while Milliman is acting as a third-party that verifies the risk calculation.

The Vescor 2023-1 notes are being offered with a proposed spread of 4% and it’s said with the underlying return of treasuries the expected yield to maturity is 9%.

These notes are senior in the risk tower and with their very low attachment probability expected to receive a ‘BBB’ rating from AM Best, we understand.

The portfolio of insurance risk underlying these proposed notes issuance is heavily concentrated to insurtech Root Insurance, which makes up more than 50% of the projected written premiums subject to the arrangement.

That risk comes via a quota share reinsurance arrangement between Root and Osprey Re, which is a Corinthian Re reinsurance company.


This transaction was never placed, as shortly after it began to be marketed to investors the news broke that collateral letter of credit (LOC) concerns had erupted in relation to collateralized reinsurance transactions facilitated by Vesttoo.

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