Swiss Re Insurance-Linked Fund Management

PCS - Emerging Risks, New Opportunities

$18.88m Dodeka V private cat bond completed by Twelve Capital


Another private catastrophe bond transaction has been brought to market by ILS investment manager Twelve Capital, with an $18.88m Dodeka V deal issued through the Kane SAC Limited vehicle completing recently.

As usual details are scarce, due to the private nature of the Dodeka transactions. Swiss headquartered ILS fund manager Twelve Capital uses the Dodeka private cat bond series as a way to generate liquid securities out of reinsurance transactions it had collateralized.

Twelve Capital uses the Kane SAC private ILS platform, operated by global independent insurance manager Kane, to acquire transformed risk for its more liquid investment strategies and funds, which can be useful for useful for generating diversification, as well as for meeting specific mandates for liquidity either within its own multi-investor funds or as specified by a single investors mandate.

Given the timing of the deal, as completing and being listed on the Bermuda Stock Exchange on the 28th May, Dodeka V will involve the securitisation of a June reinsurance renewal deal. As such it’s likely to involve U.S. property catastrophe risks, given the typical focus of the June renewal season for ILS managers like Twelve.

Dodeka V represents a segregated account of the Kane SAC Limited private cat bond issuance vehicle. The $18.88m of notes have a due date of the 22nd December 2015, so represent a six month reinsurance contract.

All of the previous Dodeka private cat bonds were transformed from industry-loss warranty (ILW) contracts, so used PCS industry loss triggers covering U.S. natural perils. We can’t confirm what the underlying structure is with Dodeka V, but it is likely to again be an ILW as they provide the simplest transactional features for transformation, making them the most cost-effective way to acquire risk in a liquid securitised form.

By listing the $18.8m of Dodeka V notes on the Bermuda Stock exchange Twelve Capital can enhance their liquidity, providing the ILS manager with improved options and additional transparency to trade the notes on the secondary cat bond market. As a result the notes can be priced by ILS broker desks, giving the market visibility of their pricing and increasing options for liquidity and transferability.

Previous Dodeka private cat bond transactions include Dodeka I in January 2014, Dodeka II in February 2014, Dodeka IV in June 2014, Dodeka III in August 2014 and Dodeka I – 2015 in February 2015.

Dodeka V has been added to the Artemis Deal Directory and we will update the listing should further details on the underlying structure emerge.

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