Swiss Re Insurance-Linked Fund Management

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CalQuake cat bond Ursa Re 2014-1 hits $400m, price moves to mid-point


The Ursa Re Ltd. (Series 2014-1) catastrophe bond, sponsored by the California Earthquake Authority, has benefited from investor demand helping it grow in size taking the total issuance to $400m, while pricing has narrowed towards the mid-point of guidance.

The Ursa Re cat bond features two tranches of notes, one Class A tranche and one Class B, both seeking to provide the CEA with a source of fully-collateralized California earthquake reinsurance on an aggregate basis and using an indemnity trigger.

The transaction was launched last week targeting an issuance size of at least $350m which was to be split between the two tranches as $150m of Class A notes and $200m of Class B. We understand that the Class A tranche, which is the less risky of the two, has now increased in size to $200m, taking the total deal size to $400m.

At the same time price guidance has been narrowed, with both tranches seeing guidance moving towards the middle of the launch range.

The Class A notes were initially offered with a proposed coupon range of 3% to 3.75%, which has now been narrowed to 3.25% to 3.5% we understand. Meanwhile the Class B notes, which launched with coupon guidance of 4.5% to 5.25%, have seen that narrow to 4.75% to 5%.

As with the Kilimanjaro Re cat bond it is encouraging to see investors driving the price towards the middle of guidance, rather than driving it to the bottom (or even below) as had been the case through the first-half of 2014. The signs of a pricing floor being reached are becoming more evident with each issue.

Final pricing is expected for this cat bond in the coming days and the settlement is expected at the start of December when the first risk-period begins.

We will keep you updated as the Ursa Re Ltd. (Series 2014-1) catastrophe bond comes to market and all the deal information will be added to our cat bond and ILS Deal Directory.

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