Swiss Re Insurance-Linked Fund Management

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First private cat bond issued from GC / MMC’s Isosceles ILS platform


This almost $16.5 million Isosceles Insurance Ltd. (Series 2020-A1) transaction is the first private insurance-linked securities (ILS) arrangement or catastrophe bond from the Marsh & McLennan Companies and reinsurance broker Guy Carpenter operated Isosceles Insurance Limited  transformer and segregated cell structure.

isosceles-triangle-isosceles-reIsosceles Insurance Limited has issued a single tranche featuring $16.445 million of Series 2020-A1 private ILS notes in a private placement to qualified investors.

The Isosceles Insurance (or Isosceles Re) platform was established as the latest private ILS and private cat bond, or cat bond lite) issuance platform of the broking group in early 2020, having already been a rent-a-captive structure the group inherited when it acquired JLT.

The Isosceles structure issues 4(2) or 4(a)(2) securities, which are private placements and so can include privately placed catastrophe bonds, insurance-linked securities (ILS) and the securitisation of other transformed collateralised reinsurance arrangements.

As with all private ILS arrangements, the details are lacking and we’ve had to make some assumptions about this first Isosceles private ILS in order to include it in our catastrophe bond Deal Directory.

Isosceles Insurance Ltd. has created and listed an ILS Notes Program on the Bermuda Stock Exchange (BSX), to enable it to issue more than one series of insurance-linked securities going forwards.

Then, the transformer and securitisation vehicle has listed a single tranche of notes, the $16.445 million of Series 2020-A1 notes, which are structured as discounted zero coupon notes, typical of private ILS transformation of a collateralised reinsurance or retrocession contract into something more liquid and investable as a security.

The notes seemingly have a term of around one-year, with a maturity date of May 1st 2021 detailed in their listing on the BSX.

As a result, we assume this could be linked to the mid-year renewals, likely featuring property catastrophe risks that have been transformed to provide an ILS fund or investor with an asset that meets its catastrophe bond mandates, while offering greater options in terms of secondary liquidity.

These private ILS or cat bond lite arrangements typically either feature risks from a primary insurance carrier being subject to a collateralised reinsurance agreement that is then transformed and securitised, to either be assumed by a single ILS fund or investor, or a small group of funds/investors.

Another use-case might be ILS fund-to-fund transactions, retrocession placement transformation, the transformation of a specific structure such as an industry-loss warranty (ILW), among other uses.

It’s not possible to understand if this was a bilateral agreement featuring a single ILS fund or investor, or a privately placed transaction that was marketed to a number of investors and funds.

We assume that reinsurance broker Guy Carpenter’s capital markets unit GC Securities will have assisted with structuring and acting as a bookrunner, where needed, for this first Isosceles Insurance Ltd. private ILS transaction.

Marsh Management Services will have acted as the insurance manager, we assume as well.

We should note, this is the first private ILS transaction from Isosceles Insurance that we have seen, there may have been previous transactions that did not come to our attention.

We’ve listed this Isosceles Insurance Ltd. (Series 2020-A1) private ILS or private catastrophe bond transaction in our extensive Deal Directory, where you can find details on roughly 680 cat bond and ILS transactions dating back to 1996.

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