Swiss Re Insurance-Linked Fund Management

Original Risk: A Society for Change Agents

Further maturity extension for RenRe’s Fibonacci Re 2018 ILS notes


The remaining $15 million of notes issued in a 2018 transaction by reinsurance firm RenaissanceRe’s insurance-linked securities (ILS) vehicle Fibonacci Re Ltd. have had their maturity date extended further, as further clarity on potential losses is seemingly sought.

renaissance-reinsurance-logoRenaissanceRe’s catastrophe bond like Fibonacci Re Ltd. issuance structure has seen the maturity dates of a number of tranches of notes extended repeatedly, which we presume has been to allow collateral to be held while losses from recent years catastrophe events continued to develop.

It is clear that RenRe has been actively managing notes and collateral issued by Fibonacci Re Ltd., as they faced potential catastrophe loss impacts, using regular extensions of maturity and allowing some redemptions of principal when they could, as greater clarity emerged over whether any losses would be faced.

RenRe has been stepping down the level of collateral retained under the Fibonacci Re series of notes, enabling investor redemptions to continue.

RenRe allowed the final $3 million of collateral held and extended from the Fibonacci Reinsurance Ltd. Series 2017-1 Class A to mature last October and at the time also allowed a redemption of $5 million of principle from its Fibonacci Re Series 2018-1 notes, leaving just $15 million left.

But still that last $15 million of the 2018-1 tranche of Fibonacci Re ILS notes are not yet ready to be redeemed by their investors, as this was the riskiest tranche of notes and seems still exposed to potential losses as a result.

So another extension of maturity has been opted for, with the final $15 million of Fibonacci Reinsurance Ltd. Series 2018-1 Class A participating notes now extended three more months, with maturity now due April 14th 2020.

So that $15 million of outstanding reinsurance principal remains retained, just in case of any further loss development occurring that could result in a loss payment coming due.

The case of Fibonacci Re is more evidence of the structures in ILS working as intended, but also shows that the recovery process from prior year catastrophe events continues, albeit in some cases with capital returned to investors after a time, rather than being lost.

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