Swiss Re Insurance-Linked Fund Management

Original Risk: A Society for Change Agents

Green Fields II Capital cat bond grows to €280m and prices down


French insurer Groupama’s latest catastrophe bond transaction Green Fields II Capital Ltd. (Series 2013-1) has been the recipient of strong investor demand, almost doubling in size while marketing to €280m in size. At the same time the price guidance has been lowered right at the bottom end of the originally marketed range.

The Green Field II Capital cat bond will provide reinsurance protection through a risk transfer contract with Swiss Re, and ultimately to cedent Groupama, on a per-occurrence basis against losses from French windstorms over a 3.5 year risk period. The notes are exposed to French windstorm risks on an industry loss and per-occurrence basis, with the trigger being a PERILS AG industry loss index.

When the deal was launched it had a single tranche of Series 2013-1 Class A notes with a preliminary size of €150m. The transaction has clearly been popular, perhaps as it offers a true diversifier and a non-U.S. peril, and investors look set to help Groupama upsize the deal by almost 87% to €280m.

At the same time as increasing in size the price guidance has been reduced right down to the lower end of the original range. The notes began marketing with a coupon price guidance range of 2.75% to 3.25%, but we understand that to have been reduced to the bottom end and the notes are now being offered with a coupon of 2.75%, an 8.3% drop in pricing from the original mid-point.

The deal will price before the end of this week and is currently due to settle on the 1st July we understand, which does mean that this cat bond will not count towards Q2 and first-half cat bond issuance volume if the settlement date is indeed in July.

Full details can be found in our catastrophe bond Deal Directory and we will update you further as the Green Fields II Capital Ltd. (Series 2013-1) catastrophe bond completes.

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