Swiss Re Insurance-Linked Fund Management

Original Risk: A Society for Change Agents

Green Fields II Capital cat bond rated and lists in Ireland


French insurer Groupama’s latest catastrophe bond deal, Green Fields II Capital Ltd. (Series 2013-1), has now completed successfully, received its credit rating from S&P and the issued have been admitted for listing in Ireland. The cat bond is actually sponsored by Swiss Re, but the protection ultimately is for Groupama.

With this cat bond issuance, Irish domiciled SPV Green Field II Capital Ltd. 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 risk transfer contract has been collateralized through the sale to capital market investors of a single tranche of Series 2013-1 cat bond notes, which 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 this cat bond launched the tranche of notes had a preliminary size of €150m, but by the time it completed the deal had upsized by almost 87% to €280m (almost USD $365m). At the same time the interest spread that the notes were offered with was reduced to the bottom end of the originally marketed range of 2.75% to 3.25%, to complete offering investors a return of 2.75% above the collateral investment return, a multiple of just over 3.2 times the notes expected loss of 0.85%.

Standard & Poor’s said that it assigned its ‘BB (sf)’ issue credit rating to the €280 million variable-rate principal-at-risk series 2013-1 class A notes issued by Green Fields II Capital Ltd.

The tranche of notes was admitted for listing to the Irish Stock Exchange yesterday, the 1st July.

You can read all about the Green Fields II Capital Ltd. (Series 2013-1) catastrophe bond in our Deal Directory. With the completion of this cat bond we now record 2013 cat bond issuance as having reached $4.45 billion.

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