Swiss Re Insurance-Linked Fund Management

Original Risk: A Society for Change Agents

Ibis Re II Ltd. catastrophe bond rated and closes


As we wrote yesterday, the Ibis Re II Ltd. Series 2012-1 catastrophe bond from sponsor Assurant has closed at an upsized $130m. This two tranche cat bond transaction, issued by Cayman Islands domiciled Ibis Re II, will provide sponsor Assurant with three years of U.S. hurricane cover on a per-occurrence, industry loss basis. This is Assurants third Ibis Re cat bond transaction and they have become a regular participant in the market.

The trigger for the transaction is a county-weighted industry loss index which uses the Verisk Catastrophe Index, the first transaction to use this new tool. The county-weighting should give a greater resolution of losses and more flexibility within the geographic coverage the deal affords.

In our article yesterday we revealed that the deal had upsized as the Class A tranche had grown from $70m to $100m in size. The Class B tranche remained at $30m in size. The two tranches cover different levels of industry losses, Class A has an attachment point of $1.05 billion and Class B at $610m.

The $100m of Series 2012-1 Class A notes will pay a coupon of 8.35% above money market funds to investors and was rated ‘BB-‘ by Standard & Poor’s. The $30m of Class B notes, which are more risky with a lower attachment point, will pay a coupon of 13.5% above money market funds and were rated ‘B-‘ by S&P.

It’s encouraging to see Assurant becoming a regular sponsor of catastrophe bonds. Ibis Re II has been set up as a programme which could allow for further issuances from the SPV if Assurant desires, so it is likely we will see another Ibis Re cat bond within the next year or so.

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