A new mortality catastrophe bond transaction is in the market, as life insurer and part of the Securian Financial Group, Minnesota Life Insurance Company looks to the capital markets for $100 million of more of mortality related life reinsurance through a La Vie Re Limited (Series 2020-1) deal.
Mortality catastrophe bonds remain relatively rare, only contributing a small amount of the outstanding market these days.
Minnesota Life Insurance Company has looked to insurance-linked securities (ILS) as a way to add efficient stop loss mortality reinsurance coverage, with the help of structurer and bookrunner Willis Re Securities, we understand.
La Vie Re Limited, a Bermuda based company, will issue a single $100 million or greater tranche of Series 2020-1 notes, that will be sold to investors and the proceeds used to collateralize an excess-of-loss reinsurance agreement between it and Securian’s captive reinsurer 1880 Reinsurance which is based in Vermont, we’re told.
1880 Reinsurance is already engaged in a quota share reinsurance arrangement with ceding company Minnesota Life.
The transaction will provide extreme mortality coverage, on a loss ratio basis, we understand from sources, so the collateral will be used to provide a stop loss type of reinsurance above a pre-defined loss ratio it seems.
The notes will have a three-year term, with the reinsurance coverage provided running to the end of September 2023.
The $100 million of Series 2020-1 Class A notes issued by La Vie Re Ltd. will have an initial expected loss of 0.17% on a modelled basis, we understand, with the loss ratio trigger set at 110%.
Investors will be offered the notes with price guidance in a range from 2.5% to 3%, we’re told.
That’s all we’ve managed to glean on this intriguing new mortality cat bond at this time.
It’s encouraging to see a new sponsor coming to market, recognising the value in securitizing some of its life insurance risk and transferring it to ILS investors as a way to secure mortality reinsurance protection for its book.
It’s also encouraging to see a mortality catastrophe bond deal come to market during a pandemic, as it shows the appetite is still there to assume life risks in the investor community.