Bermudian reinsurance firm and third-party capital manager RenaissanceRe has opted for another extension of maturity for the remaining insurance-linked securities (ILS) notes from its Fibonacci Re Ltd. vehicle’s 2017 and 2018 issuances.
The catastrophe bond like structure has seen its maturity dates extended repeatedly, presumably to allow for the collateral to be held while losses from recent years catastrophe events continue to develop.
There are just $23.3 million of the two Fibonacci Re 2017 and 2018 tranches remaining.
The first tranche of ILS notes were issued at the January 2017 renewals by Fibonacci Re, a $140 million tranche of Series 2017-1 Class A participating ILS notes.
These notes were supposed to be on-risk for just one year, with maturity at January 10th 2018. But, after the 2017 hurricanes and other catastrophe events, while $136.7 million of the notes were allowed to mature at the scheduled time, the remaining $3.3 million of 2017-1 Class A outstanding notes were extended.
It later emerged that RenaissanceRe had also faced losses to the 2018 Series issuance from Fibonacci Re, so it allowed $50 million of the $70 million Fibonacci Re 2018-1 notes to mature at the scheduled time in January 2019, retained and extended $20 million of the notes through until April.
The impacts of 2018 catastrophe losses were the driver for this extension of maturity, with the wildfires in California possibly the deciding loss event that drove RenRe to hold back the collateral from this issuance.
Fibonacci Reinsurance Ltd. is RenRe’s sidecar-like special purpose reinsurance vehicle designed to provide ILS investors and fund’s under the management of the reinsurer with a source of catastrophe bond-like investments in property catastrophe and non-natural peril property risks.
Given their broad exposure to property risks, likely through shares in contracts written by RenRe or perhaps quota shares with the parent, Fibonacci Re had exposure to all of the natural catastrophe events that occurred over recent years.
These two layers, the 2017-1 and 2018-1 seem to have been the highest risk, or most junior, offered by Fibonacci Re, given they are the two remaining exposed with their collateral held and maturity extended, when another $125 million tranche of Fibonacci Re 2018-2 notes that were issued in June 2018 were allowed to fully mature at the end of 2018, as they had no exposure remaining.
The remaining $3 million of Fibonacci Re 2017-1 Class A notes and $20 million of Fibonacci Re 2018-1 Class A notes have now both had their maturity extended through to October 10th 2019, giving further time for any ongoing loss creep and development to occur.
We had heard it suggested that RenaissanceRe might look to issue further Fibonacci Re notes at the mid-year 2019 renewals, having not issued any in January this year, but that hasn’t come to light at this time.
The last issuance from Fibonacci Re was in June 2018, the 2018-2 notes which were already allowed to mature.
It’s not clear at this time whether Fibonacci Re has been laid to rest, following its loss exposure, or whether it may be utilised by RenRe again in future as a vehicle for providing cat bond like returns to third-party reinsurance capital investors.