Bermudian reinsurance firm RenaissanceRe is set to add to the amount of insurance-linked securities (ILS) notes from its Fibonacci Re Ltd. vehicle that have had their maturity extended, with $20 million from its 2018-1 issuance set to be held back while catastrophe losses from this year develop.
The reinsurance firm will allow $50 million of the $70 million Fibonacci Re 2018-1 notes to mature at the scheduled time in January, but the remaining $20 million will have their maturity extended, we understand.
These notes have been on-risk through this year, so the impacts are not from the same events as RenRe’s extended 2017 tranche of notes.
Fibonacci Reinsurance Ltd. is RenaissanceRe’s sidecar-like special purpose reinsurance vehicle, that provides 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 risks.
This sidecar-like vehicle issued its first tranche of notes at the January 2017 renewals, with a $140 million tranche of Series 2017-1 Class A participating ILS notes.
This $140 million tranche had been scheduled to be on-risk for one year, with maturity at January 10th 2018. But along came the 2017 hurricanes and other catastrophe events and when maturity approached only $136.7 million of the notes were allowed to mature, with the remaining $3.3 million of 2017-1 Class A outstanding notes extended to the 10th April 2018.
The Fibonacci Re 2017 notes were not allowed to mature in April either, having their maturity extended again to July 9th 2018, clearly to allow for this loss development to continue. Then were extended further to October 10th, as loss development clearly continued and finally into 2019 to January 10th.
Now, RenaissanceRe has further extended the maturity on this remaining $3.3 million of Fibonacci Re 2017-1 notes, with them now extended to 10th April 2019.
The 2018-1 note extension is new though, as this tranche had seemed free from losses until now.
The $70 million of Fibonacci Re 2018-1 notes were issued at the beginning of 2018, and slated for maturity as of January 10th 2019.
We understand that the extension of $20 million of these notes will be due to then impacts of 2018 catastrophe losses, with the wildfires in California potentially the event that has created the need to only redeem part of the tranche and to extend maturity on the $20 million that is left.
The maturity date for the remaining $20 million of Fibonacci Re 2018-1 notes has now been set for 10th April 2019.
At the same time, RenRe has allowed the $125 million of Fibonacci Re 2018-2 notes that were issued in June this year are being fully matured as of their due date of December 20th, suggesting that this tranche has not faced any losses at all.
After that maturity there is now just the $3.3 million of Fibonacci Re 2017-1 ILS notes and the extended $20 million of Fibonacci Re 2018-1 notes left, both with maturity now set for April 10th.
It will be interesting to see whether RenaissanceRe issues more notes through Fibonacci Re around this January renewal season.