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RenRe’s remaining Fibonacci Re 2017 ILS notes extended again


The remaining in-force notes of Bermudian reinsurance firm RenaissanceRe’s $140 million of Series 2017-1 notes issued by Fibonacci Reinsurance Ltd. have been extended again, presumably as loss development continues.

Fibonacci Reinsurance Ltd. is RenaissanceRe’s sidecar-like special purpose reinsurance vehicle, that provides investors and fund’s under RenRe’s management with catastrophe bond-like investments in property catastrophe and non-natural peril risks.

Fibonacci Re made its first issuance in time for the January 2017 renewals, when the sidecar-like vehicle issued a $140 million tranche of Series 2017-1 Class A participating ILS notes.

The $140 million tranche was scheduled to be on-risk for a year, with its maturity scheduled for January 10th 2018, but at maturity $136.7 million of the notes were allowed to mature, while the remaining $3.3 million of 2017-1 Class A outstanding notes had their maturity extended to the 10th April 2018.

Now those remaining $3.3 million of Fibonacci Re 2017-1 Class A notes have had their maturity extended again, this time to July 9th 2018.

It’s assumed that this small slice of the transaction faces some losses from 2017’s major catastrophe events and RenRe has extended the maturity to allow for losses to develop, or industry loss estimates to be finalised.

There is another $45 million Class B tranche of Series 2017-1 notes from Fibonacci Reinsurance still in force which are scheduled for maturity on June 8th 2018. At that time we will get to see whether the Class B Fibonacci tranche was also exposed to and faces potential losses from the catastrophes of 2017.

For more details on reinsurance sidecar transactions and investments view our list of collateralized reinsurance sidecars. For details of catastrophe bonds and similar ILS deals visit our Deal Directory.

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