Swiss Re Insurance-Linked Fund Management

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Two Resilience Re private cat bond maturities extended another year


The maturity dates for two private catastrophe bonds that were issued through the Willis Towers Watson operated Resilience Re Ltd. platform have been extended by another year, to allow for ongoing development of losses to the subject business.

extension-cordThe private cat bond transactions in question are a $173 million Resilience Re Ltd. (Series 1741A) and a $37 million Resilience Re Ltd. (Series 1861A), both of which were issued as zero coupon notes using the Willis Re Securities private issuance platform.

The Resilience Re 1741A transaction first had its maturity extended in April 2018, as impacts from the 2017 catastrophe events looked likely to cause the deal to be triggered, we understand.

This deal then saw its maturity extended again in September 2019, through to May 2020, to allow for loss development to continue.

Now, the $173 million Series 1741A tranche of discounted zero-coupon participating notes issued by Resilience Re Ltd. have had their maturity extended out by another year, with maturity now slated for April 6th 2021.

The $37 million Series 1861A tranche of discounted zero-coupon participating notes issued by Resilience Re Ltd. first saw a maturity extension in June 2019, as its date was pushed out to June 6th 2020, presumably to allow for potential loss development following the catastrophe events of 2018.

These notes have now had this extended by another year, with the maturity for the Resilience Re 1861A tranche of notes now extended right out to June 7th 2021.

While long extensions are not what investors and ILS fund managers are hoping for with catastrophe bonds, sometimes it makes sense to allow enough time for the losses under the reinsurance contract to really develop and the eventual ultimate to become clearer, rather than repeatedly extending maturity every three months.

So, the retention of collateral from these private cat bond deals continues, as the unknown sponsors have opted for longer extensions to allow for development to continue.

It seems likely these Resilience Re cat bonds provide aggregate reinsurance or retrocession coverage, as with so many qualifying U.S. loss events in 2017 (the hurricanes and wildfires mainly) and again in 2018, it can take a significant amount of time for losses and industry loss estimates to be finalised.

The fate of these catastrophe bonds remain unknown, but we have them all listed on our page detailing catastrophe bond defaults and potential payouts.

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