ART Deal Directory
ART Deal Directory lists most of the major insurance securitisation, catastrophe bond and reinsurance capital market deals which have taken place. Latest deals
| Cedent | Placement Agent | Capacity | Coverage Details | Date | |
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Federal Insurance Company / Chubb Group SPV: East Lane Re II Link Source: Business Insurance |
AIR Worldwide provided risk modelling. | $200m | Chubb Group has issued the second deal in the East Lane series. The first two tranches of notes provide multi-year coverage against certain hurricane, earthquake, thunderstorm, winter storm, wildfire, or other events (other events include: fire, explosion, lightning, volcanic actions, mudslides, the overflowing of a body of water, falling objects, the direct impact of aircraft and collapse of building) in the northeast U.S. The third tranche covers against events in the whole U.S. and Canada. East Lane II's losses will be linked to the actual loss suffered by Federal Insurance Company and other members of the Chubb Group. Standard & Poor's have rated the notes (tranches a and b rated BB, tranche c rated B-), saying that this is the first time they have rated a deal which includes modelled wildfire events. The deal provides three years of coverage through Cayman Islands based special purpose vehicle East Lane Re II up to April 2011. |
Apr '08 |
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Munich Re SPV: Queen Street Link Source: Munich Re |
Munich Re Capital Markets acted as placement agent. | $267.7m | Munich Re has issued a €170m catastrophe bond through a newly established programme. Following on from previous Munich Re transactions, peak windstorm risks are again being placed on the capital market, via a first tranche with a volume of €100m. Standard & Poor’s has given the tranche a B rating. A second tranche with a volume of €70m securitises windstorm frequency losses (so-called aggregate XL) for the first time. The aggregate XL tranche was given a BB+ rating by Standard & Poor’s. |
Mar '08 |
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Munich Re SPV: Nathan Ltd. Link Source: Munich Re |
JP Morgan managed the deal. | $1.5bn | Munich Re has established a bond programme amounting to US$ 1.5bn for the transfer of extreme mortality risk to the capital markets. The first five-year series of US$ 100m of Principal-At-Risk Variable Rate Notes issued by Nathan Ltd. ("Nathan") has now been successfully priced at LIBOR plus 1.35%. The programme is designed to protect Munich Re against large losses deriving from an exceptional rise in mortality rates after major pandemics or similar events across the United States, Canada, England and Wales, and Germany. | Feb '08 |
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Catlin SPV: Newton Re Ltd Link Source: Catlin |
Willis Capital Markets acted as co-lead manager. RMS provided risk analysis and modeling. |
$150m | This transaction is unusual as it provides retrocessional ‘catastrophe bond’ type coverage for a diverse portfolio of property catastrophe exposures on an indemnity basis. As it would be triggered by Catlin’s actual losses, it reduces the basis risk present in most index-based or parametric-based catastrophe bond products. The coverage, which expires on 31 December 2010, will be triggered if Catlin’s losses from defined US windstorms and earthquakes, European windstorms, and Japanese windstorms and earthquakes exceed an annual aggregate threshold amount. |
Feb '08 |
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Swiss Re SPV: Redwood Capital X | ? | $498.6m | The latest deal in the Redwood Capital series covering california earthquake risks for Swiss Re. | Dec '07 |
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Swiss Re SPV: Globecat Ltd. Link Source: Reuters Link 2 (from EQECAT) |
Swiss Re acted as sole book runner. | $85m | The bond is the first ever linked to Central American earthquakes. As part of an ongoing program, Swiss Re’s Capital Markets structured and placed the securitisation and acted as the sole book runner for the initial USD 85 million offering. The first two tranches of the issuance cover losses due to catastrophic hurricanes and earthquakes in the United States. The third tranche covers the non-peak perils of Guatemala and EL Salvador earthquakes. The trigger is the first of its kind in that the index is based on the population exposed to certain levels of ground-shaking intensity as measured by the Modified Mercalli Intensity scale. The goal of the GlobeCat Ltd securitisation is to create a platform and a model by which charitable foundations, governmental relief organizations and corporations can leverage donations or governmental/international funding to the benefit of developing nations affected by natural disasters. Such a program will help these organizations in becoming more pro-active in planning and anticipating relief needs in areas of the world affected by severe catastrophes. In case of a triggering event, the funds will be quickly available for relief efforts rather than being raised after the event. |
Dec '07 |
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Groupama SPV: Green Valley Ltd. Link Source: Swiss Re Link 2 (Zibb.com) |
Swiss Re acted as lead manager. RMS provided risk modeling and analysis. |
$288m | This deal is part of a three-year reinsurance agreement between the two companies that was arranged by Swiss Re Capital Markets. The French windstorm issuance is part of a securitization program of up to 800 million euros, which provides a fully collateralized, multiperil and multiyear platform for Groupama risks. According to Swiss Re, this will enable it to support Groupama's risk management strategy and to satisfy future cover needs. In case of a windstorm in France, the program would pay a claim triggered by a parametric index based on wind speeds at various locations |
Dec '07 |
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Catlin SPV: Newton Re Link Source: Insurance Journal |
JP Morgan and Aon Capital Markets lead the deal. Property Claims Services provided risk analysis. |
$225m | The transaction provides Catlin with "competitively priced and fully collateralized protection amounting to $87.5 million in the event of a severe US earthquake and $137.5 million in the event of a severe US hurricane. The coverage complements the catastrophe protection that Catlin purchases through the commercial reinsurance market as well as the three-year catastrophe swap agreement that Catlin Bermuda completed in November 2006". | Dec '07 |
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Scor Global P&C SE SPV: Atlas Re IV Link Source: Insurance Broadcasting |
Goldman Sachs acted as lead manager. EQECAT provided risk analysis. |
$235m | The fourth catastrophe risk securitization under the Atlas series, buying three-year parametric cover of €160m to protect its exposure to European windstorm and Japanese earthquake. This contract will provide for payments to SCOR if a windstorm of a certain magnitude occurs within predefined countries of Europe, or if an earthquake of a certain magnitude occurs within Japan. The payment received from SCOR under the retrocessional contract and the proceeds from the total return swap with Goldman Sachs International are used to make the scheduled payments to the holders of the notes. SCOR will pay the up-front and ongoing expenses of Atlas Re IV in connection with this securities issuance. |
Nov '07 |
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Allianz SE SPV: Blue Fin Ltd Link Source: Forbes |
Lead manager Morgan Stanley. Risk analysis and modeling by RMS. |
$290.7m | This parametric triggered deal covers Allianz SE against european windstorms (Austria, Belgium, France, Germany, Ireland, the Netherlands and the UK). |
Nov '07 |
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Muinch Re / East Japan Railway Company SPV: Midori Re |
Aon Capital Markets managed the deal. EQECAT provided risk analysis. |
$260m | This deal covers the East Japan Railway Caompany against earthquake risks and business interruption. Utilises a parametric trigger. | Oct '07 |
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Arrow Capital Re SPV: Javelin Re |
? | $125.3m | U.S., European and other perils. The Javelin Re transaction uses an indemnity trigger to provide protection for multiple perils, including small amounts of perils either not modeled or modeled only with Arrow’s proprietary models. Arrow supplemented internal modeling with a peer review performed by a third-party modeling firm. |
Jun '07 |
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State Farm SPV: Merna Reinsurance Ltd. Link Source: Lloyds.com |
? | $4bn | Merna Reinsurance Ltd. transfers $4 billion of natural catastrophe risk from State Farm, the largest homeowners and auto insurer in the U.S., to investors, either as bonds or as loans. The notes mature in three years and pay off for investors if State Farm's aggregate catastrophe losses in the three-year period remain below a certain dollar amount. This transaction effectively transfers a portion of State Farm's risk of natural catastrophe losses in the U.S. and Canada including hurricane, earthquake, tornado, hail, winter storm and brush fire to the capital markets. Thus, the rated securities are indemnity-based catastrophe bonds that provide cumulative, three-year aggregate excess of loss protection. |
Jun '07 |
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Swiss Re SPV: Fusion Ltd |
? | $140m | The variable-rate notes issued by Fusion Ltd., partly sponsored by Kyoei Fire&Marine Insurance Co. (KFMI). Through this transaction, Swiss Reinsurance Co., as the counterparty, has bought fully collateralized retrocession protection against high severity losses incurred from typhoons in Japan in connection with a reinsurance contract it entered into with KFMI, and against high severity losses incurred from earthquakes in Mexico. | Jun '07 |
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Brit Insurance SPV: Fremantle Ltd Link Source: Brit Insurance |
Developed in conjunction with MMC Securities Ltd., an affiliate of Guy Carpenter & Company Inc. and Risk Management Solutions Inc. who also act as the Event Calculation Agent. | $240m | Brit Insurance Limited has entered a three-year catastrophe swap contract with Fremantle Limited, a Cayman Islands exempted company, that would pay BIL up to US$200 million in the event of four to nine qualifying natural catastrophes. Fremantle will pay BIL US$40 million for each of the 4th and 5th events and US$30 million for each of the 6th to 9th events. The first three events are excluded. The collateralized multi-event cover is for U.S. earthquake and hurricane risk, Japan earthquake and typhoon risk, and Europe windstorm risk. |
Jun '07 |
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Swiss Re SPV: Spinnaker Capital Ltd |
$380.2m | The bond covers US hurricane perils excluding Florida. | Jun '07 | |
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Allstate Insurance Company SPV: Willow Re Ltd Link Source: Business Wire |
Risk modeling provided by AIR Worldwide. | $250m | Under the reinsurance agreement, the issuer will provide Allstate with up to $250 million of aggregate protection over a three-year period beginning June 15, 2007, when the event index value caused by a U.S. hurricane event occurring in the Northeast territory (defined as Connecticut, New Jersey and New York) exceeds a specific attachment point. Calculation of the event index value amount is formula-driven, which takes into consideration specific state payout factors; the industry loss amount applicable to the covered event as published by the Property Claim Services (PCS), a provider of catastrophe information for the property/casualty insurance industry; and a pre-determined automobile loss gross-up factor. In exchange for receiving the multi-year reinsurance coverage, Allstate will make periodic premium payments to the issuer. | Jun '07 |
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Glacier Re SPV: Nelson Re Ltd Link Source: Glacier Re |
$75m | Nelson Re is a newly formed Cayman Islands exempted insurance company, set up by Glacier Re as the issuer of catastrophe bonds under a $1.5bn catastrophe bonds shelf programme. The first issuance of the Series 2007-I Notes has been capitalised by raising $75 million in the form of bonds from a group of institutional investors. The bonds have been rated “B” by Standard & Poor’s Rating Services and “b-“ by A.M. Best Company. Nelson Re has entered into a reinsurance agreement with Glacier Re under which it will provide fully collateralised reinsurance protection. The reinsurance agreement will initially provide Glacier Re with excess of loss protection for three major perils: US Earthquake, US Windstorm and Europe Windstorm. Glacier Re and Nelson Re may enter into reinsurance agreements covering other perils in the future. |
Jun '07 | |
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USAA SPV: Residential Re 2007 |
? | $600m | The latest deal from USAA covering multiple perils in the U.S. |
Jun '07 |
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Swiss Re SPV: MedQuake Ltd Link Source: Forbes |
Underwritten by Swiss Re Capital Markets. | $100m | This deal comprised 100 mln usd worth of protection against earthquake claims from MedQuake Ltd, sponsoring the first Mediterranean earthquake risk bond. Under the terms of the agreement, MedQuake will issue principal at-risk variable rate notes covering severe earthquake risk in Turkey, Greece, Israel, Portugal and Cyprus for the period May 2007 through May 2010. |
Jun '07 |
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Nephila Capital SPV: Gamut Re Link Source: Business Insurance Link 2 (from Nephila Capital) |
Underwritten by Goldman Sachs and Swiss Re Capital Markets. AIR Worldwide provided some risk modeling. |
$310m |
Gamut Re is a sidecar type vehicle which can "participate in the property catastrophe reinsurance and catastrophe bond markets until the end of 2009," the statement added.
"The funds raised by Gamut Re will be used to source a diversified portfolio of natural catastrophe risks which will be managed using collateralised debt obligation (CDO) technology. Its unique structure leverages the resources of Nephila Capital's expertise in the catastrophe bond, industry loss warranty, and reinsurance markets." |
Jun '07 |
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Liberty Mutual SPV: Mystic Re II |
RMS provided risk modeling and analysis. | $150m | The second Mystic deal from Liverty Mutual giving index based coverage for hurricanes in the covered area (Florida and all states that border the Atlantic from Maryland to Maine, plus Vermont and Washington D.C.) on a per occurrence basis over a four-year period. | May '07 |
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Mitsui Sumitomo SPV: Akibare Ltd. Link Source: Mitsui Sumitomo |
Swiss Re Capital Markets structured and managed the deal. RMS provided risk modeling and analysis. |
$120m | Akibare Ltd is a parametric securitization of Japan typhoon risk that uses 10-minute mean wind speeds, observed over 900 stations of the Automated Meteorological Data Acquisition System (AMeDAS) network in Japan to calculate peak gust wind speeds. Risk Management Solutions has designed the trigger mechanism and performed the risk analysis. |
May '07 |
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Travelers SPV: Longpoint Re Link Source: Travelers |
RMS provided risk modeling and analysis. | $500m | This program was established by Travelers to provide reinsurance protection for its insurance subsidiaries for losses resulting from hurricanes and certain other catastrophes in the United States. Travelers may obtain reinsurance under the program by entering into one or more reinsurance agreements with Longpoint Re Ltd., a newly formed independent Cayman Islands insurance company. Longpoint Re successfully completed an offering to unrelated investors under the program of $500 million aggregate principal amount of catastrophe bonds on May 8, 2007. In connection with the offering, Travelers and Longpoint Re entered into a three-year reinsurance agreement providing up to $500 million of reinsurance from losses resulting from certain hurricane events in the northeastern United States. Amounts payable under the reinsurance agreement will be based on an index created by applying predetermined percentages to insured industry losses in each state in the covered area as reported by Property Claim Services. |
May '07 |
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Chubb Group SPV: East Lane Re Ltd. Link Source: Business Wire |
AIR Worldwide provided risk modeling. | $250m | Under the reinsurance agreements, the issuer will provide the ceding insurer with up to $250 million of aggregate indemnity protection over a four year period beginning May 1, 2007, when losses covering residential property caused by individual northeast hurricanes meet or exceed a pre-established attachment point. In exchange for receiving the multi-year reinsurance coverage, the ceding insurer will make periodic premium payments to the issuer. The reinsurance attachment point, exhaustion point, layer and insurance percentage (collectively, the reset output) will be re-calculated on November 1 of 2007, 2008 and 2009, using updated portfolio data as of September 1 of 2007, 2008 and 2009. | Apr '07 |
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Aspen Insurance SPV: Ajax Re Ltd. Link Source: Business Wire |
Willis Capital Markets acted as co-lead manager. Lehman Brothers acted as initial purchaser and bookrunner. | $100m | Aspen entered into a multi-year property catastrophe reinsurance agreement with Ajax Re Limited to provide up to $100 million of reinsurance coverage for Aspen's insurance subsidiaries in the event of one or more California earthquakes. | Apr '07 |
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Allianz Global Corporate Speciality SPV: Blue WingsLtd Link Source: PR Domain Link 2 (from RMS) |
RMS provided risk analysis. | $150m | This innovative catastrophe bond transfers the risk of severe river floods in Great Britain and earthquakes in Canada and the US excluding California. This cat bond holds two risks: first, earthquake in Canada and the US excluding California, using a "modeled loss" trigger and second, river flood in Great Britain using a second-generation parametric index trigger, the innovative part of the project. The index for flood is based on flood depths that will be calculated in more than fifty locations across Great Britain and was developed with the technology of RMS. As part of the post-event process, Halcrow Group, a British engineering company, will provide the information necessary for the index calculation, the ultimate value of which will determine whether or not investors are losing part of their investment. |
Apr '07 |
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ACE American Insurance Ltd SPV: Calabash Re II Ltd |
? | $250m | The latest deal in the Calabash series from ACE covering U.S. hurricane, earthquake and other perils. | Jan '07 |
