Swiss Re sets ILS ‘milestone’ with $250m Blackstone cat bond deal
Global reinsurer Swiss Re’s capital markets unit has struck a “milestone” catastrophe bond deal with investment giant Blackstone that it says “expands the boundaries of the ILS market”. The transaction is Blackstone's first indemnity catastrophe bond and covers named storms and earthquakes in the US and Canada.
Swiss Re Capital Markets has structured and placed the issuance of $250 million of insurance-linked securities (ILS) issued with respect to certain real estate funds managed or controlled by affiliates of Blackstone under Wrigley Re.
The deal is the first corporate catastrophe bond covering named storms on an indemnity basis, and the first corporate catastrophe bond covering multiple countries, Swiss Re claimed.
Swiss Re Capital Markets structured the transaction via two classes of principal at-risk variable rate notes issued by Wrigley Re, a Bermuda exempted company licensed and registered as a special purpose insurer under the Bermuda Insurance Act 1978 and related regulations, each as amended.
The $100 million Series 2023-1 Class A notes provide protection on an indemnity per occurrence basis for named storms in the US and Canada and an indemnity annual aggregate basis for earthquakes in the US excluding California and Canada.
The $150 million Series 2023-1 Class B notes provide protection on an indemnity annual aggregate basis for earthquakes in California.
Both classes of notes have a three-year risk period starting July 28 2023 and introduce an innovative risk-based premium adjustment mechanism to adjust for changes in risk in the covered real estate portfolio.
The transaction is the first indemnity catastrophe bond by Wrigley Re on behalf of Gryphon Mutual Property Americas IC, which acted as insurer for real estate funds managed or controlled by affiliates of Blackstone.
Swiss Re Capital Markets acted as the sole structuring agent and joint bookrunner.
Jean-Louis Monnier, head of ILS at Swiss Re, said: "Swiss Re Capital Markets is proud to have set a milestone with the structuring of Blackstone's first indemnity issuance. This transaction is the result of a collaboration between Blackstone and ILS investors to develop a new solution that fits the challenges of an asset manager and expands the boundaries of the ILS market. It is a milestone in the ILS market's path to realise its potential as an efficient provider of peak peril capacity."
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