ILS
News in brief
The year 2020 may be drawing to a close but there has been no sign of things slowing down in the ILS market, with plenty of new products being launched and executives changing jobs. Here are some of the key ILS stories covered in Bermuda:Re+ILS in recent weeks.
Hamilton Insurance Group has launched Ada Capital Management, a Bermuda-regulated insurance agent authorised to underwrite on behalf of Ada Re, a newly-formed, Bermuda-registered special purpose insurer.
Ada Re has secured capital commitments and will provide capacity for high-return collateralised retrocessional reinsurance contracts on a market-facing basis, subject to regulatory approvals. It will have access to Hamilton’s underwriting expertise and will operate in addition to Hamilton’s existing sidecar Turing Re and other third-party capital initiatives within the Hamilton ILS platform.
Hiscox has appointed Kathleen Reardon as chief executive of Hiscox Re & ILS, succeeding Mike Krefta, who is set to step down from the position in early 2021.
Reardon was most recently chief executive officer of Hamilton Re. She spent her early career at ACE in a variety of actuarial and underwriting roles, rising to chief underwriting officer for international property at ACE Tempest Re in Bermuda in 2005. She joined Hamilton Re in 2013 as chief underwriter for property, and was appointed chief executive in 2014, a post she held until 2020.
At Hiscox Reardon will sit on the Hiscox group executive committee and will be based in Bermuda, leading the reinsurance and ILS teams, which operate from Bermuda and London.
PartnerRe has hired Andrew Hughes as its new chief executive of third party capital.
Hughes is based in Bermuda and reports to Jacques Bonneau, president and chief executive of PartnerRe. He is also a member of the executive leadership team.
Hughes joins from Hiscox ILS where he held the role of managing principal since July 2019, before which he was general counsel and chief compliance officer since 2015. Before joining Hiscox ILS he was senior counsel for QIC in Queensland, Australia, a diversified alternatives asset manager.
Strategic Risk Solutions has named Matthew Charleson as chief operating officer of fund services and ILS. Charleson took up his new position on December 7, 2020 and will be based in Bermuda, reporting to Jonathan Reiss, with whom he previously worked at EY.
He assumes responsibility for developing and implementing SRS’s services within the ILS sector of the re/insurance industry in key jurisdictions, including Bermuda, Cayman, Europe and the US.
Charleson joins from Apex where he was managing director and head of insurance fund services. He has also held senior fund administration and insurance management roles at Kane LPI Solutions and Prime Management.
NMI Holdings (NMIH) has priced a $242 million deal for 10-year mortgage insurance-linked notes (ILNs), issued by Oaktown Re V, a newly formed Bermuda special purpose insurer.
The ILNs consist of $69,676,000 class M-1A notes with an initial interest rate of one-month Libor plus 2.40 percent; $78,764,000 class M-1B notes with an initial interest rate of one-month Libor plus 3.60 percent; $78,764,000 class M-2 notes with an initial interest rate of one-month Libor plus 5.25 percent; and $15,147,000 class B-1 notes with an initial interest rate of one-month Libor plus 7.00 percent.
NMIH’s wholly owned subsidiary, National Mortgage Insurance Corporation, will receive $242 million of fully collateralised excess of loss reinsurance protection from Oaktown Re V, covering an existing portfolio of mortgage insurance policies written primarily from April through September 2020.
Genworth Mortgage Insurance Corporation has obtained $349.6 million of fully collateralised excess of loss reinsurance coverage from Triangle Re 2020-1, the Bermuda-based special purpose insurer.
The coverage offers protection for a portfolio of existing mortgage insurance policies written from January 2020 through August 2020. Triangle Re funded its reinsurance obligations by issuing five classes of mortgage insurance-linked notes (ILNs), which have a 10-year legal final maturity with a seven-year call option.
The ILNs consist of: $134,854,000 class M-1A notes with a coupon equal to one-month Libor plus 300 basis points; $54,940,000 class M-1B notes with a coupon equal to one-month Libor plus 390 basis points; $59,935,000 class M-1C notes with a coupon equal to one-month Libor plus 450 basis points; $74,919,000 class M-2 notes with a coupon equal to one-month Libor plus 560 basis points; and $24,973,000 class B-1 notes with a coupon equal to one-month Libor plus 775 basis points.
Swiss Re Capital Markets has structured and placed $775 million of ILS by Ursa Re II, to be used for the protection of the California Earthquake Authority (CEA).
Swiss Re Capital Markets underwrote the transaction through two classes of principal-at-risk variable rate notes issued by Ursa Re II, a Bermuda-based special purpose insurer. It was the largest catastrophe bond issuance of 2020 and the largest transformer structure in the history of the ILS market.
In the deal CEA entered two reinsurance agreements with Swiss Re which, as a transformer, ultimately transferred the risk via two retrocession agreements to Ursa Re II, to give protection on an annual aggregate, indemnity basis, against residential home earthquake damage in California.
Ursa Re II collateralised its liabilities under the retrocession agreements via the issuance of $425 million class AA notes and $350 million class D notes. Both classes have three loss occurrence periods starting 17 October 2020 and ending 30 November 2023.
Radian Guaranty has obtained $390 million of fully collateralised excess of loss reinsurance coverage from Eagle Re 2020-2, a Bermuda-based special purpose insurer.
The excess of loss reinsurance covers eligible mortgage insurance policies written by Radian Guaranty in October 2019 through July 2020, excluding single premium payment policies.
Eagle Re funded its reinsurance obligations by issuing five classes of mortgage insurance-linked notes (ILNs) with a 10-year maturity and seven-year call option.
The ILNs are non-recourse to Radian Group and its subsidiaries and affiliates. They comprise $130,108,000 class M-1A notes with a coupon equal to one-month Libor plus 300 basis points; $65,054,000 class M-1B notes with a coupon equal to one-month Libor plus 400 basis points; $65,054,000 class M-1C notes with a coupon equal to one-month Libor plus 450 basis points; $97,581,000 class M-2 notes with a coupon equal to one-month Libor plus 560 basis points; and $32,527,000 class B-1 notes with a coupon equal to one-month Libor plus 700 basis points.
Willis Re Securities and Willis Re have structured and placed $100 million of ILS for Minnesota Life, a life insurance subsidiary of Securian Financial Group.
La Vie Re provides Minnesota Life and Securian Financial Group with a single $100 million tranche of fully collateralised protection against a deterioration of the performance of its group life business over a three-year period. The structure features an indemnity trigger on an annual loss ratio basis.
The deal closed October 23 and is the first underwritten rule 144A cat bond exposed to extreme mortality risk on an indemnity basis. It priced with an annual risk spread of 2.85 percent.
Arch Mortgage Insurance Company has secured nearly $452 million of indemnity reinsurance on a pool representing approximately $31 billion of mortgages from Bellemeade Re 2020-3, a special purpose reinsurer.
The coverage was obtained by issuing approximately $418 million in bonds and $34 million in direct reinsurance. The mortgage insurance-linked notes (MILNs) relate to a portfolio of mortgage insurance policies linked to 112,274 loans insured by Arch MI and affiliates primarily from June through August of 2020.
Bellemeade Re 2020-3 is funding its reinsurance obligations through the issuance of five classes of amortising notes with 10-year legal final maturities. The MILNs consist of: $83,412,000 class M-1A notes with a coupon equal to one-month Libor plus 200 basis points; $78,407,000 class M-1B notes with a coupon equal to one-month Libor plus 285 basis points; $134,696,000 class M-1C notes with a coupon equal to one-month Libor plus 370 basis points; $104,265,000 class M-2 notes with a coupon equal to one-month Libor plus 485 basis points; and $17,378,000 class B-1 notes with a coupon equal to one-month Libor plus 635 basis points.
RMS has partnered with Willis Re Securities and Securian Financial to launch the new La Vie Re series 2020-1 mortality catastrophe bond.
The bond provides $100 million of reinsurance protection for Minnesota Life Insurance Company, a Securian Financial affiliate. Covering the US, it is the first indemnity 144A excess mortality bond that models the cedants’ portfolio on a loss ratio basis.
The notes, issued by La Vie Re, were launched to cat bond investors, and the full $100 million principal was achieved with a coupon price of 2.85 percent. RMS acted as the modelling agent.
