Swiss Re Capital Markets has structured the issuance of a $350mn ILS transaction on behalf of the US insurer Frontline, highlighting the continuing appetite of capital markets investors to support cat risk securitisations.
The bond issuance for home and commercial property insurer Frontline covers named storms in Alabama, Florida, North Carolina and South Carolina.
It is Frontline’s debut catastrophe bond, which Swiss Re describes as the largest cat bond of a non-government entity Florida-based insurance company.
The transaction features an event adjusted attachment level - which is based on the size and rank of a named storm within an annual risk period.
This is the first cat bond to have such an attachment point which means it will provide cascading coverage for multi-events with lower attachment points.
Swiss Re Capital Markets underwrote the transaction via two classes of principal at-risk variable rate notes.
Both the $250mn Class A notes and $100mn Class B notes have a four-year risk period starting 1 July 2018 and provide protection against named storms.
“Swiss Re is pleased to provide support to Frontline on its debut catastrophe bond issuance,” Jean-Louis Monnier, co-head of ILS at Swiss Re Capital Markets said.
“The transaction was well received by investors and is the largest for a Florida insurer since 2014,” he added.
“The innovative cat bond combines structural mechanics of the Florida Hurricane Catastrophe Fund as well as features of Frontline’s private reinsurance coverage and therefore seamlessly integrates with Frontline’s reinsurance program.”