Swiss Re Capital Markets Places $775M Cat Bond for California Earthquake Authority

October 23, 2020

Swiss Re Capital Markets has successfully structured and placed the issuance of USD $775 million of insurance-linked securities by Ursa Re II Ltd. to be used for the protection of the California Earthquake Authority.

CEA reports more than 1 million policyholders in California. Policyholders include homeowners, mobilehome owners, condo-unit owners and renters. CEA now reports more than $2.5 billion in outstanding bonds.

CEA entered into two reinsurance agreements with Swiss Re, which ultimately transferred the risk via two retrocession agreements to Ursa Re II Ltd. to receive protection on an annual aggregate, indemnity basis, against residential home earthquake damage in California.

Swiss Re Capital Markets underwrote the transaction through two classes of principal-at-risk variable rate notes issued by Ursa Re II Ltd., a Bermuda exempted company.

Ursa Re II Ltd. collateralised its liabilities under the retrocession agreements via the issuance of USD $425 million Class AA Notes and USD $350 million Class D Notes to investors. Both classes of notes have three loss occurrence periods starting 17 October 2020 and ending 30 November 2023.

Swiss Re Capital Markets acted as the sole structuring agent and sole bookrunner.

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