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The second parametric U.S. earthquake catastrophe bond Sierra Ltd. (Series 2021-1), sponsored by specialist mortgage security focused investment manager Bayview Asset Management, LLC, has now been successfully upsized to $200 million, while pricing for each of the two tranches of notes has settled at the bottom end of reduced guidance. The note's two tranches will provide earthquake insurance protection across California, Oregon, South Carolina and Washington, with coverage on a parametric trigger and per-occurrence basis across a three year term.

The Legal & General Group UK Senior Pension Scheme completed an assured payment policy transaction worth around £400m with the Legal & General Assurance Society in December 2020. The transaction was structured around the scheme’s existing buy-in arrangements with L&G. This tailored approach provides enhanced certainty for the scheme to reach a buyout within its planned timeframe.

Jamaica continues to work with the World Bank on a first catastrophe bond for the country the Finance Ministry has said and reflecting the importance of disaster risk financing, in recent weeks it has received a roughly $3.5 million payout under its parametric CCRIF insurance coverage.

The circa £300m Aberdeen City Council Transport Fund has secured roughly three-quarters of its liabilities through a buy-in with pensions insurer Rothesay Life. The fund, part of the £4.4bn North East Scotland Pension Fund, almost tripled in size after merging with the Strathclyde Pension Fund No.3 Fund at the end of 2019.

The pricing on Aetna’s twelfth and $200 million health insurance linked ILS deal, the Vitality Re XII Ltd (Series 2021) transaction, is likely to settle at the top-end of guidance.

The U.S. Federal Emergency Management Agency (FEMA) returned to the insurance-linked securities (ILS) market for its fourth catastrophe bond issuance, a currently $350 million FloodSmart Re Ltd. (Series 2021-1) two-tranche transaction, seeking additional flood reinsurance coverage from the capital market for its National Flood Insurance Program (NFIP). The protection will, as with all the other FloodSmart Re catastrophe bonds, be across a three-year term and on an indemnity and per-occurrence trigger basis.

"Open and closed schemes should be managed differently in terms of investment strategy. It should not be necessary for an open scheme like the USS to go down the de-risking route yet that is precisely what is being done."

The Pacific Alliance, a Latin American trade bloc made up of Chile, Colombia, Mexico and Peru, would like to expand on the coverage provided by their catastrophe bonds, with hydro-meteorological risks including tropical cyclones, drought, floods and even cold weather all mooted as potential perils to include.

"Longevity swap pricing is expected to remain attractive through the coming year, as reinsurance capital to support large pension risk transfer deals remains abundant and slower mortality improvements feed into reinsurance pricing, according to Willis Towers Watson (WTW)."

The next phase of the catastrophe bond market will see a shift from the structure’s use for deep capacity and as a risk management tool, to being viewed as a more permanent form of capital, according to Cory Anger, GC Securities.

Twenty bulk annuity deals for a combined volume of £19.9B were reported among the 62 UK corporate pension schemes surveyed by Mandateware in the fourth quarter of 2020. Aviva, Just and Legal & General were responsible for the most transactions, securing three contracts each. The largest transaction recorded was the £5B longevity swap between the £31.4B Barclays Bank UK Retirement Fund and the Reinsurance Group of America. Another high-value deal was the £3.7B longevity swap that the circa £7B Prudential Staff Pension Scheme secured with Pacific Life Re. Other notable transactions included the £17.2B BBC Pension Scheme’s £3B longevity swap with Canada Life Reinsurance and Zurich; Pension Insurance Corporation’s complete buyout of the circa £2B Old British Steel Pension Scheme; and the £1.1B buy-in the circa $2.7B (£2B) Maersk Retirement Benefit Scheme secured with L&G.

Hymans Robertson expects that longevity risk transfer activity will remain high in the United Kingdom across the coming decade, with as much as UK £250 billion of longevity swaps likely to be transacted by 2031.

The £4.5bn Deutsche Bank (UK) Pension Scheme has entered into a buy-in agreement with Legal & General Retirement Institutional. The £570m buy-in is the first pension risk transfer for the scheme, sponsored by a subsidiary of Deutsche Bank. It was completed in the second half of 2020 under an umbrella contract, which will allow quick completion of possible future transactions with L&G.

We’ve just held our fifth ILS NYC event virtually and while we’re disappointed that we couldn’t be in New York to meet with friends, contacts and readers in person, we hope the quality of discussions we produced goes some way to making up for this.

The U.S. Federal Emergency Management Agency (FEMA) looks set to secure its largest FloodSmart Re catastrophe bond yet, as the target size for the FloodSmart Re Ltd. (Series 2021-1) transaction has been lifted to between $500 million and $575 million, we’re told.

The U.S. Federal Emergency Management Agency (FEMA) looks set to secure its largest FloodSmart Re catastrophe bond yet, as the target size for the FloodSmart Re Ltd. (Series 2021-1) transaction has been lifted to $575 million. The cat bond will cover $575 million of the National Flood Insurance Program’s (NFIP) losses caused by named storm events, so tropical depressions, storms and hurricanes, as in the other FloodSmart cat bonds, with the protection extending across the United States, Puerto Rico, U.S. Virgin Islands and D.C.

The California Earthquake Authority (CEA) has lifted its target size for its first catastrophe bond transaction of 2021, now seeking up to $215 million of fully collateralized earthquake reinsurance protection with the Ursa Re II Ltd. (Series 2021-1) issuance.

The North Carolina Insurance Underwriting Association (NCIUA) is back in the catastrophe bond market with its first issuance of 2021, a currently $100 million Cape Lookout Re Ltd. (Series 2021-1) transaction that will sit in the higher layers of its reinsurance tower. The coverage is for losses from named storms and severe thunderstorms to the NCIUA’s portfolio in the state of North Carolina, across a three-year term and on an annual aggregate and indemnity trigger basis.

Chart shows 144A P&C catastrophe issuance and capital outstanding for the years 2010 through year-end 2020, based on data from GC Securities’* proprietary database.

MetLife revealed that they had completed two more UK-based longevity reinsurance transactions in the last quarter of 2020, both for Rothesay Life, covering $5 billion of risk.

The California Earthquake Authority (CEA) has successfully secured its first catastrophe bond transaction of 2021 at the upsized $215 million target, while the Ursa Re II Ltd. (Series 2021-1) catastrophe bond has been priced at the low-end of already reduced coupon guidance.

The West Ferry Printers Pension Scheme has completed a £120m buy-in transaction with Rothesay Life, securing the benefits for the remaining 263 members of the scheme. In 2008, the scheme entered into a £130m buy-in deal with Norwich Union (now Aviva Group), which covered the liabilities of 1,300 pensioners.

Tokio Marine & Nichido Fire Insurance is back in the insurance-linked securities (ILS) market seeking its fifth Kizuna Re catastrophe bond with a single-tranche $150 million Kizuna Re III Pte. Ltd. (Series 2021-1) transaction that is being issued out of Singapore. It will cover losses from Japanese earthquakes, including losses from related impacts caused by shake, tsunami, fire, flooding and sprinkler leakage, on a three-year aggregate and indemnity basis, across a five year term.

Florida-headquartered Universal Insurance has entered the catastrophe bond market for the first time with a single-tranche $100 million Cosaint Re Pte. Ltd. (Series 2021-1) transaction that is being issued out of Singapore. It will cover losses from U.S. named storms for its Universal Property and Casualty Insurance Company and any direct subsidiaries.

Florida’s Citizens Property Insurance Corporation is targeting a $2.6 billion reinsurance and risk transfer program in advance of the 2021 hurricane season beginning and within the renewed towers could be $850 million of new catastrophe bonds. Right now, Florida Citizens has two chunks of catastrophe bond coverage in-force, $110 million of reinsurance from the Everglades Re II Ltd. (Series 2020-2) transaction that provides some aggregate reinsurance protection for Florida Citizens personal lines account tower.

Catastrophe bond and related insurance-linked securities (ILS) issuance has already surpassed the ten-year average for the first-quarter in 2021, with total issuance recorded in the Artemis Deal Directory now just slightly over $2.4 billion.

Security First Insurance Company is now set for its largest catastrophe bond transaction yet, as its new First Coast Re III Pte. Ltd. (Series 2021-1) issuance has more than doubled in size to $225 million while being marketed. The single-tranche bond will provide Security First Insurance with a source of Florida named storms and severe thunderstorms reinsurance protection, across an almost four year term, with coverage on an indemnity trigger and cascading, per-occurrence basis.

Japanese insurer/reinsurer Sompo has returned to the catastrophe bond market to sponsor its first issuance in four years, as it seeks a $200 million source of Japanese and US multi-peril catastrophe reinsurance with a four-year two-tranche Sakura Re Ltd. (Series 2021-1) deal. They will cover US earthquakes and Japanese typhoons and floods.