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The Government of Jamaica aims to have its World Bank supported catastrophe bond issued and in place, providing a much-needed source of capital market backed disaster insurance protection in advance of the 2021 hurricane season. The deal has been a work-in-progress for some years, but was delayed by the Covid-19 pandemic and the ensuing financial market volatility.

Bermuda-headquartered Arch Capital Group has returned to the capital markets to sponsor a $69.92 million three-year single-tranche sidecar, issuance of Series 2020-1 Class B participating notes through its special purpose insurer Voussoir Re.

The North Carolina Insurance Underwriting Association (NCIUA) latest catastrophe bond has now upsized by 150%, with the Cape Lookout Re Ltd. (Series 2021-1) transaction set to provide it $250 million of reinsurance from the capital markets. At the same time, the spread on the cat bond notes dropped considerably thanks to ILS investor appetite, with the pricing eventually fixed at the bottom of reduced guidance, indicating a roughly 13% decline in pricing during marketing.

French reinsurer SCOR has put in place a sidecar-like, quota share retrocession vehicle named Mangrove Insurance PCC Limited through which it transfers some of its longevity risk to third-party investors. It provides SCOR with retrocessional cover for longevity risks arising from nine existing in-force reinsurance treaties it has in place with clients in the United Kingdom, across a long risk period from October 1st 2019 until October 1st 2048. Artemis.bm speculates that the structure might renew or roll over at defined intervals to enable a degree of investor liquidity.

Palomar Insurance Holdings is set for a successful visit to the catastrophe bond market with its new Torrey Pines Re Pte. Ltd. (Series 2021-1) two-tranche cat bond that has grown by one-third while marketing to reach $400 million in size. Both tranches will provide earthquake reinsurance protection, covering 50 states of the U.S., across a just over three-year term to the end of June 2024 and on an indemnity and per-occurrence trigger basis.

The first catastrophe bond to be sponsored by Florida headquartered insurer Universal Insurance Holdings looks likely to upsize with the target now lifted by 50% to $150 million, while at the same time the price guidance for the three-year single-tranche Cosaint Re Pte. Ltd. (Series 2021-1) transaction has been lowered. Universal is looking to secure collateralized reinsurance protection against losses from U.S. named storms.

"The price guidance has been lowered for Tokio Marine & Nichido Fire Insurance Co’s fifth Kizuna Re catastrophe bond, making the $150 million Kizuna Re III Pte. Ltd. (Series 2021-1) transaction the latest to see its pricing fall during marketing."

The AXA UK Group Pension Scheme has entered into a £3 billion longevity swap with reinsurance firm Hannover Re, covering longevity risk associated with pensions that may come into payment after March 31 2019. Unlike most such swaps, the majority of the longevity risk transferred is related those yet to draw pension benefits. The swap closed on February 27th 2021 and form’s part of the AXA pension scheme’s investment portfolio, building upon previous longevity risk transfer transactions undertaken to protect pensions that had already come into payment up to March 31 2019.

Canada Life Re entered into a long-term longevity reinsurance agreement with Athora Netherlands covering EUR 4.7 billion of in-force liabilities and 104,500 in-payment and deferred policies.

The first catastrophe bond covering pure volcanic eruption risk has now been completed, with a $3 million privately placed issuance brought to market by Replexus and Howden Capital Markets and backed by leading cat bond investors for the Danish Red Cross. The catastrophe bond covers the risk of eruption of 10 volcanoes across three continents. Using a parametric trigger that takes into account both the height of the volcanic eruption ash plume and the wind direction, to define where ash would fall and disruption most likely be, the idea is that the catastrophe bond should pay-out quickly for specific scenarios where aid from humanitarian funds would be required.

Tokio Marine & Nichido Fire Insurance Co’s fifth Kizuna Re catastrophe bond will be the latest to experience a significant drop in price during its marketing to investors, with the $150 million Kizuna Re III Pte. Ltd. (Series 2021-1) transactions pricing now fixed some 16% below the initial mid-point of guidance.

Sompo has doubled its target for its latest catastrophe bond with its Sakura Re Ltd. (Series 2021-1)  transaction now aiming to secure the company $400 million of Japanese and US multi-peril catastrophe reinsurance protection.

The £4.1bn Merchant Navy Officers Pension Fund plans to insure all of its remaining liabilities by 2025, with the goal to achieve sufficient funding to secure at least 103 per cent of member benefits. Since the last trennial valuation in 2018, the fund has reduced its investment risk through the conversion of its longevity swap with Pacific Life Re into a £1.6bn buy-in with the Pension Insurance Corporation in February 2020.

General Motors' Vauxhall Associated Companies Pension Fund has completed a £53m bulk annuity purchase with Aviva. Separately, the scheme's latest triennial actuarial valuation was due last year, after the 2017 valuation showed a funding level of 70.6 per cent, which corresponded to a shortfall of £15.5m. The scheme's sponsor agreed to a recovery plan, making payments until the end of 2023.

Everest Re is looking to issue $400 million of four-year Kilimanjaro III Re Series 2021-1 and $400 million of five-year Kilimanjaro III Series 2021-2 catastrophe bonds, for a combined amount of $800 million. They will cover certain losses from named storms and earthquakes impacting the United States, Puerto Rico, U.S. Virgin Islands, D.C., and Canada. Both will be comprised of three tranches, the $150 million A tranches will provide per-occurrence reinsurance protection, and the $125 million B tranches and $250 million C tranches will provide annual aggregate reinsurance coverage.

Aon affiliate White Rock Insurance issued ¥2 billion of Asagao III one-year catastrophe bonds, presumably to cover Japanese earthquake risks on a parametric basis, likely for an unknown Japanese sponsor.

Pricing has now been finalised for Sompo’s new $400 million sized Sakura Re Ltd. (Series 2021-1) catastrophe bond transaction, with both tranches of notes seeing their coupon fixed at the mid-point of guidance or lower. It was comprised of a $200 million tranche of Series 2021-1 Class A notes exposed to Japanese typhoons and floods on a first-event basis, and if limit is remaining after a first loss, they would also cover US earthquakes on a second-event basis. The other $200 million tranche of Series 2021-1 Class B notes is exposed to US earthquakes on a first-event basis and if limit is remaining after a loss, then would also cover Japanese typhoons and floods on a second-event basis.

Issuance of new catastrophe bonds and related insurance-linked securities (ILS) continued apace in the first-quarter of 2021, with the period seeing $4.63 billion of new risk capital come to market. This was slightly below the record-breaking $5 billion issued in the opening quarter of last year. Catastrophe risk focused deals made up 60% of issuance in Q1 2021, but mortgage ILS continues to feature.

The Shepherd Foods (London) Limited defined benefit pension scheme has completed a £3 million buyout with Aviva Group. The deal, which was completed on February 25, secures the benefits of 11 deferred members and two pensioner members.

Aspen Insurance is seeking to sponsor a $225 million Kendall Re Ltd. (Series 2021-1) two-tranche transaction, to replace the also $225 million Kendall Re Ltd. (Series 2018-1) cat bond slated to mature this month. Both tranches will be exposed to losses from US named storms, including Puerto Rico, the US Virgin Islands and DC, as well as US and Canada earthquake, plus European windstorms on a weighted (state/county/Cresta) industry loss and annual aggregate basis.

The Association of British Insurers Pension & Assurance Scheme has completed a £26m buy-in with Aviva. The deal covers 191 pensioner members, and the fund received assistance from Mercer in its search for an insurer. This is the second buy-in the scheme has inked up with Aviva, the first being a £10m deal completed in 2017.

Tokio Marine has opted to redeem a $150 million tranche of its Kizuna Re II Ltd. (Series 2018-1) Japan earthquake focused catastrophe bond, as the notes have not faced any loss events in the three years since their issue.

State Farm issued $350 million three-year Merna Re II Ltd. (Series 2021-1) notes. They will provide the insurer with earthquake reinsurance against losses from events in the New Madrid fault region on an indemnity trigger and per-occurrence basis.

The number of privately placed catastrophe bond transactions issued in the first-quarter of 2021 is the most ever recorded for the period and ensured that once again, the dollar-value of issuance from these cat bond lite deals came in above the ten-year average for the period.

Eclipse Re Ltd., the Horseshoe managed private syndicated collateralised reinsurance note, private catastrophe bond issuance and reinsurance transformer platform, has completed its second issuance of this year, with an $8.7 million Eclipse Re Ltd. (Series 2021-02A) coming due on December 31, 2021.

Everest Re finalised the pricing on the latest $650 million of fully-collateralized retrocessional reinsurance protection from its Kilimanjaro Re catastrophe bond program at the low-end of already reduced guidance. It will be comprised of a $320 million four-year Kilimanjaro III Re Ltd. (Series 2021-1) tranche and $330 million five-year Kilimanjaro III Re Ltd. (Series 2021-2) tranche. They will cover certain losses from named storms and earthquakes that impact the United States, Puerto Rico, U.S. Virgin Islands, D.C., and Canada.

Louisiana Citizens Property Insurance Corporation is back in the catastrophe bond with a $125 million Pelican IV Re Ltd. (Series 2021-1) three-year two-tranche deal. A $75 million tranche will provide per-occurrence reinsurance protection and a $50 million one will provide annual aggregate coverage, both on an indemnity trigger basis and against losses from named storms and severe thunderstorms affecting the state of Louisiana.

Vantage Risk is in the market to sponsor its first catastrophe bond, with a $150 million Vista Re Ltd. (Series 2021-1) North American three-year single-tranche deal. It will cover certain losses from North American named storms and earthquakes, including the United States, Puerto Rico, U.S. Virgin Islands, D.C. and also Canada for earthquake risks. The retrocessional reinsurance protection will be provided on an industry loss trigger basis, which is state weighted and calculated over annual risk periods to provide aggregate coverage, with PCS as the reporting agency in the case of all perils.

Aspen Insurance has increased its target size for its Kendall Re Ltd. (Series 2021-1) catastrophe bond from $225 million to $300 million, while pricing has been reduced on deal's two tranches ($200 and $100 million). Both tranches will be exposed to losses from US named storms, including Puerto Rico, the US Virgin Islands and DC, as well as US and Canada earthquake, plus European windstorms on a weighted (state/county/Cresta) industry loss and annual aggregate basis.