Fourth quarter activity began on October 15, 2013 with AXA returning to the catastrophe bond market to issue Calypso II. At the end of October, Catlin issued Galileo Re, their first transaction since 2008. November saw no sponsors come to market. Then there was a flurry of activity in December starting with USAA and AIG both returning to the market for a second time in 2013 with Residential Re 2013-2 and Tradewynd Re 2013-2, respectively. Residential Re 2013-2 Class 1 Notes carried an expected loss of 14.23 percent, making it the second riskiest tranche issued of all time in the 144A catastrophe bond market (the riskiest being Successor I Class B-II issued in 2008 benefiting Swiss Re with an expected loss of 14.73 percent).
At the end of December, Argo Re closed Loma Re 2013-1, which utilized a hybrid trigger – indemnity for Argo’s insurance business and PCS industry index for Argo’s reinsurance business. The final two transactions of the year were VenTerra Re benefiting QBE and Queen City Re benefiting American Modern. QBE’s VenTerra transaction was the first indemnity trigger transaction covering Australia perils (earthquake and cyclone).
A summary of issuance by quarter from 1997 to 2013 is in Figure 1.
Note: 1. Source: GC Securities Proprietary Database (P&C catastrophe bonds as of December 31, 2013 excluding private transactions)
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