Catastrophe risk modelling company RMS worked with Willis Re Securities and Securian Financial on the launch of La Vie Re Limited (Series 2020-1), a mortality catastrophe bond providing $100 million of reinsurance protection for Minnesota Life Insurance Company, a Securian Financial affiliate.
The notes being issued by La Vie Re were launched to cat bond investors, and the full $100 million principal was achieved with a coupon price of 2.85%.
RMS served as the modelling agent on the cat bond transaction using its suite of excess mortality and morbidity models.
The models cover infectious disease pandemics, terrorism, earthquakes, and other perils, including a contribution to the expected loss from the COVID-19 pandemic.
Covering the US, this is reportedly the first indemnity 144A excess mortality bond that models the cedants’ portfolio on a loss ratio basis.
“Investors have warmly welcomed Securian Financial as a new sponsor to the ILS market. Likewise, RMS is pleased to support another new issuer secure reinsurance protection from the ILS market with a novel structure and trigger,” said Jin Shah, Client Director, RMS.
“Using our life risk modeling capabilities, RMS developed an indemnity trigger on loss ratios and supported investors’ understanding of the risk, especially on the contribution from the current COVID-19 pandemic.
“The pandemic outlooks reflect the latest research on vaccine availability, efficacy and distribution, and how this may mitigate the impact of a second, winter wave of COVID-19 infections threatening regions where strict social distancing measures have been relaxed.
“It was a pleasure to collaborate with Securian Financial and Willis Re Securities and it’s great to see the ILS market continue to support innovation in the market.”
