Swiss Re places $350m cat bond in Frontline debut

Swiss Re Capital Markets has structured and placed the issuance of $350 million of insurance-linked securities by Frontline Re on behalf of Frontline Insurance.

The transaction is Frontline Insurance's debut catastrophe bond and covers named storms in Alabama, Florida, North Carolina and South Carolina.

Swiss Re Capital Markets underwrote the transaction via two classes of principal at-risk variable rate notes issued by Frontline Re, a Bermuda exempted company licensed and registered as a special purpose insurer.

The $350 million Frontline Re transaction represents the largest cat bond of a Florida based (non-government entity) insurance company. The $250 million Class A notes and $100 million Class B notes have a four-year risk period starting July 1, 2018 and provide protection against named storms. The transaction features an event adjusted attachment level, which for the first time in the cat bond market is based on the event size rank of a named storm within an annual risk period.

"The transaction was well received by investors and is the largest for a Florida insurer since 2014,” said Swiss Re Capital Markets co-head Jean-Louis Monnier. “The innovative cat bond combines structural mechanics of the Florida Hurricane Catastrophe Fund ("FHCF") as well as features of Frontline's private reinsurance coverage and therefore seamlessly integrates with Frontline's reinsurance programme."

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

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