3 June 2015ILS

Compass Re II $300m cat bond lists on BSX

The $300 million cat bond issued by Bermuda vehicle Compass Re II, which has an unusually short term, has been listed on the Bermuda Stock Exchange (BSX).

The cat bond, which will provide just six months of protection to AIG during the official Atlantic hurricane season from June 1 to November 30, was increased in size during the marketing period to $300 million from $200 million on the back of strong investor demand, a source said.

The Series 2015-1 notes have a due date of December 8, 2015.

The deal, which closed on June 1, is also unusual in that it uses a parametric trigger, the first time such a structure has been applied to a rated US wind bond for many years.

Protection will kick in at a parametric index value, calculated based on the event parameters, from an index level of 100 up to exhaustion at an index level of 150.

AIR Worldwide modelled the cat bond and Fitch has provided its rating of B+ to the bond.