Asset management giant Blackstone has used its Vermont-domiciled captive to sponsor a $250m indemnity catastrophe bond covering named storms and earthquakes in the United States and Canada.
Swiss Re Capital Markets structured and placed the issuance of the insurance-linked securities under Wrigley Re Ltd, a Bermuda exempted company licensed and registered as a special purpose insurer.
Gryphon Mutual Property Americas IC, a Vermont-domiciled real estate captive owned by Blackstone and managed by Aon, is the sponsor of the catastrophe bond.
It is said to be the first corporate catastrophe bond covering named storms on an indemnity basis, and the first corporate catastrophe bond covering multiple countries.
“Swiss Re Capital Markets is proud to have set a milestone with the structuring of Blackstone’s first indemnity issuance,” said Jean-Louis Monnier, Head of ILS at Swiss Re.
“This transaction is the result of a collaboration between Blackstone and ILS investors to develop a new solution that fits the challenges of an asset manager and expands the boundaries of the ILS market. It is a milestone in the ILS market’s path to realize its potential as an efficient provider of peak peril capacity.”
The $100m Series 2023-1 Class A notes provide protection on an indemnity per occurrence basis for named storms in the US and Canada and an indemnity annual aggregate basis for earthquakes in the US excluding California and Canada.
The $150m Series 2023-1 Class B notes provide protection on an indemnity annual aggregate basis for earthquakes in California.
Both classes of notes have a three-year risk period starting 28 July, 2023 and introduce an innovative risk-based premium adjustment mechanism to adjust for changes in risk in the covered real estate portfolio.