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RenRe’s remaining Fibonacci Re 2017 notes extended into 2019

5 October 2018

The final $3.3 million chunk of notes from Bermudian reinsurance firm RenaissanceRe’s $140 million Series 2017-1 issuance of notes from its Fibonacci Reinsurance Ltd. sidecar-like vehicle have now had their maturity extended into 2019, as loss development continues.

Fibonacci Reinsurance Ltd. is RenaissanceRe’s sidecar-like special purpose reinsurance vehicle, that provides ILS investors and fund’s under RenRe’s management with a source of catastrophe bond-like investments in property catastrophe and non-natural peril risks.

This sidecar-like vehicle issued its first tranche of notes at the January 2017 renewals, witha $140 million tranche of Series 2017-1 Class A participating ILS notes.

This $140 million tranche was slated to be on-risk for just one year, with maturity scheduled for January 10th 2018, but along came the 2017 hurricanes and other catastrophe events and when maturity approached just $136.7 million of the notes were allowed to mature, while the remaining $3.3 million of 2017-1 Class A outstanding notes were extended to the 10th April 2018.

The Fibonacci Re 2017 notes were not allowed to mature in April either, having their maturity extended again to July 9th 2018, clearly to allow for this loss development to continue. Then were extended further to October 10th, as loss development clearly continued.

Now, the $3.3 million of 2017-1 Class A notes that remain from this Fibonacci Re issuance have been extended even further, with another three month extension to January 10th 2019.

The reason behind the extensions has never been confirmed, but it’s assumed that this small slice of the transaction faces some losses from 2017’s major catastrophe events and the extension is to allow for losses to develop, or industry loss estimates to be finalised.

It could also be that the $3.3 million is purely being held as a buffer, in case losses eat into the layer of risk Fibonacci was covering with this issuance.

The $45 million Class B tranche of Series 2017-1 notes from Fibonacci Reinsurancewere allowed to mature around June 8th 2018, suggesting that this tranche was not exposed to any losses from the catastrophes of 2017, suggesting that the extended Class A tranche was the more junior of the pair.

For more details on reinsurance sidecar transactions and investments view our list of collateralized reinsurance sidecars. For details of catastrophe bonds and similar ILS deals visit our Deal Directory.

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