RMS acted as the modeling agent on the cat bond transaction, providing a view of the risk covered by the bond to investors, using its suite of excess mortality and morbidity models, covering infectious disease pandemics, terrorism, earthquakes, and other perils, including a contribution to the expected loss from the COVID-19 pandemic. Covering the U.S., this is the first indemnity 144A excess mortality bond that models the cedants' portfolio on a loss ratio basis.
Jin Shah, Client Director, RMS, commented:
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."
The notes being issued by La Vie Re were launched to cat bond investors, and the full USD 100 million principal was achieved with a coupon price of 2.85%.