Sorema enters first French securitisation of catastrophe risksSorema, the reinsurance arm of Groupama-Gan, the second multi branch insurance group has become one of the early participants in the field of catastrophe risk securitisation. This is due to a transaction jointly structured by placement agents, Merrill Lynch and Aon Capital Markets.
Sorema has successfully transferred part of its catastrophe exposure to capital market investors, which represents the first fully funded securitisation in the French insurance/reinsurance marketplace.
· Risks ceded include Sorema's windstorm exposures in Europe and its typhoon and earthquake exposures in Japan. The transaction provides Sorema with access to an alternative and deeper source to retrocession capacity, enabling further developments in markets where it experiences constantly growing exposures from cedants.
· The capital market cover is provided by Sorema by Halyard Re, a Dutch special purpose insurer created solely for this purpose. Halyard has issued $17m 3 year remarketed reset notes to collaterise its obligations to Sorema under the retrocessional agreement. The innovative reset structure not only affords the Sorema ability to amortise fixed issuance expenses over a longer tenure, but also offers the possibility to adjust the size of the cover as well as to reprice the premium to the then current market level.
· The risk modelling on the notes was performed by Risk Management Solutions (RMS), a firm widely used by the insurance/reinsurance industry. The transaction is well developed in the capital markets, to a total of 7 investors.