Jamaica’s $150 million IBRD CAR Jamaica 2024 parametric catastrophe bond notes were marked down to nearly zero by one pricing sheet team after major hurricane Melissa’s landfall and the calculation agent process has already been activated by the Government of Jamaica, Artemis has learned.
With the central pressure of Melissa at a level low enough to activate a 100% payout when the hurricane made landfall, it would take a meaningful revision upwards in the pressure data for even just a partial payout to be the outcome.
As a result, we’ve been told by sources that an interim price mark for the IBRD CAR Jamaica 2024 catastrophe bond notes was issued by one of the investment banking teams that provides cat bond pricing sheets.
Sources said that this interim mark on the cat bond notes was pegged at bids of just 0.01, with offers at 1.00. At that low-level it implies a market understanding that a total loss and payout of the $150 million is the most likely outcome.
In addition, we’re also told that the Government of Jamaica has already requested the calculation agent process for the catastrophe bond was started. That notice came a couple of days ago, we are told by sources.
This process involves the calculation agent to Jamaica’s cat bond deal collecting the official data that will be used, then running it through the parametric trigger schematics to determine whether a payout is due and how much.
In this case it is anticipated this process will only take a matter of days, so it seems an official determination on how much Jamaica’s catastrophe bond will payout could be available very soon.
In fact, a Jamaican government spokesperson has said that an announcement may come as soon as later today, on how much the payout is expected to be, while also having stated that the cat bond has been “triggered”, according to certain media reports.
Which is positive for Jamaica, as the additional funds that flow from parametric risk transfer structures such as the cat bond will be a welcome source of additional funding towards the islands recovery from hurricane Melissa.
Also read:
– Hurricane Melissa crosses Jamaica cat bond parametric boxes at 892mb, 100% payout likely.
– Hurricane Melissa losses in Jamaica likely to fall to reinsurers, says AM Best. BMS suggests $5bn+.
– Melissa insured impacts in the billions. Jamaica cat bond full loss most likely: Twelve Securis.
– Jamaica’s cat bond “doing what it was designed to do” – Lefferdink, Aon Securities.
– Hurricane Melissa estimated single-digit billion insured loss. Cat bond payout likely: Aon.
