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Glacier confirms $180mn Nelson Re 2008-I

Swiss reinsurer Glacier Re has successfully launched its $180mn Nelson Re 2008-I bond, a move predicted by Trading Risk last month.

The transaction is managed by Goldman Sachs and will provide three-year cover in three tranches for US wind and quake and European wind, with AIR Worldwide providing the modelling on the indemnity-triggered transaction.

The $67.5mn class G notes cover US hurricane and earthquake and pay a coupon of LIBOR+1200 basis points (bps). The class H notes provide $45mn of cover for European wind and pay LIBOR+1125, while the $67.5mn class I notes also cover European wind with a coupon of LIBOR+450.

Rating agency Moody’s Investors Service has rated the notes B3, B3 and B2 respectively.

Glacier Re is re-visiting its $1.5bn cat bond shelf programme to launch its second bond, which dwarfs its original offering. The $75mn Nelson Re was launched in 2007 through Cayman Islands-based Nelson Re Ltd and matures in 2010.

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