Insurance-Linked Securities: "Risk to pandemic cat bond creeps up as Lassa fever deaths rise in Nigeria"

From Artemis:

The number of confirmed deaths from the Lassa fever outbreak in Nigeria has risen according to the latest information available from the World Health Organisation (WHO), which means that the risk posed to investors in the World Bank’s pandemic swaps and catastrophe bonds has crept up slightly.

As we reported a fortnight ago, the lassa fever outbreak in Nigeria was confirmed by the World Bank as an “Eligible Event” under the terms of the Class B pandemic swaps and pandemic catastrophe bonds that were issued to support the financing of the Pandemic Emergency Financing Facility (PEF).

Lassa fever is one of the pandemic risks covered under the terms of the Class B tranches of pandemic swaps and cat bonds issued under the PEF transaction by the World Bank’s International Bank for Reconstruction and Development (IBRD) last year.

That deal consists of $320 million of IBRD CAR 111-112 capital at risk notes and $105 million of pandemic risk linked swaps (derivatives), which were sold to investors to provide emerging economies with insurance linked protection against outbreaks of diseases.

A $95 million Series 112 Class B tranche of pandemic cat bond notes and an unknown sized Class B set of pandemic swaps cover a range of pandemic perils including, Coronavirus, Crimean Congo Hemorrhagic Fever, Filovirus, Lassa Fever and Rift Valley Fever.

These Class B notes and swaps are the ones exposed to the Nigerian Lassa fever outbreak and the World Health Organisation (WHO) is the all-important reporting agency for the pandemic catastrophe bonds and swaps.

When we reported a fortnight ago on this, the outbreak had resulted in 1081 suspected cases and 90 suspected deaths, according to the WHO, and the number of confirmed deaths, which is an important metric for the parametric trigger of the pandemic bonds and risk swaps, sat at 72 out of 317 confirmed cases of Lassa fever.

Now, according to the WHO, the number of suspected cases has risen to 1495 and suspected deaths to 119, while the number of those confirmed is now put at 95 deaths out of 376 confirmed cases....MORE

We pointed out the World Bank/Swiss Re venture last year.
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