The fifth catastrophe bond from Chubb's East Lane programme has begun marketing. The four-year two tranche deal covers losses from hurricanes and severe thunderstorms in the covered area on a per occurrence basis.

East Lane Re V's series 2012 class A and class B notes are initially targeting US$75m and US$50m, respectively. S&P has given the class As a preliminary rating of double-B and the class Bs double-B minus.

The covered area for both perils is Alabama, Florida, Georgia, Louisiana, Mississippi, North Carolina, South Carolina, and Texas. Covered losses are for personal lines property exposures only and will be based on the ultimate net losses of Chubb.

The class A notes will cover a to be determined percentage of losses in excess of US$1bn up to US$1.15bn and the class B notes will cover a to be determined percentage of losses in excess of US$850m up to US$950m.

The deal will have three annual resets effective in March 2013, 2014, and 2015, that will be based on the cedants' exposures as of 2012, 2013, and 2014, respectively. On each reset date, the attachment points for each class of notes will be reset to keep the probability of attachment and expected loss at 1.59% and 1.40% for the class A notes and 2.11% and 1.91% for the class B notes. The initial probabilities of exhaustion for the notes are 1.23% for class A and 1.76% for class B.

East Lane Re V's collateral will be invested in triple-A rated Treasury money market funds. The deal's joint bookrunners are Citi, Deutsche Bank and Goldman Sachs with GC Securities and Willis Capital Markets as co-managers.