Argo’s Loma Re 2013 Class C notes have maturity extended again

by Artemis on April 5, 2018

The impact and losses from last year’s hurricanes continues to be assessed and as a result insurance and reinsurance firm Argo Group has further extended the maturity date for the at-risk $65 million Class C tranche of notes from its Loma Reinsurance (Bermuda) Ltd. (Series 2013-1) multi-peril catastrophe bond.

The Loma Re 2013-1 catastrophe bond from Argo was first cited as likely to face some losses soon after the trio of major hurricanes struck the United States in the second-half of 2017. In January the insurer elected to extend the maturity of this Class C tranche, while allowing the other tranches to mature.

The Loma Re Bermuda 2013 cat bond affords Argo Group and subsidiaries with annual aggregate reinsurance and retrocession for losses from tropical cyclones, earthquakes and severe thunderstorms. The cat bond faces qualifying losses from all three of the recent major hurricanes, as it covers the U.S. and Puerto Rico, so has been affected by aggregated losses from each of hurricanes Harvey, Irma and Maria.

Structured with a dual trigger, both indemnity and industry loss, to provide Argo Group companies, including its Lloyd’s syndicates and Argo Re, with both reinsurance and retrocessional protection, the eventual loss will required finalised PCS reported industry losses for the hurricanes before the eventual determination of how much of the tranches outstanding principal can be returned to investors.

The noted had been marked down for a total loss of the $65 million of principal last year, but that has recovered as the PCS estimates of losses saw updates and in the most recent secondary cat bond pricing sheets we’ve seen this tranche is still marked for bids of 55 to 60, suggesting a less than 45% loss of principal.

But further updates will be required to loss estimates before the final impact to the notes is understood, hence Argo has elected to extend the tranches maturity to July 9th 2018, allowing for further loss development to occur.

The Loma Reinsurance (Bermuda) Ltd. (Series 2013-1) catastrophe bond from Argo Group is featured in our listing of cat bond payouts and defaults, where you can find details of all catastrophe bonds triggered and payouts made, since the market began.

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