Swiss Re Insurance-Linked Fund Management

PCS - Emerging Risks, New Opportunities

2001 CAT Re Ltd. (Series 2020-1)

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2001 CAT Re Ltd. (Series 2020-1) – At a glance:

  • Issuer: 2001 CAT Re Ltd.
  • Cedent / sponsor: Allied World Assurance Company
  • Placement / structuring agent/s: GC Securities is sole structuring agent and bookrunner
  • Risk modelling / calculation agents etc: AIR Worldwide
  • Risks / perils covered: U.S named storm, U.S. & Canada earthquake, U.S. severe thunderstorm, European windstorm
  • Size: $210m
  • Trigger type: Industry loss index
  • Ratings: NR
  • Date of issue: Nov 2020

2001 CAT Re Ltd. (Series 2020-1) – Full details:

Allied World Assurance Company is targeting its first ever sponsorship of a catastrophe bond with this 2001 CAT Re Ltd. (Series 2020-1) transaction.

A new Bermuda based special purpose insurer (SPI) has been established for the cat bond issuance, with 2001 CAT Re Ltd. registered on the island recently.

2001 CAT Re Ltd. will issue a single tranche of Series 2020-1 notes that will be sold to investors and the proceeds used to collateralize the underlying reinsurance arrangements that will provide the coverage to Allied World and a range of its underwriting subsidiaries.

The currently targeted $150 million of Series 2020-1 Class A notes to be issued by 2001 CAT Re will provide Allied World and subsidiaries with a source of multi-year protection against losses from U.S named storm (including Puerto Rico and the US Virgin Islands), U.S. (including Puerto Rico and the US Virgin Islands) and Canada earthquake, U.S. severe thunderstorm and European windstorm risks

The coverage provided will be on an annual aggregate basis across three annual risk periods from January 1st 2021, while the notes can be triggered by qualifying industry loss events that breach predefined index trigger points.

PCS triggers are being used for the U.S. peril loss events, while PERILS AG will report on European windstorm loss events.

The $150 million of Series 2020-1 Class A notes to be issued by 2001 CAT Re Ltd. will have an initial expected loss of 5.4%, we’re told.

These notes will be offered to cat bond investors with coupon guidance in a range from 12% to 13%, we understand.

Update 1:

Allied World’s target for the 2001 CAT Re Ltd. (Series 2020-1)  multi-peril cat bond transaction has now increased by one-third  to $200 million of reinsurance limit.

At the same time the pricing guidance has narrowed and fallen, to between 12% and 12.5%.

Update 2:

Allied World’s target for this catastrophe bond lifted again to $210 million, while the price guidance for the coupon fell to the low-end at 12%. The issuance settled at these levels, representing a positive first visit to the cat bond market for Allied World.

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