2001 CAT Re Ltd. (Series 2023-1)

This is the second catastrophe bond to be sponsored by Allied World Assurance Company, as the company returns to renew a November 2020 issuance, seeking coverage for a reduced range of perils, but with a target for slightly more reinsurance from the deal.

Allied World is using its Bermuda based special purpose insurer (SPI) 2001 CAT Re Ltd. again for its second catastrophe bond sponsorship.

2001 CAT Re Ltd. will issue a single Class A tranche of Series 2023-1 notes that will be sold to cat bond investors and the proceeds used to collateralize the underlying reinsurance arrangements, to provide the coverage to Allied World and a certain of its underwriting subsidiaries including Lloyd’s syndicate 2232, its European and US underwriting arms.

The Class A notes to be issued by 2001 CAT Re Ltd. are targeted at $250 million in size, so this looks set to be a larger cat bond than the maturing first issuance under the program.

The Series 2023-1 Class A notes will protect Allied World and subsidiaries against certain losses from U.S named storms, U.S. and Canada earthquakes, and European windstorm risks.

The previous and soon to mature 2021 cat bond also provided Allied World with US severe thunderstorm coverage, but we understand that has been dropped from the renewal.

The coverage from this new 2001 CAT Re 2023-1 cat bond will be provided on a per-occurrence basis across three annual risk periods from January 1st 2024, with the notes able to be triggered by qualifying industry loss events that breach predefined index trigger points, as measured by PCS and PERILS.

The soon to mature 2021 cat bond for Allied World provided annual aggregate protection, so that is another change to the renewal deal.

PCS triggers are being used for the U.S. and Canadian perils, while PERILS AG will report on European windstorm loss events, we’re told.

The $250 million of Series 2023-1 Class A notes to be issued by 2001 CAT Re Ltd. will have an initial attachment probability of 8.41% and an initial expected loss of 5.13%, we’re told.

These notes are being offered to cat bond investors with spread price guidance in a range from 14% to 15%, we understand.

Update 1:

Allied World is now seeking up to $275 million of reinsurance protection from this 2001 CAT Re Ltd. (Series 2023-1)  renewal transaction.

We’re now told that the guidance range for the notes of offer has dropped and also widened, with the up to $275 million of notes offered with spread guidance of 12.5% to 14%, sources said.

Update 2:

The 2001 CAT Re Ltd. Series 2023-1 Class A catastrophe bond notes were eventually priced for a spread of 12.5%, at the upsized target size of $275 million.