Swiss Re Insurance-Linked Fund Management

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3264 Re Ltd. (Series 2020-1)

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3264 Re Ltd. (Series 2020-1) – At a glance:

  • Issuer: 3264 Re Ltd.
  • Cedent / sponsor: Hannover Re
  • 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, European windstorm
  • Size: $150m
  • Trigger type: Industry loss index
  • Ratings: NR
  • Date of issue: Jan 2020

3264 Re Ltd. (Series 2020-1) – Full details:

Global reinsurance firm Hannover Re is back in the catastrophe bond market to source a slice of retrocessional coverage, with a $100 million or greater international multi-peril cat bond transaction. through newly registered Bermuda vehicle 3264 Re Ltd.

This transaction sees Hannover Re acting as a sole ceding company and beneficiary of the protection from a catastrophe bond, although it is not clear whether a client of the reinsurer is the ultimate beneficiary at this time.

The transaction is being issued through newly registered Bermuda special purpose insurance vehicle 3264 Re Ltd.

We understand from sources that the vehicle 3264 Re Ltd. will issue a single tranche of Series 2020-1 notes, currently sized at a $100 million issuance.

These notes will be sold to investors, with the proceeds used to collateralise the underlying retrocessional reinsurance agreement between 3264 Re Ltd. and Hannover Re itself. If the ultimate beneficiary is a client, Hannover Re would then pass on the benefits through a reinsurance agreement with it.

The agreements will cover certain losses from multiple international perils, specifically U.S. named storm risks, U.S. and Canadian earthquake risks and European windstorm risks.

The cat bond will feature weighted industry loss triggers and coverage will be on an annual aggregate basis, with PCS supplying the industry loss data for named storm, hurricane and earthquake events, and PERILS for European windstorm events.

The transaction will run for a three year term, providing Hannover Re with a source of international annual aggregate retrocession for its peak perils until the end of January 2023, we’re told.

The single $100 million tranche of 3264 Re Ltd. Series 2020-1 Class A notes are said to have an initial attachment probability of 5.46%, an initial expected loss of 4.04% at the base case and are being offered to cat bond investors with coupon price guidance in a range from 10% to 10.75%.

Update 1:

We understand that this transation is likely to increase in size by 50% to become a $150 million offering of notes by 3264 Re Ltd.

At the same time we understand that the coupon pricing range has dropped and been narrowed to 9.75% to 10%, so potentially below the initial range or at the least at the lowest-end of it.

Update 2:

The 3264 Re Ltd. 2020-1 catastrophe bond settled at $150 million in size.

Pricing eventually settled at the low-end of the reduced guidance, to offer investors a coupon of 9.75%.

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