Swiss Re Insurance-Linked Fund Management

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3264 Re Ltd. (Series 2022-1)

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3264 Re Ltd. (Series 2022-1) – 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: Worldwide peak perils
  • Size: $100m
  • Trigger type: Industry loss index
  • Ratings: NR
  • Date of issue: Dec 2021

3264 Re Ltd. (Series 2022-1) – Full details:

This is the second catastrophe bond from Hannover Re’s Bermuda special purpose insurance vehicle 3264 Re Ltd.

For its second 3264 Re catastrophe bond, Hannover Re has expanded the range of covered perils significantly.

In fact, we’re told this as practically a worldwide all-natural peak perils cat bond deal, covering the majority of significant exposures for which a reliable industry loss index is available to construct a trigger from.

As a result, 3264 Re Ltd. is seeking to issue a single $100 million or greater tranche of Series 2022-1 Class A notes.

The notes will be sold to cat bond investors and the proceeds used to collateralize retrocessional reinsurance agreements between the SPI and Hannover Re.

The notes will provide a multi-year source of annual aggregate retro reinsurance, covering losses from U.S. named storms, thunderstorms, wildfires and winter storms, as well as U.S. & Canada earthquakes, European windstorms, Caribbean earthquakes, Japan typhoons and earthquakes, Italy earthquakes, Turkey earthquakes, Australian cyclones and earthquakes, and New Zealand earthquakes.

That’s most of the major peak peril risks that a global reinsurance company looks for retrocessional catastrophe protection for and in all cases the triggers are being furnished with data from either PCS or Perils, while the coverage runs across approximately three years to January 2025.

We’re told that the currently $100 million tranche of Class A notes will have an initial attachment probability of 14.27%, an expected loss of 7.95% and are being offered to cat bond investors with price guidance in a range from 17.5% to 18.5%.

Update 1:

Sources told us that the target size remains $100 million for this new retro cat bond from Hannover Re, but at the same time the price guidance has been narrowed and lifted to above the initial range, with the notes now offered with a coupon of between 18.5% and 19%.

Update 2:

We’re told that this cat bond remained at $100 million in size and that the coupon was eventually fixed at the top-end of the already revised upwards guidance, at 19%.

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