3264 Re Ltd. (Series 2024-1)

Hannover Re has returned for a third catastrophe bond designed to provide it with retrocession and using its Bermuda special purpose insurance vehicle 3264 Re Ltd.

With its third 3264 Re Ltd. catastrophe bond, Hannover Re has narrowed the range of perils down to simply US named storm risks.

Two $50 million tranches of notes are being offered, one to provide retrocessional protection for each named storm region and the notes will be sold to cat bond investors and the proceeds used to collateralize retrocessional reinsurance agreements between the SPI and Hannover Re.

Both tranches will provide Hannover Re with per-occurrence retrocession on a weighted PCS industry-loss index trigger basis, over a three year term to the end of June 2027, we understand.

A $50 million Class A tranche of notes will provide the northeast US named storm protection, featuring the typical states for that region, and come with an initial attachment probability of 1.75%, an initial base expected loss of 1.7%, and are being offered to investors with price guidance in a range from 7% to 7.75%, we are told.

The second also $50 million Class B tranche of notes will provide named storm cover for Gulf Coast states, excluding Florida, and come with an initial attachment probability of 6.05%, so are much riskier, an initial base expected loss of 4.78%, and are being offered to investors with price guidance in a range from 17% to 18%, sources said.

Update 1:

We’re told that Hannover Re is now targeting up to $140 million of retrocession with this new catastrophe bond.

What was a $50 million Class A tranche of notes to provide northeast US named storm protection, are now targeted at between $70 million and $80 million, we understand.

The Class A notes come with an initial base expected loss of 1.7% and were first offered to investors with price guidance in a range from 7% to 7.75%, but we’re now told that price guidance has fallen to the lower-end and been fixed at 7%.

What was a $50 million Class B tranche of notes to provide named storm cover for Gulf Coast states, excluding Florida, are now sized at between $50 million and $60 million, we understand.

The Class B notes are much riskier, with an initial base expected loss of 4.78%, and were first offered to investors with price guidance in a range from 17% to 18%, but we’re now told that price has been fixed at the upper-end of guidance, for an 18% spread.

Update 2:

The Class A notes were finalised at $80 million in size, with a spread of 7%.

The Class B notes were finalised at $60 million in size, with a spread of 18%.