Aquila Re I Ltd. (Series 2024-1)

This will be the tenth catastrophe bond we have listed in the Deal Directory for Nationwide Mutual and the second under its Aquila I Re Ltd. issuer.

U.S. primary insurer Nationwide Mutual Insurance Company is seeking at least $150 million in multi-peril reinsurance protection from the catastrophe bond market through this Aquila I Re 2024-1 deal.

For a 2024 issuance, Nationwide Mutual is seeking similar coverage to a year ago, we understand, targeting multi-peril and multi-year indemnity triggered and per-occurrence based reinsurance protection.

Aquila Re I Ltd. will issue two tranches of Series 2024-1 notes, that will be sold to investors and the proceeds used to collateralize reinsurance agreements with Nationwide.

The reinsurance from this new cat bond will protect Nationwide Mutual against losses from the perils of US named storm, earthquake, severe thunderstorm, winter storm, wildfire, meteorite impact, volcanic eruption, the same range of perils as last year’s cat bond.

The protection will run across a three-year term, from June 2024 to the end of May 2027, we understand.

The first Class A-1 tranche of notes is preliminarily sized at $100 million and the coverage from these notes would attach at $1.95 billion of losses, exhausting at $2.35 billion, giving them an initial attachment probability of 1.21%.

The $100 million of Class A-1 notes come with an initial base expected loss of 1.01% and are being offered to cat bond investors with price guidance in a range from 6% to 6.75%, sources said.

The second Class B-1 tranche of notes is preliminarily sized at $50 million and their coverage attaches at $1.2 billion of losses, exhausting at $1.55 billion, so these are riskier, giving them an initial attachment probability of 3.09%.

The $50 million of Class B-1 notes come with an initial base expected loss of 2.44% and are being offered to cat bond investors with price guidance in a range from 9.25% to 10%, we are told.

Update 1:

Nationwide Mutual’s target for its latest catastrophe bond has risen, with up to $225 million in reinsurance now sought from the deal.

At the same time the price guidance has fallen, with updated ranges below the initial now offered.

The Class A-1 tranche were preliminarily sized at $100 million, but are now targeted at up to $125 million in size, we are told.

The Class A-1 notes come with an initial base expected loss of 1.01% and were first offered to cat bond investors with price guidance in a range from 6% to 6.75%, but that has now dropped to a new range of 5.5% to 6%, we understand.

The Class B-1 tranche of notes were preliminarily sized at $50 million but are now offered at $100 million in size, sources said.

The  Class B-1 notes are riskier, coming with an initial base expected loss of 2.44% and were first offered to cat bond investors with price guidance in a range from 9.25% to 10%, but again that has fallen to a new range of 9% to 9.25%.

Update 2:

Sources tell us that the upsizing was achieved, with the transaction set to complete at $225 million, so 50% larger than the initial target for $150 million of reinsurance.

The notes have now been priced, we understand, and for both of the tranches of notes on offer the spreads have now been fixed at a level below the initial price guidance ranges.

The Class A-1 notes were finalised at $125 million, with a spread of 5.5%.

The Class B-1 notes were finalised at $100 million, with a spread of 9%.