Baldwin Re Ltd. (Series 2021-1)

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Baldwin Re Ltd. (Series 2021-1) – At a glance:

  • Issuer: Baldwin Re Ltd.
  • Cedent / sponsor: Vermont Mutual Insurance Company
  • Placement / structuring agent/s: Aon Securities is sole structuring agent and bookrunner
  • Risk modelling / calculation agents etc: AIR Worldwide
  • Risks / perils covered: Northeast U.S. named storm, earthquake, severe weather, fire and other perils
  • Size: $150m
  • Trigger type: Indemnity
  • Ratings: NR
  • Date of issue: Jun 2021

Baldwin Re Ltd. (Series 2021-1) – Full details:

This is the debut catastrophe bond from first-time sponsor Vermont Mutual Insurance Company, with the insurer seeking a multi-year source of collateralized catastrophe reinsurance from the capital markets to cover itself and its affiliates and subsidiaries.

Baldwin Re Ltd. has been registered in Bermuda as a special purpose vehicle for this first catastrophe bond issuance from Vermont Mutual Insurance and expects to issue a single Series 2021-1 Class A tranche of notes to provide $100 million or more of reinsurance.

Baldwin Re Ltd. will issue a single Series 2021-1 Class A tranche of notes to provide $100 million or more of reinsurance, with the notes to be sold to cat bond investors and the proceeds from the sale used to collateralize the underlying reinsurance agreements.

The Baldwin Re 2021-1 catastrophe bond will provide Vermont Mutual Insurance and subsidiaries with protection against losses from certain catastrophe events in the US Northeast, named storm, earthquake, severe weather, fire and other peril events.

The covered area is the north east US states where the company operates, namely Connecticut, Maine, Massachusetts, New Hampshire, New York, Rhode Island and also Vermont.

The notes will provide Vermont Mutual Insurance with indemnity reinsurance protection from the capital markets, on a fully-collateralized and per-occurrence basis, across a four-year term to the end of June 2025, we’re told.

The currently $100 million of notes will attach at $450m of losses to the insurer and exhaust at $850m, we understand, which gives an initial attachment probability of 1.311% and expected loss of 0.91%.

The notes are being offered to cat bond investors with price guidance in a range from 2.75% to 3.25%.

Update 1:

We understand that this offering has grown in size, with $150 million of notes now set to be sold to investors.

At the same time price guidance has been lowered, to a revised range of 2.25% to 2.75%.

Update 2:

At final pricing the coupon for this $150 million issuance of cat bond notes by Baldwin Re was fixed at the low-end of reduced guidance, at 2.25%, which represents a 25% drop in price from the initial mid-point.

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