Swiss Re Insurance-Linked Fund Management

PCS - Emerging Risks, New Opportunities

Baldwin Re Ltd. (Series 2023-1)

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Baldwin Re Ltd. (Series 2023-1) – 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: US Northeast, named storm, earthquake, severe weather, fire
  • Size: $100m
  • Trigger type: Indemnity
  • Ratings: NR
  • Date of issue: Jun 2023

Baldwin Re Ltd. (Series 2023-1) – Full details:

Vermont Mutual Insurance Company, one of the oldest property and casualty insurers in the United States having been established in 1828, has returned to the catastrophe bond market for what will be its second issuance of a Baldwin Re deal.

It’s second cat bond transaction is very similar to its first from 2021, with Bermuda based special purpose insurer Baldwin Re Ltd. will issue a single tranche of Series 2023-1 Class A notes, that will be sold to investors and the proceeds used to collateralize a reinsurance agreement covering the sponsor and its affiliates Northern Security Insurance Company, Inc. and Granite Insurance Company, we understand.

The initially $100 million of notes being offered will provide Vermont Mutual Insurance and subsidiaries with four years of catastrophe reinsurance to the end of June 2027, on an indemnity and per-occurrence basis.

The covered perils are very similar to the 2021 deal, being US Northeast, named storm, earthquake, severe weather, and fire. Missing though is the “other perils” category that had been a feature of the earlier Baldwin Re cat bond deal.

We’re told the covered area is the same, being Connecticut, Maine, Massachusetts, New Hampshire, New York, Rhode Island and also Vermont.

The currently $100 million of Class A notes Baldwin Re will issue have an attachment point at $450 million of losses, and their coverage would exhaust at $950 million, it’s said.

Which gives the notes an initial attachment probability of 1.783%, an initial base expected loss of 1.203% and they are being offered to investors with pricing guidance for a spread of between 4.5% and 5.25%, sources said.

Update 1:

We’re told that the pricing for the $100 million Baldwin Re 2023-1 Class A notes has now been fixed at the low-end of guidance, for a spread of 4.5%

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