Black Kite Re Limited (Series 2025-1)

This will be the second catastrophe bond to be sponsored by Honk Kong headquartered global reinsurance company Peak Re.

Peak Re is again using its Hong Kong domiciled issuance vehicle, Black Kite Re Limited for its second cat bond deal, but this time is looking to expand the retrocessional reinsurance coverage it receives from the capital markets.

For its second Black Kite Re cat bond, Peak Re is seeking industry-loss trigger protection against losses from both Japanese earthquake and typhoon risks, so an expansion of the perils covered within Japan.

But, in addition to that and much more encouraging for the continued penetration of the catastrophe bond market into Asia, Peak Re is also seeking parametric protection against earthquake losses in China and India with this new deal.

We’re told that, Black Kite Re Limited will seek to issue a single tranche of Series 2025-1 Class A notes, that will be sold to investors and the proceeds used to collateralise a retrocessional reinsurance agreement between the issuer and sponsor Peak Reinsurance Company.

The single tranche of notes initially targets at least $50 million of protection for Peak Re, to cover Japanese earthquake and typhoon risks on an industry loss trigger and per-occurrence basis, as well as Chinese and Indian earthquake risks on a parametric basis, all across a three-year period from issuance in late April, sources said.

The Japanese perils attach at an industry loss of $50 billion for earthquake and $15 billion for typhoons, exhausting at $75 billion and $22 billion respectively.

For the parametric China and India earthquake coverage, the trigger uses USGS data and looks for a magnitude exceeding certain levels with parametric boxes that cover each country.

With all this in mind, the currently $50 million of Black Kite Re 2025-1 Class A notes come with a combined initial attachment probability of 5.5%, a combined initial expected loss of 3.78% and are being offered to cat bond investors with spread price guidance in a range from 7.25% to 8%, we understand.

Update 1:

We’re told that Peak Re successfully secured the targeted $50 million of retrocessional reinsurance protection from its second catastrophe bond sponsorship.

The $50 million of Black Kite Re 2025-1 Class A notes have been priced to pay investors a spread of 8%, so at the upper-end of the initial guidance.