Blue Ridge Re Ltd. (Series 2025-1)

This Blue Ridge Re catastrophe bond is the second issuance to be sponsored by the North Carolina Farm Bureau, as it seeks to expand on its reinsurance protection from the capital markets for its underwriting entities.

In November 2023, the North Carolina Farm Bureau (NC Farm Bureau) sponsored its debut catastrophe bond, securing a $400 million source of capital markets backed indemnity and per-occurrence structured named storm reinsurance protection through a Blue Ridge Re Ltd. (Series 2023-1) cat bond issuance.

Using the same Bermuda based special purpose insurer (SPI) named Blue Ridge Re Ltd., this Series 2025-1 issuance sees four tranches of cat bond notes on offer.

The new cat bond is designed to provide broader catastrophe reinsurance coverage for the NC Farm Bureau as well, given it features multiple perils and an aggregate tranche of notes as well as three to offer per-occurrence protection to the sponsor.

Blue Ridge Re Ltd. is offering four tranches of Series 2025-1 catastrophe bond notes to investors, with each set to provide reinsurance covering losses in the state of North Carolina to the same underwriting entities North Carolina Farm Bureau Insurance Company and Farm Bureau Insurance of North Carolina as were protected by the first cat bond.

Global reinsurance giant Hannover Re is again acting as the ceding reinsurer, entering into a retrocession agreement with the issuer Blue Ridge Re, and then passing on the reinsurance protection to the NC Farm Bureau insurers.

The four tranches of notes will provide three years of coverage for calendar years 2026 through 2028 across the state of North Carolina against losses from named storms, severe thunderstorms and winter storms, we are told, and the initial target is for $325 million of protection across the Series 2025-1 issuance.

Two tranches of notes will cover named storms and severe thunderstorms on a per-occurrence basis, one will cover only named storms on a per-occurrence basis and the fourth tranche is the one that will provide annual aggregate protection for losses from named storms, severe thunderstorms and winter storms, with all four tranches using an indemnity trigger, we understand.

A Class A tranche of notes are sized at $100 million and will provide named storm and severe thunderstorm per-occurrence protection attaching at $1 billion of losses and covering a share up to $1.65 billion, giving them an initial attachment probability of 1.56%, an initial expected loss of 1.1% and these come with price guidance in a range from 4% to 4.5%.

A Class B tranche of notes are also sized at $100 million and will provide named storm and severe thunderstorm per-occurrence protection attaching at $500 million of losses and covering a share up to $1 billion, giving them an initial attachment probability of 3.7%, an initial expected loss of 2.38% and these come with price guidance in a range from 7% to 7.5%.

A Class C tranche of notes are sized at $75 million and will provide only named storm per-occurrence protection attaching at $300 million of losses and covering a share up to $500 million, giving them an initial attachment probability of 4.69%, an initial expected loss of 3.76% and these come with price guidance in a range from 9.25% to 9.75%.

The final Class D tranche of notes are sized at $50 million and these will provide named storm, severe thunderstorm and winter storm annual aggregate protection attaching at $225 million of losses and covering a share up to $325 million after a franchise deductible of $50 million per-event, giving them an initial attachment probability of 2.92%, an initial expected loss of 1.3% and these come with price guidance in a range from 10.5% to 11.5%, our sources said.

Update 1:

We understand that the North Carolina Farm Bureau’s target size for this Blue Ridge Re Ltd. Series 2025-1 has now risen to between $475 million and as much as $500 million.

The Class A notes are now being offered at an upsized $150 million, with updated spread price guidance at a lower 3.75% to 4%.

The Class B notes are now being offered at an upsized $150 million, with updated spread price guidance at a lower 6.5% to 7%.

The Class C notes are now being offered at an upsized $100 million, with updated spread price guidance at a lower 8.5% to 9.25%.

The Class D notes are now being offered at an upsized between $75 million and $100 million, with updated spread price guidance at 11%.

Update 2:

The target remains to secure between $475 million and $500 million of reinsurance limit from this Blue Ridge Re 2025-1 catastrophe bond issuance for the North Carolina Farm Bureau, but pricing has been updated again with lower levels seemingly sought across three of the tranches.

The Class A notes are still offered at an upsized $150 million, with spread price guidance now at a lower 3.5% to 3.75%.

The Class B notes are still offered at an upsized $150 million, with spread price guidance now at a lower 6% to 6.5%.

The Class C notes are still offered at an upsized $100 million, with spread price guidance now at a lower 8% to 8.5%.

The Class D notes are still offered at an upsized between $75 million and $100 million, with their spread price guidance remaining at 11%.

Update 3:

The North Carolina Farm Bureau has secured the $500 million upsized target for this Blue Ridge Re Ltd. Series 2025-1 catastrophe bond issuance, we understand.

The Class A notes will be $150 million, priced to pay investors a spread of 3.5%.

The Class B notes will be $150 million, priced to pay investors a spread of 6%.

The Class C notes will be $100 million, priced to pay investors a spread of 8%.

The Class D notes will be $100 million, priced to pay investors a spread of 11%.