Blue Sky Re DAC (2023-1)

Global insurance giant Allianz is back in the catastrophe bond market and seeking European windstorm reinsurance protection with this Blue Sky Re DAC Series 2023-1 cat bond deal.

Allianz has set up an Irish special purpose company to issue this catastrophe bond, Blue Sky Re DAC.

Blue Sky Re DAC will issue a single tranche of notes that will be sold to investors and the proceeds used to collateralize a reinsurance agreement between it and Allianz.

Currently the offering is for €250 million of notes, with the aim to source capital markets backed reinsurance to cover the Allianz group companies against European windstorm losses, in all the main exposed countries, on a weighted industry loss trigger and per-occurrence basis, we understand.

The largest contributors to the windstorm expected loss of this new Allianz cat bond are said to be the countries of Germany, the UK and France.

We’re told the coverage for Allianz from this cat bond would run for three calendar years from January 1st 2024, to the end of 2026.

The €250 million of notes to be issued by Blue Sky Re DAC will come with an initial attachment probability of 3.03%, an initial expected loss of 2.14% and are being offered to cat bond investors with price guidance for a spread of between 5% to 5.75%, sources said.

Update 1:

We’re told the size guidance has not changed for Allianz’s Blue Sky Re DAC catastrophe bond, with still €250 million of notes on offer.

But we understand that the risk spread guidance has been narrowed to a range of 5.5% to 5.75%, so towards the upper-end of the initially marketed range.

Update 2:

The Blue Sky Re Ltd. Series 2023-1 Class A notes issuance was finalised at the targeted €250 million in size.

We’re told that the spread was eventually priced at the top-end of initial guidance, at 5.75%.