Swiss Re Insurance-Linked Fund Management

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Catahoula II Re Pte. Ltd. (Series 2022-1)

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Catahoula II Re Pte. Ltd. (Series 2022-1) – At a glance:

  • Issuer: Catahoula II Re Pte. Ltd.
  • Cedent / sponsor: Louisiana Citizens Property Insurance Corporation
  • Placement / structuring agent/s: GC Securities is sole structuring agent and bookrunner
  • Risk modelling / calculation agents etc: AIR Worldwide
  • Risks / perils covered: Louisiana named storm & severe thunderstorm
  • Size: $175m
  • Trigger type: Indemnity
  • Ratings: NR
  • Date of issue: Jun 2022

Catahoula II Re Pte. Ltd. (Series 2022-1) – Full details:

For 2022, Louisiana Citizens is seeking $100 million or more of collateralized reinsurance against losses from named storms and severe thunderstorms affecting the State of Louisiana.

The coverage from the cat bond will be on a per-occurrence and indemnity trigger basis, running across a three-year term, but we understand one tranche of notes inures to reinsurance layers sitting beneath, while the other does not.

Catahoula II Re Pte. Ltd. will issue a currently $50 million tranche of Series 2022-1 Class A notes that would attach at $300 million of losses and exhaust at $525 million, but inure to reinsurance beneath so actually, on an event basis, attach at $525 million and run to $700 million it seems.

The Class A notes have an initial attachment probability of 1.41%, an initial expected loss of 1.12% and are being offered to cat bond investors with price guidance in a range from 8.5% to 9%.

The Series 2022-1 Class B tranche of notes are also sized at $50 million right now and attach at $300 million, covering a portion of losses to exhaustion at $525 million, but sit directly beneath the Class A notes.

The Class B notes are therefore riskier, with an attachment probability of 2.75%, an expected loss of 1.98% and price guidance in a range from 10% to 10.5%, we’re told.

Update 1:

Louisiana Citizens’ target for this new catastrophe bond has been increased, with between $150 million and $200 million of reinsurance now being sought.

At the same time the pricing has been raised, with the Class A notes offered with a coupon of 9.5% and the Class B notes offered with a coupon of 13%.

Update 2:

Louisiana Citizens secured its new Catahoula II Re Pte. Ltd. Series 2022-1 catastrophe bond at $175 million in size.

The Class A notes were finalised at $120 million, while the Class B’s settled at $55 million in size, while their pricing remained at 9.5% and 13% respectively.

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