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.