East Lane Re VII Ltd. (Series 2024-1)

Global re/insurer Chubb is in the market with its first ever cyber catastrophe bond transaction. It’s also Chubb’s first 144A cat bond of any kind since 2015.

Chubb has established a new Bermuda based vehicle named East Lane Re VII Ltd. for its first cyber catastrophe bond issuer, sources said.

East Lane Re VII Ltd. is expected to issue a single Class A tranche of Series 2024-1 notes, that will be sold to investors and the proceeds used to collateralize a cyber reinsurance agreement between the issuer and Chubb, to provide the protection.

The $100 million or greater in Class A notes will provide Chubb with a two-year source of protection against widespread cyber loss events, on an indemnity trigger and per-occurrence basis, we understand.

We’re told Chubb has segmented its cyber exposure into two buckets, North American and International and this East Lane Re VII cyber cat bond features attachment metrics for each, as well as an overall figure.

The Class A notes would attach at $600 million of North American losses, or $400 million of International losses, with coverage from the cyber cat bond spanning a $150 million layer of the tower for each.

We understand that the notes have an initial attachment probability of 2.142% and an initial expected loss of 1.387%. Breaking that down, the attachment probabilities are 0.686% for North America and 2.106% for International, while the expected losses are 0.538% for North America and 1.36% for International.

Sources said that the $100 million of cyber cat bond notes being initially offered for sale by East Lane Re VII Ltd. come with spread price guidance in a range from 8.75% to 9.25%.

Update 1:

We are now told that Chubb is aiming to upsize its first cyber cat bond by 50%, with the offering size growing to $150 million of notes.

At the same time the price guidance has now been fixed at the top-end of the initial range, for a spread of 9.25%.

Update 2:

Chubb eventually secured the upsized $150 million in reinsurance from its first cyber cat bond, while the notes pricing was finalised at the upper-end of 9.25%.