Swiss Re Insurance-Linked Fund Management

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Eiffel Re Ltd. (Series 2023-1)

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Eiffel Re Ltd. (Series 2023-1) – At a glance:

  • Issuer: Eiffel Re Ltd.
  • Cedent / sponsor: AXA SA
  • Placement / structuring agent/s: GC Securities is sole structuring agent and bookrunner
  • Risk modelling / calculation agents etc: AIR Worldwide
  • Risks / perils covered: European windstorm
  • Size: €150m
  • Trigger type: Industry loss index
  • Ratings: NR
  • Date of issue: Jun 2023

Eiffel Re Ltd. (Series 2023-1) – Full details:

This is the first catastrophe bond from any entity in the AXA group of insurance and reinsurance companies since 2019 and sees the France-headquartered global player seeking European windstorm reinsurance and retrocessional protection from the capital markets.

We understand that this new Eiffel Re Ltd. Bermuda SPI is actually the same Galilei Re Ltd. SPI that AXA XL had used for cat bonds last in 2017, after it has been renamed, saving AXA the task of establishing a new issuance vehicle for catastrophe bonds, while the new name speaks for itself.

Eiffel Re Ltd. will look to issue a single tranche of Series 2023-1 catastrophe bond notes, that will be sold to investors and the proceeds collateralize a reinsurance agreement between the issuer and AXA SA, we understand.

While AXA SA is the sponsor, this first Eiffel Re cat bond will cover any affiliates of the insurance group as well, so presumably the AXA XL book is included in that and as a result this cat bond will provide both reinsurance and retrocessional protection for European windstorm losses group-wide.

We’re told that the coverage area includes the majority of the typical European windstorm exposed countries, also including the United Kingdom.

The notes feature an industry-loss trigger and will provide per-occurrence reinsurance and retro cover, we understand, while the industry-loss index used will be Cresta, and PERILS the reporting organisation.

The coverage will run from issuance at the end of June through to maturity on January 19th 2027, we understand, so providing AXA and its affiliates with European windstorm reinsurance across a roughly three and a half year term.

The currently €125 million in Series 2023-1 Class A notes that Eiffel Re Ltd. will issue come with an initial attachment probability of 0.58%, an initial expected loss of 0.45% and are being offered to investors with spread price guidance in a range from 3.25% to 3.75%, we’re told.

Update 1:

Sources have said that the target size for this Eiffel Re 2023-1 catastrophe bond has been increased for AXA, with up to €150 million in European windstorm reinsurance now sought.

At the same time, we’re told the price guidance for the notes has been revised, narrower and towards the lower-end, with a new range of 3.25% to 3.5% offered to investors.

Update 2:

AXA has secured the upsized target for €150 million in European windstorm reinsurance protection from this Eiffel Re 2023-1 catastrophe bond issuance.

The notes were priced at the bottom-end of initial guidance, to pay investors a spread of 3.25%.

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