Four Lakes Re Ltd. (Series 2024-1)

This Four lakes Re 2024-1 catastrophe bond from US insurer American Family Mutual Insurance Company is the seventh we have listed in our Deal Directory from the insurer.

It is the fifth catastrophe bond in the Four Lakes Re series from the company, having sponsored an issuance every year since 2020.

For its latest cat bond, American Family Insurance is again using its Bermuda-domiciled Four Lakes Re Ltd. special purpose insurer, with the vehicle offering two tranches of Series 2024-1 notes to investors, we are told.

AmFam is targeting $175 million or more in multi-peril US catastrophe reinsurance protection through this new cat bond.

That reinsurance will cover the insurer and its subsidiaries against losses from US named storms, earthquakes, severe thunderstorms, winter storms and wildfires, the same range of perils as its previous two Four Lakes Re cat bond issuances.

The Four Lakes Re 2024-1 cat bond notes will provide AmFam with three calendar year’s of per-occurrence and indemnity trigger based reinsurance, running from January 2025 to the end of December 2027, we understand.

A targeted $125 million Class A tranche of Series 2024-1 notes will have an attachment point at $1.8 billion of losses and will cover a share up to $2 billion, giving them an initial attachment probability of 1.84%, an initial expected loss of 1.64% and these notes are offered to investors with spread price guidance in a range from 5.75% to 6.5%, sources said.

A targeted $50 million Class B tranche of notes would attach lower down at $1.2 billion of losses, covering a share up to exhaustion at $1.8 billion, so are riskier, coming with an initial attachment probability of 4.1%, an initial expected loss of 2.77% and these notes have spread price guidance in a range from 8.5% to 9.25%, it is said.

Update 1:

We’re told this cat bond is set to upsize, with $250 million of reinsurance now sought from the Four Lakes Re 2024-1 deal for AmFam.

The Class A notes are now $175 million in size and their pricing has been fixed at the low-end of 5.75%.

The Class B notes are now $75 million in size and their pricing has also been fixed at the low-end of 8.5%.

Update 2:

The target size has been increased, with now $275 million of reinsurance sought for AmFam from its latest cat bond.

The Class A notes are now $200 million in size and their pricing guidance has reverted to a range of 5.5% to 5.75%.

The Class B notes are still $75 million in size and their pricing has also reverted to a range, of 8.25% to 8.5%.

Update 3:

AmFam secured the upsized $275 million of reinsurance target for its latest Four Lakes Re 2024-1 catastrophe bond issuance.

The Class A notes were finalised at $200 million in size, priced at the low-end of 5.5%.

The Class B notes were finalised at $75 million in size, again priced at the low-end of 8.25%.