Swiss Re Insurance-Linked Fund Management

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Integrity Re II Pte. Ltd. (Series 2020-1)

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Integrity Re II Pte. Ltd. (Series 2020-1) – At a glance:

  • Issuer: Integrity Re II Pte. Ltd.
  • Cedent / sponsor: American Integrity Insurance Company of Florida, Inc. via Hannover Rück SE
  • Placement / structuring agent/s: GC Securities is sole structuring agent and bookrunner.
  • Risk modelling / calculation agents etc: AIR Worldwide
  • Risks / perils covered: Florida named storms
  • Size: $150m
  • Trigger type: Indemnity
  • Ratings: NR
  • Date of issue: Mar 2020

Integrity Re II Pte. Ltd. (Series 2020-1) – Full details:

American Integrity has returned to the catastrophe bond market for what will be its fourth visit, as the company seeks to expand its capital markets backed sources of reinsurance against Florida named storms and hurricanes with a $125 million Integrity Re II transaction.

The insurer will be benefiting from Singapore’s ILS grant program to assist in reducing the expense of issuance, we assume, with the issuing vehicle being a Singapore domiciled Special Purpose Reinsurance Vehicle (SPRV) named Integrity Re II Pte. Ltd., we understand.

Integrity Re II Pte. Ltd. will issue a single Series 2020-1 tranche of Class A notes that will be sold to investors to collateralise a retrocession agreement between it and Hannover Re, with the reinsurer then entering into a reinsurance agreement with American Integrity to provide the protection.

The issuance is targeting at least $125 million of reinsurance coverage for American Integrity across a three-year term.

The notes will provide the insurer with reinsurance protection against Florida named storms, so hurricanes and tropical storm events, with coverage on an indemnity trigger and per-occurrence basis, we’re told.

The $125 million of Class A notes to be issued by Integrity Re II Pte. Ltd. will have an initial expected loss of 1.98% and are being offered to cat bond investors with coupon price guidance in a range from 6.75% to 7.25%, sources explained.

Update 1:

We understand from sources that investor demand for the deal looks set to help it upsize and that the Integrity Re II 2020 catastrophe bond issuance is now targeting from $135 million to as much as $150 million of protection for the insurer.

We’re old that pricing has risen to the upper-end of the 6.75% to 7.25% guidance range, with the upsized tranche now being offered with fixed pricing of 7.25%.

Update 2:

The Integrity Re II Pte. Ltd. catastrophe bond finally settled at $150 million in size, so the upper-end of the targets for the bond, but with pricing also settling at the upper-end to pay investors a coupon of 7.25%.

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