Swiss Re Insurance-Linked Fund Management

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Integrity Re Ltd. (Series 2019-1)

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Integrity Re Ltd. (Series 2019-1) – At a glance:

  • Issuer: Integrity Re Ltd. (Series 2019-1)
  • 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 & severe thunderstorms
  • Size: $50m
  • Trigger type: Indemnity
  • Ratings: NR
  • Date of issue: May 2019

Integrity Re Ltd. (Series 2019-1) – Full details:

This is American Integrity Insurance’s third catastrophe bond issuance and reinsurance company Hannover Re is again assisting,  as the Hannover Rück SE entity acts as ceding reinsurer for the transaction, fronting the ILS investor base for American Integrity which is the reinsured and so ultimate beneficiary of the fully-collateralized reinsurance protection that this Integrity Re 2019-1 cat bond will provide.

For this third issuance under the Integrity Re cat bond special purpose vehicle, we’re told that American Integrity is again seeking a four-year source of collateralized reinsurance protection covering certain losses from named storms and severe thunderstorms affecting the state of Florida.

The notes issued will provide a source of indemnity triggered reinsurance protection, on a per-occurrence and cascading basis, meaning the coverage will drop down as inuring layers of reinsurance protection beneath are eroded by loss.

A single tranche of Series 2019-1 Class A notes are being issued, with the initial size set at $75 million.

To effect the coverage, Integrity Re will sell the notes to ILS and cat bond investors, with the proceeds used to collateralize a retrocession agreement with Hannover Re, which will in turn enter into a reinsurance agreement with American Integrity Insurance.

The mooted $75 million of Integrity Re 2019-1 Class A notes will attach at $275 million of losses to American Integrity and cover losses up to $432.5 million, we understand. This gives plenty of room for the cat bonds size to increase during marketing, if investor demand allowed and American Integrity wanted to cover more of this layer of its reinsurance program.

This will give the notes an initial expected loss of 1.14% and we’re told they are being offered to investors with price guidance in a range from 4.25% to 4.75%.

Update 1:

The Integrity Re 2019-1 cat bond issuance is now targeting from $50 million to $75 million in terms of size, while the pricing has now been fixed to the upper-end of initial guidance, at 4.75%.

Update 2:

The Integrity Re 2019-1 cat bond issuance shrank to the $50 million lower-end of size targets, while the pricing settled at the upper-end of initial guidance, at 4.75%.

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