Swiss Re Insurance-Linked Fund Management

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Integrity Re Ltd. (Series 2023-1)

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

  • Issuer: Integrity Re Ltd. (Series 2023-1)
  • Cedent / sponsor: American Integrity Insurance Company of Florida, Inc. via Hannover Rück SE
  • Placement / structuring agent/s: Gallagher Securities is sole structuring agent & bookrunner
  • Risk modelling / calculation agents etc: AIR Worldwide
  • Risks / perils covered: Florida named storm
  • Size: $150m
  • Trigger type: Indemnity
  • Ratings: NR
  • Date of issue: Mar 2023

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

This is the sixth Integrity Re catastrophe bond issuance for sponsoring cedent insurer American Integrity Insurance Company of Florida, Inc.

Bermuda special purpose insurer (SPI) Integrity Re Ltd. will seek to issue a single tranche of Series 2023-1 Class A notes, with the proceeds set to collateralize a new capital markets backed source of peak catastrophe reinsurance coverage for American Integrity.

Hannover Re will front the capital markets for American Integrity, entering into a retrocession agreement with the issuing vehicle and then passing on the reinsurance protection to the ceding insurer.

This Integrity Re Series 2023-1 cat bond will provide American Integrity with a targeted $100 million or more in reinsurance protection against named storm events in Florida, on an indemnity and cascading per-occurrence basis across two Atlantic wind seasons, with the risk period running from June 1st 2023 to the end of May 2025, sources said.

The Class A notes will have an initial attachment point at $450 million of losses, covering a percentage of a layer up to $650 million in the American Integrity reinsurance tower, we’re told. The effective loss attachment point is higher though, as the notes will inure to reinsurance layers beneath, so attaching around $925 million on a first-event basis, we understand.

As a result, the targeted $100 million of notes Integrity Re Ltd. will issue come with an initial attachment probability of 1.67%, an initial base expected loss of 1.47% and are being marketed with spread price guidance of 11% to 12%.

Update 1:

The target size for this Integrity Re 2023-1 catastrophe bond has not changed, with still $100 million of Florida named storm reinsurance being sought for the sponsor.

The price guidance has been adjusted though, with a revised range of an 11.5% to 12% spread now being offered to investors.

In addition, we’re also told that supplementary information has been sent to investors regarding the reset of this cat bond, with certain limitations around that feature of the cat bond clarified to make clear where the reset bounds lie.

Update 2:

The Integrity Re 2023-1 cat bond is now looking set to upsize by 50% to $150m in size.

The price guidance has now been fixed at the upper-end of 12%.

Update 3:

America Integrity secured its targeted 50% upsizing for this new Integrity Re 2023-1 catastrophe bond, with the deal set to provide it $150 million of reinsurance.

The spread pricing was finalised at the top-end of initial guidance, at 12%.

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