Long Walk Reinsurance Ltd. (Series 2024-1)

This is the first full 144A cyber catastrophe bond issuance ever to hit the market and sees global speciality re/insurer AXIS Capital looking to tap the capital markets for cyber reinsurance protection for the first time.

For its first cyber catastrophe bond, we’re told that AXIS Capital has established a new Bermuda based company named Long Walk Reinsurance Ltd. to become the special purpose insurer (SPI) that will issue series of cyber cat bonds for the firm.

Long Walk Reinsurance Ltd. will issue a single tranche of Series 2024-1 notes, provisionally sized to provide AXIS $75 million of cover, that will be sold to investors and the proceeds will be used to fully-collateralize a reinsurance agreement to protect AXIS against certain cyber losses.

We understand that the cyber reinsurance coverage from the Long Walk Reinsurance catastrophe bond will provide coverage to benefit AXIS’ main underwriting subsidiaries, including its Lloyd’s syndicate, insurance and reinsurance companies, so providing broad coverage for major cyber loss events that affect the firms portfolios.

The Long Walk Re 2024-1 cyber cat bond notes will cover what are being termed systemic cyber events, sources said, with that coverage structured on an indemnity trigger and per-occurrence basis.

This cyber cat bond will provide AXIS Capital with reinsurance against systemic cyber losses over a two year term, beginning from the start of 2024.

We’re told the $75 million of Series 2024-1 Class A notes that Long Walk Reinsurance Ltd. is offering will provide their reinsurance from an attachment point of $510 million, covering a share of losses across a $140 million layer of AXIS’ cyber reinsurance tower.

The Class A notes come with an initial attachment probability of 2.46%, an initial expected loss of 1.97% and are being offered with spread price guidance of 10%, we understand.

It’s said that CyberCube is the risk modelling agency for this first 144a cyber catastrophe bond, while Aon Securities is the sole structuring agent and bookrunner.

Update 1:

Originally, this first full cyber catastrophe bond had been aiming for completion week beginning November 13th, but now we’re told that pricing will be that week and settlement not until November 28th, so slipping by roughly a fortnight.

But it could be well worth the wait for AXIS, as we understand that the notes now have updated guidance, for a spread of between 9.5% and 10% to be paid to investors, so the notes could price lower than the original target.

Update 2:

At pricing, this first cyber catastrophe bond remained at $75 million in size for AXIS Capital, but the spread was finalised at 9.75%, so below the initial guidance.