Marlin Re Ltd. (Series 2022-1)

The Marlin Re Ltd. (Series 2022-1) cat bond issuance, which will provide named storm and hurricane reinsurance protection to Weston Property and Casualty Insurance Company, an insurer that ILS investment manager Hudson Structured (through HSCM Bermuda) took majority ownership of in 2020.

The Series 2022-1 notes will cover named storm impacts in the states of Florida, Louisiana, Mississippi, Texas and South Carolina, we understand.

A $50 million tranche of Series 2022-1 Class A notes will provide Weston with two years of indemnity and per-occurrence cover from June, attaching at $220 million of losses, with an initial expected loss of 2.88% and they are being offered to cat bond investors with price guidance of 10.5% to 11.5%.

A $20 million tranche of Series 2022-1 Class B notes will provide Weston with one year of indemnity and per-occurrence cover from June, attaching at $140 million of losses, with an initial expected loss of 4.64%. This tranche are zero-coupon and so being offered to cat bond investors with price guidance of 85.5% to 86.5% of par (a roughly 13.5% to 14.5% coupon equivalent).

An unsized Series 2022-1 Class C tranche of notes will provide Weston with one year of indemnity and per-occurrence second and subsequent event cover from June, we understand, attaching at $25 million of losses, with an initial expected loss of 3.89%. This Class C tranche are also zero-coupon in nature and are being offered with price guidance of 80% of par, a roughly 20% coupon equivalent.

Marlin Re Ltd. has been established as a Bermuda based company for the issuance of series of catastrophe bonds.

The issuer is offering a Series 2022-1 set of notes to investors to provide Weston with reinsurance and at the same time a Series 2022-2 set of notes to reinsure Southern Fidelity.

Both series will provide the beneficiary insurer with multi-year US named storm reinsurance in a fully-collateralized format from the capital markets.

Update 1:

Only the Class A notes are continuing to be issued, now sized at $45 million, while the price guidance has now been elevated significantly to between 15% and 16%.

The other two tranches now won’t be issued.

The second series from Marlin Re, the 2022-2 issuance for insurer Southern Fidelity, were pulled from issuance.

Update 2:

The Class A tranche of notes remained at $45 million in size and priced at the top of elevated guidance, at 16%.

Update 3:

In the end, Weston did not complete the issuance of this Marlin Re 2022-1 catastrophe bond and the deal was pulled very suddenly before its settlement date.

We assume this is due to the financial issues Weston was facing, that eventually led to its downgrading and heading for insolvency.