Marlin Re Ltd. (Series 2022-2)

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Marlin Re Ltd. (Series 2022-2) – At a glance:

  • Issuer: Marlin Re Ltd.
  • Cedent / sponsor: Southern Fidelity Insurance Company
  • Placement / structuring agent/s: GC Securities is sole structuring agent and bookrunner. Aon Securities and Tiger Risk Capital Markets & Advisory are co-managers
  • Risk modelling / calculation agents etc: AIR Worldwide
  • Risks / perils covered: Florida, Louisiana, Mississippi and South Carolina named storms
  • Size: $100m
  • Trigger type: Indemnity
  • Ratings: NR
  • Date of issue: May 2022

Marlin Re Ltd. (Series 2022-2) – Full details:

The Marlin Re Ltd. (Series 2022-2) cat bond issuance, which will provide named storm and hurricane reinsurance protection to Southern Fidelity Insurance Company, an insurer that ILS investment manager Hudson Structured (through HSCM Bermuda) took ownership of in 2020.

The Series 2022-2 notes will cover named storm impacts in the states of Florida, Louisiana, Mississippi and South Carolina, sources said.

A $60 million tranche of Series 2022-2 Class A notes will provide Southern Fidelity with two years of indemnity and per-occurrence cover from June, attaching at $250 million of losses, with an initial expected loss of 2.38% and they are being offered to cat bond investors with price guidance of 11% to 12%.

A $40 million tranche of Series 2022-2 Class B notes will provide Southern Fidelity with one year of indemnity and per-occurrence cover from June, attaching at $150 million of losses, with an initial expected loss of 4.66%. This tranche are zero-coupon and so being offered to cat bond investors with price guidance of 84% to 85% of par (a roughly 15% to 16% coupon equivalent).

An unsized Series 2022-2 Class C tranche of notes will provide Southern Fidelity with one year of indemnity and per-occurrence cover from June, we understand, attaching at $100 million of losses, with an initial expected loss of 7.56%. 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.

A final also unsized Series 2022-2 Class D tranche of notes will provide Southern Fidelity 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 3.65%. This Class D tranche are also zero-coupon in nature and are again 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 at the same time as this 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.

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