Maschpark Re Ltd. (Series 2024-1)

This is the first catastrophe bond to ever benefit German re/insurance group Talanx AG with natural catastrophe protection collateralized by the capital markets.

Maschpark Re Ltd. has been established in Bermuda to source a multi-year reinsurance cover for Talanx AG, to protect it against earthquakes focused on Chile and the surrounding region of neighbouring South American countries Peru, Bolivia, Argentina.

We suspect the driver for this debut catastrophe bond for Talanx AG, is the firm’s growing industrial and large risk exposure in Latin America, with a concentration of that in Chile itself, we understand.

Maschpark Re Ltd. has been established in Bermuda to issue a single tranche of Series 2024-1 Class A notes, that will be sold to investors and the proceeds used to collateralize a retrocession agreement between the structure and Hannover Re, which will in turn enter into a reinsurance agreement to pass on the protection to Talanx AG.

The coverage will run across a three-year term, from January 2025 through the end of 2027, we understand from sources, while the reinsurance protection Talanx will benefit from will be on a per-occurrence basis and based on a parametric trigger arrangement.

As said, the coverage will be for earthquake events impacting Chile, but the parametric box extends into Peru, Bolivia, and Argentina. We’re told the central focus of the parametric box is around the Santiago area of Chile, which is likely an area of risk concentration for the sponsor Talanx.

There are different payout factors within the parametric trigger arrangement, depending on location, magnitude and depth of an applicable earthquake event, it appears, with a minimum payout of 25% running up to a full 100% of principal payout, dependent on the exact parameters of an earthquake event.

We understand that the $100 million of Maschpark Re 2024-1 cat bond notes will come with an initial attachment probability of 1.13%, an initial expected loss of 0.92% and spread price guidance of between 3.5% and 4%.

Update 1:

Sources said that the price guidance has been updated for Talanx’s debut Maschpark Re Ltd. (Series 2024-1) catastrophe bond.

The target remains $100 million of parametric earthquake reinsurance protection across the covered South American countries.

But, the price guidance has been narrowed to an updated range of a spread between 3.5% and 3.75%, so the lower-half of the initial guidance.

Update 2:

Talanx eventually priced its debut catastrophe bond at the low-end of initial guidance.

The Maschpark Re Ltd. (Series 2024-1) issuance remained at $100 million in size, but the Class A notes priced to pay investors a spread of 3.5%, so the bottom of the initially marketed range.