Mayflower Re Ltd. (Series 2023-1)

This will be the fourth catastrophe bond issued to benefit the Massachusetts Property Insurance Underwriting Association (MPIUA), a residual market property insurance association or FAIR Plan for the Commonwealth of Massachusetts.

It is the first cat bond issued for the Massachusetts MPIUA since 2017, marking its return to the ILS market in search of catastrophe reinsurance from capital market investors.

Mayflower Re Ltd. is a new Bermuda-based issuance vehicle and it will issue and sell two tranches of Series 2023-1 cat bond notes to investors, with the proceeds used to collateralize retrocessional reinsurane agreements with global reinsurer Hannover Re, which is acting as the fronting risk transformer for this cat bond.

Hannover Re will in turn provide the catastrophe reinsurance to the MPIUA.

This Mayflower Re 2023-1 cat bond will provide a source of indemnity based and annual aggregate reinsurance to the MPIUA over a three-year term to the end of June 2026, we’re told.

The two tranches of notes issued will cover losses from Massachusetts named storm, severe thunderstorm and winter storm events, the same range of perils covered by the two previous Cranberry Re cat bonds that benefited the MPIUA, issued in 2015 and 2017.

The Class A tranche of notes are preliminarily sized at $75 million and would cover losses from an attachment point of $850 million, exhausting at $1.25 billion of losses to the MPIUA risk pool, we’re told.

That gives the Class A notes an initial attachment probability of 1.322%, an initial base expected loss of 1.084% and these notes are being marketed to investors with spread price guidance in a range from 4.25% to 4.75%, we understand.

The Class B tranche of notes are larger, preliminarily sized at $100 million, and riskier so would cover losses from an attachment point of $550 million, exhausting at $850 million of losses, its’ said.

That gives the Class B notes an initial attachment probability of 1.954%, an initial base expected loss of 1.598% and these notes are being marketed to investors with spread price guidance in a range from 5% to 5.5%, sources explained.

Update 1:

The Massachusetts Property Insurance Underwriting Association (MPIUA) has now lifted the top-end target for its new Mayflower Re 2023-1 catastrophe bond to as much as $250 million, we understand.

The Class A tranche of notes are now pitched at a larger $100 million in size, while their spread pricing has been updated and fixed at 4.5%.

Meanwhile, the Class B tranche of notes are now a larger $150 million offering, but their price has been fixed above the initially marketed guidance range, for a spread of 5.75%.

We’re told these are likely to be the finalised sizes and spreads for the two tranches of notes, but the pricing is not due until later today, so we will update you if there is any additional change.

Update 2:

There was no change to the above and the Mayflower Re 2023-1 catastrophe bond was priced to provide the MPIUA $250 million of multi-year collateralized reinsurance.

The Class A tranche of notes settled at $100 million in size, with a spread of 4.5%.

Meanwhile, the Class B tranche of notes settled at $150 million, with a spread of 5.75%.