Mayflower Re Ltd. (Series 2024-1)

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

Using Bermuda-based vehicle Mayflower Re Ltd. again, the MPIUA’s 2024 catastrophe bond will feature a single tranche of notes that will be sold to investors, with the proceeds used to collateralize retrocessional reinsurance agreements with global reinsurer Hannover Re, which is acting as the fronting risk transformer for this cat bond.

As a result of which, Hannover Re will in turn be able to provide the catastrophe reinsurance to the MPIUA.

This Mayflower Re Series 2024-1 cat bond will provide the MPIUA with a source of indemnity based and annual aggregate reinsurance over a three-year term, running until the end of June 2027, we’re told.

The currently $100 million of Class A notes will cover losses from Massachusetts named storm, severe thunderstorm and winter storm events, the same range of perils covered by previous cat bonds that benefited the MPIUA, issued in 2015, 2017 and 2023.

To qualify under the terms of the cat bond, an event must breach a $10 million ultimate net loss deductible, we understand.

The Class A tranche of notes are preliminarily sized at $100 million and would cover losses from an attachment point of $1.25 billion, exhausting at $1.75 billion of losses to the MPIUA risk pool, sources have said.

Which gives the Mayflower Re Series 2024-1 Class A notes an initial attachment probability of 1.267%, an initial base expected loss of 1.059% and these notes are being marketed to investors with spread price guidance in a range from 4% to 4.5%.

Update 1:

We’re told this cat bond has not changed in size, remaining at $100 million, but the price has been lifted to the top-end of initial guidance, to pay investors a spread of 4.5%.