Swiss Re Insurance-Linked Fund Management

Xactanalysis Insights and PCS

Northshore Re II Ltd. (Series 2021-1)

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Northshore Re II Ltd. (Series 2021-1) – At a glance:

  • Issuer: Northshore Re II Ltd.
  • Cedent / sponsor: AXIS Capital Holdings Ltd. subsidiaries
  • Placement / structuring agent/s: GC Securities is structuring agent and bookrunner
  • Risk modelling / calculation agents etc: AIR Worldwide
  • Risks / perils covered: U.S. named storms (inc. Puerto Rico & Virgin Islands), U.S. & Canada earthquake, European windstorm
  • Size: $150m
  • Trigger type: Industry loss index
  • Ratings: NR
  • Date of issue: Dec 2020

Northshore Re II Ltd. (Series 2021-1) – Full details:

This is AXIS Capital’s fifth catastrophe bond issuance under the Northshore name and sees the company looking to further embed cat bond backed protection within its reinsurance and retrocession program.

Northshore Re II Ltd., AXIS’ Bermuda based special purpose insurer, will seek to issue at least $100 million of notes to investors, with the proceeds set to be used to collateralize reinsurance agreements between the SPI and the sponsor.

The notes issues will provide AXIS Capital and certain subsidiaries with a three-year source of multi-peril catastrophe reinsurance protection, on a weighted industry loss index and annual aggregate basis.  The transaction is slated to come on-risk from the beginning of 2021 and run to the end of 2023, we understand, hence the Series name.

Coverage will be for the same perils as AXIS’ last Northshore catastrophe bond, so U.S. named storms (inc. Puerto Rico & Virgin Islands), U.S. & Canada earthquake risks and European windstorm risks.

Industry loss indices from PCS and PERILS will be used, with risk modelling provided by AIR Worldwide.

The single, currently $100 million tranche of Series 2021-1 Class A notes to be issued by Northshore Re II Ltd. will have an initial expected loss of 1.9% and are being offered to investors with coupon price guidance in a range from 6% to 6.5%, we’re told.

That compares to a 2019 Northshore Re II cat bond which had an initial expected loss of 2.84% and priced at 7.5%, and a 2018 Northshore cat bond deal that had an initial expected loss of 4.47% and priced at just 7.75%.

Update 1:

AXIS’ first catastrophe bond of 2020, which comes on-risk in 2021, grew in size by 50% while marketing, to reach $150 million.

At the same time, the pricing fell to below the low-end of guidance, settling at 5.75%.

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