Northshore Re II Ltd. (Series 2022-1)

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Northshore Re II Ltd. (Series 2022-1) – 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
  • Size: $140m
  • Trigger type: Industry loss index
  • Ratings: NR
  • Date of issue: Jun 2022

Northshore Re II Ltd. (Series 2022-1) – Full details:

This is AXIS Capital’s sixth Northshore branded catastrophe bond issuance, as the company continues to look to cat bond backed catastrophe protection from the capital markets as part of its reinsurance and retrocession program.

For its new cat bond, AXIS Capital is using Northshore Re II Ltd., its most recently established Bermuda based special purpose insurer (SPI).

Northshore Re II Ltd. will seek to issue a single tranche of Series 2022-1 Class A notes that will be sold to investors and the proceeds used to collateralize a retrocessional agreement between the SPI and AXIS itself.

The reinsurance coverage will protect AXIS and subsidiaries against losses from US named storms (inc. Puerto Rico & Virgin Islands), as well as U.S. & Canada earthquake risks.

The protection will be across a three year term to July 8th 2025, we understand, and the cat bond is structured to provide annual aggregate protection on a weighted industry loss trigger basis.

The $100 million or more in Series 2022-1 Class A notes will come with an initial attachment probability of 2.48% and initial expected loss of 2.02%, we’re told, while they are being offered to cat bond investors with price guidance in a range from 8.25% to 8.75%, we understand.

Update 1:

AXIS is on-target to upsize this Northshore Re II 2022-1 catastrophe bond to provide it $140 million of catastrophe reinsurance protection, while at the same time the price guidance has been lowered to between 8% and 8.25%.

Update 2:

AXIS Capital secured its latest Northshore Re II 2022-1 catastrophe bond to provide the upsized target of $140 million of peak peril catastrophe retro reinsurance protection, while the notes were eventually priced to pay investors a coupon of 8%, so below the initial spread guidance and indicating strong execution.

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