Ocelot Re Ltd. (Series 2023-1)

This Ocelot Re Ltd. Series 2023-1 issuance is the first catastrophe bond to be sponsored by Hiscox Group since 2002.

Ocelot Re Ltd., established in Bermuda, will issue a single tranche of notes designed to secure Hiscox with $100m or more in retrocessional reinsurance on an aggregate and weighted industry-loss trigger basis.

The company has returned and will use Ocelot Re Ltd. in Bermuda to secure a fully collateralized source of retro reinsurance for its Bermuda underwriting entity and its Lloyd’s syndicate 33, Artemis understands.

Ocelot Re Ltd. will look to issue a $100 million or greater tranche of Series 2023-1 Class A notes, to provide Hiscox with a multi-year source of US and Canada named storm and earthquake retrocession.

The retrocessional reinsurance protection from this Ocelot Re catastrophe bond will be structured on an annual aggregate and weighted PCS industry-loss trigger basis, we understand, with coverage running across three annual risk periods from calendar year 2024 through 2026.

We’re told there is a $10 billion per-event deductible in place with this deal, meaning a named storm or earthquake won’t qualify to aggregate under this cat bond until the industry-loss reported is above that level.

The $100 million of Ocelot Re Ltd. Series 2023-1 Class A catastrophe bond notes will have an initial attachment probability of 3.53%, an initial expected loss of 2.66% and are being offered to investors with price guidance for a spread of between 8.25% and 9%, we’re told.

Update 1:

We’re told Hiscox has upsized the target for this Ocelot Re 2023-1 catastrophe bond by 25% to $125 million.

At the same time, the price target has been lowered, with a new range of 7.75% to 8.25% now offered to investors.

Update 2:

We’ve now learned that Hiscox successfully secured the upsized $125 million in protection with its first catastrophe bond in over 21 years, as the Ocelot Re 2023-1 Class A notes priced to pay investors a spread of 7.75%, which is roughly 10% below the mid-point of initial guidance.