Ramble Re Ltd. (Series 2024-1)

Arch Capital Group is back in the catastrophe bond market seeing retrocessional reinsurance for its Arch Reinsurance unit for only the second time in its history.

Ramble Re Ltd. has been established to secure Arch Re a source of multi-year and fully-collateralized US peak peril catastrophe retrocession across a three-year term.

Ramble Re Ltd. will look to issue a single tranche of Series 2024-1 Class A notes that will be sold to investors and the proceeds used to collateralize a retro reinsurance agreement between it and Arch Re.

A $100 million issuance is targeted and that is slated to provide Arch Re with a weighted industry loss trigger based source of retro, on a per-occurrence basis across a three-year term, we understand.

The protection will cover Arch Re against significant US Northeast named storm and US and Canada earthquake industry loss events.

We’re told the $100 million of Series 2024-1 Class A notes that Ramble Re Ltd. will issue are set to have an initial attachment probability of 4.13%, an initial expected loss of 3.19% and are offered with spread guidance in a range from 6.75% to 7.5%.

It’s also notable that this is the first catastrophe bond we’ve seen to feature Lockton Re Capital Markets as one of facilitators, acting as a co-manager in this case.

This is also now the second cat bond issuance where Howden Tiger Capital Markets & Advisory has taken on both sole structurer and bookrunner roles, showing that firm gaining traction in the cat bond space.

Update 1:

We are told by sources that the spread guidance for the still $100m of Class A notes offered by Ramble Re has been lowered, with a revised range of between 6% and 6.75% now available.

Update 2:

At final pricing, the Ramble Re 2024-1 catastrophe bond issuance remained at $100m in size, while the notes were priced for a spread of 6.25%, so around 12% below the mid-point of initial guidance.