Recoletos Re DAC (Series 2024-1)

This is the debut catastrophe bond sponsorship of Spanish headquartered global reinsurance company Mapfre Re, as the company looks to complement its traditional retrocession program with a capital markets backed cat bond for the first time.

Mapfre Re has established an issuance vehicle in Ireland, named Recoletos Re DAC, we are told.

Recoletos Re DAC is targeted with the issuance of a single tranche of Series 2024-1 Class A notes, that will be sold to cat bond investors and the proceeds used to collateralize a retrocession agreement between the structure and the sponsor of the issuance, Mapfre Re.

We’re told the target is to secure at least $100 million of protection from the capital markets with this debut cat bond for Mapfre Re.

The notes will provide the reinsurance company with annual aggregate and territory weighted industry-loss triggered retro protection over a three calendar year term to the end of 2027, we understand.

The retrocession will provide Mapfre Re with protection against significant industry loss events caused by named storms in the United States and DC, sources explained.

The $100 million of Series 2024-1 Class A notes that Recoletos Re DAC is set to issue will come with an initial attachment point of 2.36%, an initial expected loss of 2.04% and are being offered to investors with spread price guidance in a range from 5.5% to 6.25%, we are told.

The notes would attach their coverage after losses during a single calendar year risk period reach at attachment point at 600 index point and exhaust coverage at 700, but for a named storm industry loss event to qualify it must drive a PCS loss of above $10 billion, it appears.

Which means this debut Recoletos Re catastrophe bond for Mapfre Re will protect the company against hurricane seasons with multiple significant landfall events.

Notably, while this is yet another US hurricane cat bond to come to market, this deal sees its largest exposure, in expected loss terms, in New York, sources told us. After which the states with the highest EL are Texas, Massachusetts, New Jersey and Florida.

Update 1:

We understand that this Recoletos Re DAC Series 2024-1 catastrophe bond issuance is likely to upsize for sponsor Mapfre Re, with the target now lifted to $125 million of retrocession.

At the same time the price guidance has been lowered, to a revised range of 5% to 5.5%.

Update 2:

Mapfre Re secured its debut Recoletos Re DAC catastrophe bond at the upsized $125 million target. The notes eventually priced to pay investors a spread of 5%, so the bottom-end of the lowered guidance range.