Sanders Re Ltd. (Series 2017-1)

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Sanders Re Ltd. (Series 2017-1) – At a glance:

  • Issuer: Sanders Re Ltd. (Series 2017-1)
  • Cedent / sponsor: Allstate
  • Placement / structuring agent/s: Aon Securities is sole structuring agent and joint bookrunner. Goldman Sachs joint bookrunner.
  • Risk modelling / calculation agents etc: AIR Worldwide
  • Risks / perils covered: U.S. named storms, U.S. earthquake, severe thunderstorm, volcanic eruption, meteorite impact
  • Size: $375m
  • Trigger type: Indemnity
  • Ratings: NR
  • Date of issue: Mar 2017

Sanders Re Ltd. (Series 2017-1) – Full details:

Allstate is back with a new Sanders Re transaction, targeting at least $300 million of fully collateralised reinsurance protection from a Series 2017-1 issuance.

The Sanders Re 2017-1 cat bond will cover Allstate and subsidiaries against losses from a range of U.S. perils, including named storms, earthquakes, severe thunderstorms, volcanic eruption and meteorite impacts.

Coverage is for all U.S. states except for Florida and New Jersey, we understand, although we’re told New Jersey coverage can be added at a reset if Allstate should choose to.

A single tranche of Class A notes will be sold to investors to collateralise the underlying reinsurance deal, providing Allstate with coverage on an indemnity and per-occurrence basis across a four and a half-year risk period, running to November 2021, so this deal actually covers five U.S. hurricane seasons for the insurer.

The Class A notes have an attachment probability of 1.12% and an expected loss of 0.86%, we’re told, and are being marketed to cat bond and ILS investors with price guidance of 3.25% to 3.75%, which reflects a reasonably high multiple in the current market.

Update 1:

The Sanders Re 2017-1 catastrophe bond increased in size by 25% while marketing, reaching $375 million of notes. At the same time the price guidance was lowered to below the initial range and narrowed to 3% to 3.25%.

Update 2:

At final pricing the Sanders Re 2017-1 cat bond settled at the low end of the reduced guidance, to pay investors a coupon of 3%, which equates to a multiple of around 3.48 times the expected loss.

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