Sussex Capital UK PCC Limited (Series 2020-1)

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Sussex Capital UK PCC Limited (Series 2020-1) – At a glance:

  • Issuer: Sussex Capital UK PCC Limited
  • Cedent / sponsor: Brit Syndicates Ltd.
  • Placement / structuring agent/s: GC Securities is sole structuring agent and bookrunner
  • Risk modelling / calculation agents etc: AIR Worldwide
  • Risks / perils covered: U.S. named storm, U.S. earthquake
  • Size: $300m
  • Trigger type: Industry loss index
  • Ratings: NR
  • Date of issue: Dec 2020

Sussex Capital UK PCC Limited (Series 2020-1) – Full details:

This is the first full catastrophe bond from Brit Ltd., the specialty insurance and reinsurance player and part of the Fairfax Financial Group of companies.

With its first catastrophe bond, Brit is seeking multi-peril collateralized U.S. catastrophe retrocessional reinsurance from the capital markets and is using its UK domiciled protected cell company, Sussex Capital UK PCC Limited as the issuer.

Sussex Capital UK PCC Limited will issue a single, currently sized at $250 million Series 2020-1 tranche of notes that will be sold to investors and the proceeds used to collateralize underlying reinsurance agreements between the UK domiciled ILS structure and Brit Syndicates Limited, the companies Lloyd’s underwriting platform and managing agency.

We understand that the ultimate beneficiary of the reinsurance protection will be Brit’s Lloyd’s syndicate 2987.

The catastrophe bond notes will fund a source of multi-year reinsurance protection for Brit, covering it against certain losses from U.S. named storms and U.S. earthquakes, with coverage including Puerto Rico and the U.S. Virgin Islands across a four year term to the end of 2024.

The coverage is retrocessional in nature, being based on a weighted industry loss index trigger and annual aggregate basis, with a franchise deductible based on index points per event for it to qualify.

The currently $250 million of Series 2020-1 cat bond notes that are being issued by Sussex Capital UK PCC will have an initial expected loss of 3.08%, our sources said and will be offered to investors with coupon guide pricing of 7.75% to 8.5%.

Update 1:

Brit’s first catastrophe bond issuance looks to have been successful, as the transaction size has increased to $300 million and at the same time the pricing has been fixed at the low-end of guidance at 7.75%.

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