Swiss Re Insurance-Linked Fund Management

PCS - Emerging Risks, New Opportunities

Titania Re Ltd. (Series 2021-2)

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Titania Re Ltd. (Series 2021-2) – At a glance:

  • Issuer: Titania Re Ltd.
  • Cedent / sponsor: Syndicate 1910 (Ariel Re)
  • Placement / structuring agent/s: TigerRisk Capital Markets & Advisory is sole structuring agent and joint bookrunner. Aon Securities is joint bookrunner.
  • Risk modelling / calculation agents etc: AIR Worldwide
  • Risks / perils covered: U.S., Puerto Rico, U.S. Virgin Islands, D.C., Canada named storm and earthquake
  • Size: $175m
  • Trigger type: Industry loss index
  • Ratings: NR
  • Date of issue: Dec 2021

Titania Re Ltd. (Series 2021-2) – Full details:

This is the second catastrophe bond to be sponsored by Bermuda based global reinsurance company Ariel Re, as it seeks more capital markets backed retrocession for its Lloyd’s Syndicate 1910 operation.

Syndicate 1910 is the ultimate ceding company, which is the underwriting vehicle that private equity backed, expansive reinsurer Ariel Re principally uses for its global reinsurance business.

Bermuda registered special purpose insurer (SPI) Titania Re Ltd. will seek to issue a single tranche of notes, that will be sold to investors and the proceeds used to provide Ariel Re with a multi-year source of retro reinsurance to cover certain losses from U.S. 50 state, Puerto Rico, U.S. Virgin Islands, D.C. and Canada named storms and earthquakes.

The coverage will run across a three year period, like the 2021-1 Titania Re cat bond deal.

So the 2021-2 cat bond will cover Ariel Re’s Syndicate 1910 through to December 2024 and also like the first cat bond is structured using an industry loss trigger, providing annual aggregate retro protection.

The single tranche of Series 2021-2 Class A notes would attach at an index loss level of $1.05 billion and covering losses up to $1.383 billion, after a $45 million per-event deductible, we’re told.

We understand that the $150 million of Series 2021-2 Class A notes will have an initial expected loss of 3.32% and have been offered to investors with coupon price guidance in a range from 6.75% to 7.25%.

For comparison, the 2021-1 cat bond had, which also attached around $1 billion with a $45 million deductible per-event, had an expected loss at issuance of 1.98% and paid investors a 4.5% coupon.

Update 1:

The target size for this Titania Re 2021-2 catastrophe bond issuance increased to $175 million while the deal was marketing.

At the same time, the price guidance was lowered and narrowed to 6.25% to 6.75%, suggesting that Ariel Re will secure its latest cat bond coverage at the bottom end of initial pricing, or perhaps even below it.

Update 2:

Ariel Re secured the upsized $175 million target for its second Titania Re catastrophe bond, while the coupon pricing settled at 6.5%, so below the initial guidance, representing a multiple-at-market of 1.96 times the expected loss for the Titania Re 2021-2 cat bond.

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