Wrigley Re Ltd. (Series 2021-1)

This is a debut catastrophe bond issue from mutual insurance captive Gryphon Mutual Insurance, a real estate focused captive insurer owned by private equity investment giant Blackstone, and the company is seeking at least $50 million of parametric reinsurance protection against losses from California earthquake with its first cat bond deal.

Hannover Re is acting as a ceding reinsurance company for this Wrigley Re catastrophe bond, interfacing with the capital markets investors on behalf of Gryphon Mutual Insurance, which will be the ceding insurer to benefit from the reinsurance protection the notes provide.

Blackstone established Gryphon Mutual Insurance as a real estate property focused captive insurer in 2020, we understand.

A new Bermuda based special purpose insurer named Wrigley Re Ltd. has been established for this cat bond issuance.

We’re told that Wrigley Re Ltd. will look to issue a single $50 million tranche of Series 2021-1 Class A notes, with the notes to be sold to investors and the proceeds to be used to collateralize retrocessional agreements between Hannover Re and Wrigley Re.

We assume that Hannover Re will then enter into a reinsurance agreement with Gryphon Mutual to cascade the coverage down, with Blackstone’s captive property insurance program the ultimate beneficiary.

The notes will provide a source of fully-collateralized reinsurance protection against losses from California earthquakes on a parametric trigger and per-occurrence basis, we understand.

The coverage will run for roughly a three-year term to the end of June 2024 and is focused on specific calculation locations for the earthquake parametric trigger, it appears.

The $50 million of notes to be issued by Wrigley Re Ltd. will have an initial expected loss of 0.99% and are being offered to cat bond investors with price guidance in a range from 2.75% to 3.25%, we’re told.

Update 1:

The price guidance has been reduced during marketing, with the revised coupon range falling to 2.25% to 2.75%, which at the mid-points represents a roughly 17% decline in pricing.

Update 2:

At pricing, the coupon for the $50 million of notes to be issued was fixed at 2.4%, which represents a 20% drop in pricing from the initial mid-point of guidance.