Wrigley Re Ltd. (Series 2023-1)

Investment giant Blackstone has returned for its second catastrophe bond seeking insurance protection for its real estate investment funds, via its real estate and property focused captive insurer, but for 2023 has shifted away from parametric to seek a source of indemnity based cover for multiple perils with this second Wrigley Re cat bond deal.

Wrigley Re Ltd. will issue two tranches of Series 2023-1 notes and these will be sold to collateralize retrocessional reinsurance agreements with global reinsurer Hannover Re, who fronts the capital markets for Blackstone, then passing on the coverage through reinsurance agreements to the Gryphon Mutual Property Americas IC real estate captive insurer of the investment giant, which in turn passes the coverage on to funds managed by Blackstone, we understand.

The tranches of notes will both provide Blackstone with three years of indemnity based catastrophe insurance protection, running to July 28th 2026, but there are differences in the perils and covered areas, as well as the forms of coverage.

The Class A tranche of notes are targeted at $100 million in size and will provide Blackstone with per-occurrence named storm protection across the US and Canada, as well as annual aggregate earthquake protection for all US states except California and Canada, we’re told.

The Class B tranche of notes are targeted at $150 million in size and will provide Blackstone with annual aggregate California only earthquake protection, we understand.

The Class A tranche would attach at $350 million of losses and exhaust coverage at $650 million, with an initial attachment probability of 0.95%, an initial expected loss of 0.56% and are being offered with spread price guidance in a range from 6.5% to 7%, sources said.

While the Class B tranche would attach at $750 million of losses and exhaust coverage at $900 million, with an initial attachment probability of 1.2%, an initial expected loss of 1.03% and are being offered with spread price guidance in a range from 7% to 7.5%, we are told.

This second Wrigley Re catastrophe bond is an interesting structure, combining different perils, regions and forms of coverage and shows Blackstone’s increasing comfort level with the cat bond market as a source of efficient disaster insurance for its real estate investment business.

Update 1:

There has been no change to the size target for this catastrophe bond, with still $250 million of protection sought by Blackstone.

But the pricing has been adjusted, we’re told, with both tranches not aiming for pricing at their low-ends of guidance.

The Class A tranche of notes that will provide Blackstone with per-occurrence named storm protection across the US and Canada, as well as annual aggregate earthquake protection for all US states except California and Canada, and have an initial expected loss of 0.56% were initially offered with spread price guidance in a range from 6.5% to 7%, but that has now been fixed at the low-end of 6.5% we understand.

The Class B tranche of notes that will provide Blackstone with annual aggregate California only earthquake protection, that have an initial expected loss of 1.03%, were first offered with spread price guidance in a range from 7% to 7.5%, and this has also now fallen to the low-end of 7%, we’re told.

Update 2:

Blackstone has successfully secured its targeted $250 million of multi-peril, named storm and earthquake, and indemnity based catastrophe insurance protection for its real estate funds, through this new Wrigley Re Ltd. (Series 2023-1) cat bond transaction.

At closing, the $100 million Class A tranche of notes, that provide per-occurrence named storm protection across the US and Canada, as well as annual aggregate earthquake protection for all US states except California and Canada, and have an initial expected loss of 0.56% priced at the low-end of spread guidance at 6.5%

The $150 million Class B tranche of notes, that provide annual aggregate California only earthquake protection, also priced for a spread at the low-end of initial guidance at 7%.