The coupon price guidance for the $100 million Fortius Re II Ltd. (Series 2017-1) catastrophe bond transaction, that seeks reinsurance protection against both property and workers compensation losses for subsidiaries of financial services group AmTrust, has dropped to below the initial launch range.
The innovative Fortius Re II Ltd. catastrophe bond is the first broadly marketed 144a deal we’ve heard of from AmTrust, and targets a source of both property and workers compensation reinsurance coverage for the sponsor and its subsidiaries in a two section deal.
Special purpose insurer Fortius Re II Ltd. is still looking to issue and sell a single tranche of notes to ILS investors, with the size of the Class 1 tranche still targeting $100 million of cover, we’re told.
The Fortius Re II 2017-1 cat bond will cover certain losses from U.S. named storm, U.S. earthquake and Canada earthquake reinsurance protection across a four-year term, but with one Section A limit offering indemnity property reinsurance protection for all covered perils on a per-occurrence basis, while the Section B limit covers modelled losses to a workers compensation portfolio due to just earthquake impacts across the U.S. and Canada only also on a per-occurrence basis.
The deal launched with coupon price guidance in a range from 4% to 4.5%, which we said at the time was generous given the initial expected loss.
We’re told that while the size target remains $100 million, the pricing guidance has dropped to below the initial range and AmTrust is now targeting a coupon of between 3.75% and 4% at close.
We understand that the transaction is set for final pricing later this week, so there is still time for this deal to upsize if investor demand and the sponsors requirements support that. But it looks like the pricing will, as anticipated, come in lower than the initial guidance.
We’ll keep you updated as the Fortius Re II Ltd. (Series 2017-1) catastrophe bond transaction proceeds to market and will update you once final terms are known.
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