Allianz’s Blue Halo Re cat bond grows to $185m, to price near top-end


The Blue Halo Re Ltd. (Series 2016-1) catastrophe bond, which is sponsored by Allianz Risk Transfer a unit of the Allianz global insurance and reinsurance group, has increased in size while marketing by 23% to now look like settling to offer $185m of protection.

When the Blue Halo Re cat bond launched at the end of May, it saw Allianz’s ART unit (which specialises in alternative risk transfer, tailored and non-traditional insurance or reinsurance) seeking a $150m fully collateralized source of reinsurance coverage for losses from U.S. peak perils from ILS investors.

During marketing, investor demand has helped Allianz ART to increase the size of the cat bond by 23%, so it now looks set to reach $185m in size. At the same time the price guidance on the two tranches of notes being issued has moved towards the upper-end of initial guidance.

Reinsurance cover from the two tranches of notes will be for U.S. named storms (so tropical storms, hurricanes and any storm that has been named by the NHC) across all U.S. storm exposed states, including Florida, the Gulf Coast and east coast, as well as U.S. earthquake risks across all states.

Industry loss triggers, with PCS the reporting agency for both perils, will decide when losses may be due, and the reinsurance coverage will be on an aggregate basis across the term with resets possible on an annual basis. The transaction will run for three-years, providing Allianz ART with coverage to June 2019.

The Blue Halo Re Series 2016-1 Class A notes began life as a $100m tranche, but that has now been increased to $130m, we understand. At the same time the price guidance, which at launch was 13% to 14%, has now been moved to the top-end at 14%.

Meanwhile, the Class B tranche of notes which are riskier, were launched at $50m in size and have now grown to $55m. This tranche was initially offered to investors with coupon guidance of 18% to 20%, but that guidance has now been fixed near the upper-end at 19.75%.

At the new price guidance the multiples paid to investors are more in-line with the recent issuance seen in the catastrophe bond market.

The $130m of Class A notes, with an expected loss of 7.24% at the base case or 8.56% WSST, would pay investors 1.9 times EL at the base case, or 1.6 times the WSST, at the revised price guidance. The $55m of Class B notes, with an expected loss of 11.53% base and 13.19% WSST, would pay investors 1.7 times EL at the base case, or 1.5 times the WSST, using the revised upwards coupon.

The Blue Halo Re 2016-1 cat bond is set to reach final pricing today, we’re told, with settlement being targeted for next Thursday 19th June.

You can read all the details about Allianz Risk Transfer’s Blue Halo Re Ltd. (Series 2016-1) catastrophe bond and every other transaction in the Artemis Deal Directory.

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