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American Integrity’s 2020 cat bond has maturity extended on Ian threat


Catastrophe bonds sponsored by US primary insurer American Integrity have been among those considered threatened by potential losses due to last year’s hurricane Ian and now the first of the Integrity Re series of cat bonds has seen its scheduled maturity date extended, Artemis can report.

american-integrity-logoAmerican Integrity sponsored the $150 million Integrity Re II Pte. Ltd. (Series 2020-1) three years ago, with the transaction providing the insurer with Florida specific named storm reinsurance protection.

The $150 million of Class A notes from this cat bond issuance were scheduled to mature this month, April 2023.

But, with American Integrity’s ultimate loss from hurricane Ian still seen as developing, we understand the decision has been taken to extend these notes to retain the collateral and ensure it remains available, should any reinsurance recoveries come due.

Soon after major hurricane Ian struck Florida last September 2022, all of American Integrity’s in-force Integrity Re cat bonds were marked down, as investors saw them as some of the most exposed to losses from the storm.

Within a few weeks, a number of those cat bonds seen most exposed to hurricane Ian saw recoveries in value, the Integrity Re series among them.

The Integrity Re II Pte. Ltd. (Series 2020-1)  is still seen as the most exposed that American Integrity had sponsored, with its pricing marked down still today.

Soon after Ian, the $150 million of Class A notes from the Integrity Re II cat bond issuance had been marked down for bids below 10 cents on the dollar, suggesting significant reinsurance recoveries were possible.

They then recovered to be priced for bids around 30 to 40 cents within weeks and that recovery continued.

As of the latest cat bond pricing sheets seen by Artemis, the Integrity Re II notes appear marked down for bids of between 50 and 60 cents.

So that equates to a mark-down of 40% to 50% of value, suggesting cat bond investment managers still believe these are some of the notes that have the potential to end up facing some loss of principal due to hurricane Ian.

We’re now told that, to allow for continued loss development of American Integrity’s ultimate, the Integrity Re II Series 2020 Class A notes have had their maturity date extended out by five years, to April 2028.

Other still in-force cat bonds of American Integrity’s remain marked down around 10 to 20 points, but as these issues have longer to run until their maturity they haven’t at this stage had any extensions of those maturities applied.

You can view details of many catastrophe bonds that have been triggered and made payouts, as well as cat bonds currently considered at-risk, in our Deal Directory.

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