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Argo’s Loma Re 2013 Class C cat bond notes extended to 2019


Argo Group’s at-risk $65 million Class C tranche of notes from its Loma Reinsurance (Bermuda) Ltd. (Series 2013-1) multi-peril catastrophe bond has had its maturity date extended into 2019, as loss development continues.

This is another of the catastrophe bonds that had its maturity extended following the 2017 hurricanes and catastrophe losses, and its likely being further extended as the insurance and reinsurance firm allows for continue development of its ultimate net losses from last year.

Industry loss estimates for the 2017 hurricanes have continued to rise and Argo’s Loma Re 2013 catastrophe bond which utilises a novel dual trigger, both indemnity and industry loss, remains one of those considered at-risk by the market.

Uncertainty over the amount of loss faced for noteholders of this Loma Re tranche remains heightened, as with other industry loss trigger cat bonds, while the final estimates are awaited.

The notes pricing in the secondary market hasn’t changed since the last extension, with broker sheets still pegging it at bids of around 55 to 57, suggesting a roughly 45% erosion of principal could be anticipated by investors in this cat bond.

As an aggregate structure, Argo’s Loma Re 2013 Class C cat bond notes face qualifying losses from all three of last year’s major hurricanes, being exposed to the U.S. and Puerto Rico, so may be affected by aggregating losses from each of hurricanes Harvey, Irma and Maria.

The Loma Re 2013-1 catastrophe bond from Argo was first cited as likely to face some losses soon after the hurricanes struck the United States and Puerto Rico in the second-half of 2017. In January the insurer elected to extend the maturity of this Class C tranche, while allowing the other tranches to mature, then the maturity of the Class C notes was extended again to July. and most recently the maturity date was extended even further, to October 8th 2018.

The loss development for the hurricanes continues, particularly for Irma and so the re/insurer has opted to extend into 2019, with the new maturity for these Class C notes now set for January 8th 2019.

Whether the final loss estimates will have been released by that stage remains uncertain, hence some further extensions of maturity may be expected.

The Loma Reinsurance (Bermuda) Ltd. (Series 2013-1) catastrophe bond from Argo Group is featured in our listing of cat bond payouts and defaults, where you can find details of all catastrophe bonds triggered and payouts made, since the market began.

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