Argo’s Loma Re & two Resilience Re cat bonds have maturity extended further


Insurance and reinsurance group Argo has again elected to extend the maturity date further on its at-risk aggregate multi-peril catastrophe bond Loma Reinsurance (Bermuda) Ltd. (Series 2013-1).

The cat bond market and its investors continue to expect a loss of principal for the remaining $65 million of Class C notes from Argo’s Loma Re 2013 cat bond, but the size of the loss is still unknown and developing it appears.

The Loma Re 2013-1 Class C notes provided Argo with a $65 million source of fully collateralised reinsurance against losses from tropical cyclones, U.S earthquakes and U.S. severe thunderstorms, using a novel dual trigger, both indemnity and industry loss.

As an aggregate cat bond structure, Argo’s Loma Re 2013 Class C cat bond notes face losses from any or all three of last year’s major hurricanes, as it carries exposure to the U.S. and to Puerto Rico, so is likely aggregating losses from each of hurricanes Harvey, Irma and Maria.

As loss development continues, Argo has elected to extend the maturity date now to October 8th 2019, in the hope of claiming on the reinsurance protection they provide once loss development has completed.

These Class C notes from the Loma Re cat bond vehicle are currently marked down for bids of between 45 and 60 cents on the dollar, still suggesting an up to 60% loss of the $65 million principal to the note holders of the tranche.

Yesterday two private catastrophe bond transactions that were issued through the Resilience Re Ltd. platform, which is operated by Willis Towers Watson, have had their maturities extended further, also likely to allow for loss development to continue.

The first, a $63 million Resilience Re Ltd. (Series 1711A) private catastrophe bond transaction, and the second a Resilience Re Ltd. (Series 1741A) zero coupon transaction, which was also issued using the Willis Towers Watson Securities private cat bond platform.

Both of these had their maturities extended in early 2018, as impacts from 2017 catastrophe events looked likely to cause their triggering.

The retention of the collateral continues, as the unknown sponsors have opted now to extend these two private cat bonds through to May 2020.

It’s likely that both of these Resilience Re cat bonds are providing aggregate reinsurance or retrocession coverage, as with so many qualifying U.S. loss events in 2017 (the hurricanes and wildfires mainly), it can take a significant amount of time for losses and industry loss estimates to be finalised.

With the fate of these catastrophe bonds still unknown, we have them all listed on our page detailing catastrophe bond defaults and potential payouts.

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