AXA Global Life’s excess mortality catastrophe bond transaction Benu Capital Limited has upsized, as was expected, to a total size of €285m, as investors showed a greater desire to allocate capital to the higher risk and return layer of mortality risk.
The Benu Capital mortality cat bond deal launched at €250m in size, with a €150m tranche of Class A noted and a €100m tranche of Class B notes. The Class B notes are the riskier of the two, so providing a higher coupon return for investors.
Yesterday we wrote that the deal was looking likely to upsize, with the Class A notes said to be sized at €120m to €150m, depending on demand, and the Class B tranche €130m to €160m, so looked certain to upsize.
At final pricing the Benu Capital deal did indeed upsize and investors showed that the higher risk and return Class B layer was the preferred. Sources told Artemis today that the Class A notes have settled at a size of €135m, while the Class B notes grew to €150m, giving the overall size of €285m.
In terms of pricing there has been no change from yesterday’s update. The Class A tranche priced at 2.55% and the Class B at 3.35%. Both of these numbers are above the initial mid-points of price guidance, nearer to the top-end suggesting investors put pressure on achieving what they viewed as a reasonable return for the mortality risks assumed.
The pricing results in the Class A notes launching with a multiple of nearly 4x the expected loss of 0.64% and a return spread above the expected loss of 1.91%. The Class B tranche pay a multiple of 2.5x the expected loss of 1.33% and a spread above it of 2.02%.