The Blue Halo Re Ltd. (Series 2016-1) catastrophe bond, that was sponsored by Allianz Risk Transfer, a unit of global insurance and reinsurance group Allianz, has had the maturity date of its $130 million of Class A notes pushed back by one month.
The cat bond when issued secured Allianz Risk Transfer a multi-year source of reinsurance cover for U.S. named storms and U.S. earthquake risks, on an annual aggregate and industry loss trigger basis.
The riskier Class B tranche of notes that were issued have been on watch for losses after 2017’s hurricanes Harvey, Irma and Maria, with the notes marked down severely in the secondary market for months now.
The Class B notes remain priced for a roughly 60% to perhaps 70% loss of principal, but with maturity scheduled for later this month this tranche of notes has not had its maturity extended yet.
The $130 million of Class A Blue Halo Re 2016-1 cat bond notes though had not really been marked down, with their pricing sitting at anything from 97 upwards at this time, depending on the broker pricing sheet looked at.
That implies losses currently aren’t really anticipated, but still the sponsor has elected to extend maturity of the notes by one month.
It’s possible that this Class A tranche of notes has had maturity extended is to allow for the already expected to face a loss Class B notes to mature and for the sponsor to realise a reinsurance recovery under them and to check that there isn’t a chance of a further recovery from the Class A notes.
It’s also possible that the extension has been opted for as there could be some fresh industry loss estimate updates from third-party data providers expected in the coming weeks.
The Class A notes maturity was slated for June 21st, but has now been extended to July 22nd 2019.
Whatever the reason, it seems likely that being an aggregate cat bond, these notes are potentially seen to be exposed in some way to the 2018 catastrophe loss events, given there haven’t really been any major events so far this year that the Blue Halo Re 2016-1 Class A notes could have been exposed to.
We’ll update you should any further information on the fate of these notes come to light.
You can read all about the catastrophe bonds that have defaulted, faced a loss of principal, or that are considered at risk of loss on our page detailing catastrophe bond defaults and potential payouts.
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