Blue Halo Re 2020 cat bond target lifted to $150m at higher pricing


The target for the new Blue Halo Re Ltd. (Series 2020-1) catastrophe bond transaction from Allianz Risk Transfer has been lifted by 50% to $150 million, while the pricing has moved towards the upper-end of guidance.

haloAllianz Risk Transfer, the specialist and alternative risk focused unit of the global insurance and reinsurance group Allianz, returned to the catastrophe bond market last month with a new Blue Halo Re 2020-1 deal that at launch was targeting $100 million of retrocessional protection for its portfolio.

Allianz Risk Transfer is again looking to catastrophe bond investors to support its retrocessional reinsurance needs on an industry loss basis, with the coverage set to protect some of the risks that the carrier fronts and assumes from insurance-linked securities (ILS) funds such as Nephila Capital.

Allianz Risk Transfer is the ceding reinsurer, through its Bermuda operation, but the subject risks are assumed through its work with the largest ILS fund manager Nephila Capital, we understand.

Blue Halo Re Ltd. is still aiming to issue two tranches of Series 2020-1 notes that will be sold to ILS investors, with the resulting capital used to collateralise two retrocessional reinsurance agreements between the issuer and Allianz Risk Transfer (Bermuda)

The notes will be exposed to U.S. named storm events across all hurricane exposed states and territories on an industry loss trigger basis.

A Class A tranche will provide the sponsor with annual aggregate retro reinsurance across a three-year term, while a Class B tranche will provide second event per-occurrence protection but featuring an aggregate deductible and only across a one-year term.

The Series 2020-1 Class A tranche began offering $75 million of notes, but we’re told this has now been lifted to between $100 million and $125 million.

The Class A tranche will provide annual aggregate protection across a three-year term, with an initial expected loss of 4.41% at the base case. They were offered to cat bond investors with price guidance in a range from 12.5% to 13.5%, but we’re told this has now been lifted to 13.25% to 13.5%, towards the top-end.

The Series 2020-1 Class B layer tranche remains with a target of $25 million and will provide second event per-occurrence cover with an annual aggregate deductible across a single year term. The one year expected loss for these notes is 5.5% at the base case and they were first offered to cat bond investors with coupon price guidance in a range from 14.5% to 16%, but we’re told this has now lifted to the upper-end at 16%.

This transaction is set to price this week and complete the week after.

We’ll update you as the Blue Halo Re Ltd. (Series 2020-1) catastrophe bond comes to market and you can read about every other cat bond transaction in our extensive Artemis Deal Directory.

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