The Massachusetts Property Insurance Underwriting Association (MPIUA) latest catastrophe bond Cranberry Re Ltd. (Series 2015-1) has upsized by 50%, growing to $300m before close, while the pricing settled at the low-end of guidance.
Cranberry Re is the first cat bond from the MPIUA, the Massachusetts state wind pool property insurer for those unable to access traditional insurance markets, since 2010 when it sponsored Shore Re Ltd., a deal that matured in 2013.
The MPIUA’s second cat bond transaction, Cranberry Re launched as a $200m deal targeting a source of reinsurance protection against losses from State of Massachusetts named storms (so tropical storm and hurricane risks, severe thunderstorms and winter storms.
The transaction is actually sponsored by Hannover Ruck SE, while the MPIUA receives its protection through a reinsurance agreement with the sponsor.
Thanks to ILS investor demand the single tranche of Cranberry Re Series 2015-1 Class A notes have upsized by 50%, to now offer $300m of risk to investors. The collateralized reinsurance protection it will provide to the MPIUA will provide a valuable diversification of its reinsurance risk capital.
Coupon price guidance for Cranberry Re launched with a range of 3.8% to 4.3%. Artemis understands that this has now been set to the bottom of the launch range, offering investors a 3.8% yield.
With an expected loss of 1.377% on a base case (1.383% sensitivity case), the coupon of 3.8% will provide investors with a multiple of 2.8x (base case) or 2.7x (sensitivity case).