The Ibis Re II Ltd. (Series 2013-1) catastrophe bond, the fourth cat bond from U.S. specialty insurer Assurant, has increased slightly in size and the price guidance has dropped on two of the tranches of notes that are being offered. Interestingly the pricing on the lowest risk tranche of notes has moved up to the top of the originally marketed range.
Ibis Re II sees Assurant looking for a source of multi-year, fully-collateralized U.S. hurricane reinsurance protection for subsidiaries American Security Insurance Co., American Bankers Insurance Co. of FL, Standard Guaranty Insurance Co., and Voyager Indemnity Insurance Co.
Three Series 2013-1 tranches of cat bond notes are being offered, each providing hurricane protection at different levels within Assurants reinsurance tower. The deal launched with a preliminary size of $175m and all three of the tranches of notes are exposed to the same U.S. hurricane risk, across the main U.S. wind exposed states and also Puerto Rico.
The deal has upsized by just $10m, at the latest update today, to now offer $185m of notes. The Class A tranche, which is the lowest risk, has increased in size from $100m to $110m. The other two tranches remain the same size, at $35m for the Class B notes and $40m for the Class C notes.
The pricing has moved on all three of the tranches. The lowest risk, Class A, tranche began marketing with price guidance coupon range of 3.5% to 4%, but at the latest update the slightly larger tranche is now being offered with a 4% interest coupon, an increase in pricing of 6.7% from the mid-point of the original range.
The Class B notes have priced down from the original range of interest range of 4.5% to 5.25% to now be offered at a coupon of 4.5%, the lower end of the original range, a drop of 7.7% on pricing from the mid-point of the original range. The Class C notes launched with a price guide range of 8% to 8.75% and that has dropped to the bottom end of the range at 8%, a 4.5% reduction from the original price guide mid-point.
So a mixed bag on pricing for Ibis Re II and only a small increase in size. It’s likely that the market is getting more familiar with risk appetites as they currently stand in the ILS investment space, hence the deals are beginning to be marketed with pricing that is much closer to expectations and so the price drops are less dramatic.
Final pricing for this cat bond is expected later today we understand and the deal is expected to settle next week, meaning that this deal will count towards the Q2 and first-half of 2013 issuance total.
You can read all about the Ibis Re II Ltd. (Series 2013-1) catastrophe bond, with details on the underlying structure and reinsurance protection it provides, in our Deal Directory. Or read our article from earlier today containing much more detail on the transaction.