Pool Re secures £100m of terrorism retro from fourth Baltic PCC catastrophe bond

Pool Re, the UK government backed mutual terrorism reinsurance firm, has now successfully secured the targeted UK £100 million of terrorism retrocession from its fourth catastrophe bond sponsorship, as the Baltic PCC Limited (Series 2026-1) issuance has now priced at the mid-point of guidance, Artemis can report.

We reported last week that Pool Re was back in the catastrophe bond market and for the first time it was looking to sponsor a new issuance while a previous cat bond was still in-force.

Pool Re had only renewed its Baltic cat bonds as each of the previous vintages matured before, but, as we explained when reporting on this year’s UK £2.75 billion retrocession renewal, we heard from sources that Pool Re would look to stagger maturities of this retrocessional terrorism coverage from the capital markets through an expected issuance.

Then, we gleaned more information on the new Baltic PCC Series 2026-1 issuance, explaining that the target size was UK £100 million, while other details of the transaction were extremely similar to the in-force 2025-1 cat bond Pool Re had sponsored, as the terrorism reinsurer looking to fill more of the same layer of its retrocession tower with this new cat bond sponsorship.

Now, we’re told the Baltic PCC Series 2026-1 cat bond notes have been successfully priced, securing Pool Re its targeted UK £100 million of retrocessional reinsurance with the spread to be paid finalised at the middle of the initial offered guidance range.

As a result, Baltic PCC Limited will now proceed with the placement of the UK £100 million single tranche of Series 2026-1 notes that will provide Pool Re three years of retrocessional terrorism reinsurance coverage to the end of March 2029, aligned with the prior deal’s maturity date.

The Baltic PCC 2026-1 cat bond notes will provide Pool Re with terrorism retrocession on an indemnity trigger and annual aggregate basis over that term, covering the same regions of England, Scotland and Wales, as well as the same types of terror attacks as the 2025-1 issuance.

The UK £100 million tranche of Series 2026-1 notes that Baltic PCC Limited will now issue come with an initial expected loss of 2.52% and were first offered to cat bond investors with price guidance in a range from 5.25% to 5.75%.

Now, we’re told the notes have been priced to pay investors an initial risk interest spread of 5.5%, so at the mid-point of that guidance range.

As a result, the Baltic PCC 2026-1 cat bond notes will pay investors a spread multiple of 2.18 times the initial expected loss.

Comparing it to the previous Baltic PCC cat bond deals, the Baltic PCC 2019 terror cat bond notes came with a 2.18 multiple, the Baltic PCC 2022 notes had a multiple of 2.3 times EL, and the still in-force Baltic PCC 2025 terror cat bond notes had a multiple-at-market of 2.32.

So the multiple-at-market of Pool Re’s latest catastrophe bond is lower than the last and now back at the levels seen with its first sponsorship, back in 2019.

Read all about this new Baltic PCC Limited (Series 2026-1) terrorism catastrophe bond in our extensive Artemis Deal Directory.