Price guidance on the notes issued in Japanese insurance group Tokio Marine & Nichido Fire’s latest catastrophe bond transaction, Kizuna Re II Ltd., has been lowered and the range tightened as the cat bond progresses to market.
According to ILS market sources, the price guidance on one tranche of notes being issued by Kizuna Re II has been lowered to the bottom end of the originally marketed range, while the pricing on the second tranche has seen the range narrow while dropping to below the original guidance.
With its Kizuna Re II Ltd. catastrophe bond Tokio Marine is looking for a capital markets investor backed source of fully-collateralized reinsurance protection against Japanese earthquake risks over a four-year term. The Kizuna Re II cat bond protection is on an indemnity trigger and per-occurrence basis.
The $160m tranche of Series 2014-1 Class A notes, which have an attachment probability of 0.41% and an expected loss of 0.21%, launched with price guidance of 2.25% to 2.5%. The latest price guidance shows that reduced to the bottom of the range, with the Class A tranche now offered with a coupon of 2.25%.
The riskier $40m tranche of Series 2014-1 Class B notes, which have an attachment probability of 0.85% and an expected loss of 0.57%, launched with a price guide range of 2.75% to 3.25%. Artemis understands that the latest guidance sees that pricing guidance narrowed, and lowered to below the bottom end of that range, with the notes now offered with a coupon range of 2.5% to 2.75%.
So once again ILS investors have shown their appetite for new catastrophe bond investment opportunities, helping the pricing to be reduced to the bottom end or below initial guidance.
Final pricing is expected at the end of the week. We’ll update you should any further information emerge.