Heritage’s Citrus Re 2022-1 Catalytic Bond Sees Price Rise

The new catastrophe bond transaction Citrus Re Ltd. (Series 2022-1) sponsored by Florida-headquartered but nationwide P&C insurer Heritage Insurance Holdings, Inc. saw its price forecast rise above the initial range, may bring back Artemis.

This is the latest sign that catastrophe bond funds and investors are demanding a minimum level of return for certain risks and perils, particularly exposure to named storms and hurricanes in the United States.

Heritage returned to the catastrophe bond market for the first time since 2017 around mid-March, with the Citrus Re 2022-1 cat bond seeking $100 million or more of protection against named storms in the Northeastern United States. United States for carriers acquired Narrangasett Bay Insurance Portfolio.

Heritage acquired Narragansett Bay Insurance Company (NBIC) in 2017 and the company is named ceding company for this new catastrophe bond, alongside Heritage’s P&C insurance entity and its Hawaii-based insurer, Zephyr.

However, the Citrus Re Series 2022-1 Catastrophe Bond initially provides its reinsurance against named storm risks in the Northeastern United States in the states of Connecticut, Delaware, Maryland, Massachusetts, New Jersey, of New York, Rhode Island and Virginia, which are the locations where the insurer Narragansett Bay operates.

The chat link can be reset to include other states, but these exclude the most hurricane-prone states of southern Florida, Alabama, Louisiana, Texas, and Mississippi.

Targeted protection of $100 million or more is designed to cover Legacy losses from named storms in the named northeastern U.S. states, on an event and indemnity trigger basis, on a period up to June 2025, thus covering three complete American states. hurricane seasons.

Citrus Re Series 2022-1 Class A Notes peg $390 million in losses and cover a share to a point of exhaustion of $760 million, giving them an initial peg probability of 1 .95% and an expected initial loss of 1.57%.

The $100 million Series 2022-1 Class A Notes issued by Citrus Re Ltd. were first offered to investors with coupon price indications in the range of 4.25% to 5%.

Sources have now told us that the show remains $100 million, but the price has now increased.

We understand that the coupon price has now been set at 5.1%, thus above the top of the initial benchmark range.

Heritage has benefited greatly from the reassurance its cat bonds have provided in the past (some of which are detailed here), so investors may be looking for a slightly higher coupon as a result.

But it’s clear from this pricing and recent cat bond pricing that cat bond investors have strong opinions about the returns needed for peak risk reinsurance protection.

You can find out all about this catastrophe bond Citrus Re Ltd. (series 2022-1) and all other catastrophe bonds issued in our extensive Artemis Deal Directory.

Printable, PDF and email version

About Bobby F. Lopez

Check Also

At the Capitol, Connecticut Latinos celebrate heritage and set priorities

Sandra Ferreira-Molina said that when she was 6 years old and her family immigrated from …