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Nephila partner lifts cat bond target

Nephila Capital's fronting partner Allianz Risk Transfer more than doubled its target size for its second cat bond of the year, sister publication Trading Risk reported last week.

Blue Halo Re 2016-2 has now been set at $225mn after the deal launched at $100mn, sources said.

Pricing for the single-tranche transaction has settled at 825 basis points (bps), towards the lower end of the 800-875 bps guidance range.

The deal was released only several weeks after Nephila's fronting agency Allianz Risk Transfer closed the $185mn Blue Halo Re 2016-1 issuance.

The latest Blue Halo will also provide the carrier with industry loss-based cover against earthquake risk and US named storms.

However, the new issuance has a much lower risk level than the 2016-1 bond and only provides annual aggregate cover, rather than the three-year aggregate on the prior deal.

The latest deal has an expected loss of 4.49 percent, with the preliminary spread representing a 1.8x multiple of risk.

The risk level on the two reinsurance layers included in the earlier deal was set at 8.56 and 13.19 percent, with spreads of 1,400 bps and 1,975 bps respectively.

Sources said that investors were attracted to the clean industry loss trigger on the bond, as well as the relatively high coupon.

The notes are unrated by Standard and Poor's.

AIR Worldwide modelled the deal, while Aon Securities is acting as the sole structuring agent and bookrunner.

Blue Halo Re 2016-2 is the first cat bond to launch in the third quarter, following a quiet Q2.

A number of sponsors have chosen not to renew maturing deals this year but issuance is expected to pick up by the end of 2016.

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