Based on sources, the $40 million Astro Re Pte. Ltd. (Series 2021-1) disaster bond, sponsored in 2021 by U.S. main insurance coverage group First Protecting on behalf of itself and subsidiary Frontline Insurance coverage, has been marked down within the secondary market, on considerations over publicity to rising losses from 2022’s hurricane Ian.
First Protecting and Frontline Insurance coverage underwrite property enterprise within the state of Florida, in addition to different coastal states, so naturally the Astro Re Pte. issuance was a disaster bond thought of probably at-risk as hurricane Ian approached the Gulf coast of that state in September 2022.
However now, approaching two yr’s later, we’re informed that Frontline’s final web losses from hurricane Ian have been rising and that in consequence the Astro Re 2021-1 Class A disaster bond notes have now been marked down in dealer secondary cat bond market pricing sheets.
Stepping again, proper after hurricane Ian had struck Florida we analysed the catastrophe bonds that appeared most exposed to losses from the storm.
At the moment, the Astro Re cat bond notes had been marked down closely with cat bond funds and traders anticipating a big lack of principal.
In actual fact, as we reported, the Astro Re cat bond notes have been listed for bids on pricing sheets as little as simply 1 cent on the greenback after Ian, implying the market felt it possible on the time that the Astro Re 2021-1 cat bond confronted a complete loss as a result of hurricane.
Quick-forward to the top of 2023 and the Astro Re Pte. cat bond notes had recovered considerably, however have been nonetheless marked right down to suggest an anticipated 30% to 40% lack of principal at the moment.
By March 2024, the Astro Re cat bond notes have been marked in a comparatively wide selection throughout secondary cat bond dealer pricing sheets, from as little as 65 cents on the greenback, to as excessive as 80 cents at the moment.
On the finish of Could, some dealer pricing sheets even had these notes marked a bit larger, at 85 cents on the greenback.
Which is roughly the place the bids stayed, on pricing sheets, ranging in bids from 65 to 85 cents on the greenback, indicating a large uncertainty vary over the eventual probability and quantum of losses cat bond traders may face.
However, earlier this month, across the second week of July 2024, we’re informed that the notes had been marked down once more, with sources suggesting that the reason being continued loss creep that has elevated the estimate for hurricane Ian losses, for Astro Re sponsors First Protecting and Frontline Insurance coverage.
We’re now informed the notes are marked down for bids as little as 25 on one pricing sheet, having fallen by over 50 cents in per week, so a fairly significant mark-down.
One other cat bond dealer pricing sheet has the Astro Re cat bond notes marked at 50, down by roughly 20 cents.
All of which suggests a market that’s now discounting these notes by as a lot as 50% to 75%.
The Astro Re Pte. Collection 2021-1 disaster bond notes are nonetheless on-risk, with maturity not due till July 2025.
However, with no different main Florida hurricanes having occurred since hurricane Ian, and Florida comprising virtually 70% of the notes anticipated loss (in addition they cowl named storms in Alabama, Georgia, South and North Carolina), it appears protected to imagine it’s hurricane Ian that continues to threaten the holders of those notes with losses.
You possibly can learn all concerning the Astro Re Pte. Ltd. (Series 2021-1) disaster bond from Frontline and each different cat bond ever issued in our Artemis Deal Directory.
