Pool Re, the UK government-backed mutual terrorism reinsurance facility, continues to target UK £100 million in retrocessional protection from its third terrorism catastrophe bond, but we’re told the price guidance for the new   issuance has now been updated towards the upper-end.Pool Re returned to the catastrophe bond market as had been anticipated earlier this month, seeking UK £100 million or more in protection from a second renewal of its landmark terror catastrophe bond.Having it appears the same will not be the case with its third catastrophe bond, as the target size remains at £100 million, we understand.The still £100 million of Baltic PCC 2025-1 cat bond notes will provide Pool Re with terrorism retrocession on an indemnity trigger and annual aggregate basis, covering events in England, Scotland and Wales, but not Northern Ireland.

The cat bond coverage closely mirrors Pool Re’s traditional retro reinsurance program, being for commercial property losses caused by conventional terrorism attacks, plus nuclear, biological, chemical, or radiological attacks (NBCR), but not nuclear facility impacts themselves which are carved out, and also covers physical damage from cyber-triggered terrorist losses.The still UK £100 million tranche of Series 2025-1 notes that Baltic PCC Limited is looking to issue come with an initial expected loss of 2.54% and were first offered to cat bond investors with initial price guidance in a range from 5.5% to 6%.Now, sources have told us that the price guidance has been updated at a fixed spread of 5.9%, so towards the upper-end of the range.

Should these Baltic PCC 2025-1 terror cat bond notes price at that level, the multiple-at-market of expected loss would equate to 2.32 times.For comparison, the previous cat bond issuance for Pool Re had a multiple at launch of 2.31 times the expected loss, while the previous deal, Baltic PCC Limited (Series 2019), had a multiple-at-market of 2.18 times the EL.As a result, these latest Baltic PCC terrorism catastrophe bond notes appear slightly better priced, at the new updated spread level.

You can read all about this second terrorism cat bond   and every other catastrophe bond transaction since the market began in the Artemis Deal Directory..All of our Artemis Live insurance-linked securities (ILS), catastrophe bonds and reinsurance can be accessed online.Our can be subscribed to using the typical podcast services providers, including Apple, Google, Spotify and more.