We’ve learned that the targeted issuance size has increased to as much as $450 million for the parametric earthquake catastrophe bond issuance, while at the same time the price guidance has been lowered to below the initially offered range.Artemis was first to report ten days ago that a new Acorn Re cat bond was in the market, again seeking parametric quake protection for Oak Tree Assurance, the workers compensation captive insurer of the Kaiser Permanente group of health plan companies, as well as providing some additional protection to other Hannover Re reinsureds, with Hannover Re fronting the capital markets for the transaction.At its launch to investors, this cat bond issuance saw Acorn Re Ltd.looking to issue two tranches of notes, each sized at $200 million.

We’re now told that the two tranches of notes are being offered with a range, in terms of size, from $200 million to as much as $225 million each, so giving a maximum upper size of $450 million for the Acorn Re 2024-1 catastrophe bond issuance.The notes will provide a multi-year source of per-occurrence parametric reinsurance protection against earthquakes that strike the U.S.west coast region, backed by the capital markets, with the highest exposure concentration focused on California.

The deal features a now $200-$225 million Acorn Re 2024-1 Class A tranche of notes that will provide protection across a three-year term, and a now $200-$225 million Acorn Re 2024-1 Class B tranche that will provide coverage for just a single year.The only difference between the tranches being the length of coverage, they feature the same risk metrics.The notes have an initial attachment probability of 1.23%, an initial expected loss of 0.88% and were at first offered to cat bond investors with price guidance in a range from 3.5% to 4.1%.

But, we’re now told the price guidance has been lowered, with an updated range of between 3% and 3.5% now offered to investors.Which suggests strong demand for this new parametric quake catastrophe bond, which given its timing of being still within the wind season and the fact it offers a diversifying peril opportunity, is perhaps not surprising.For comparison, the issuance had an initial expected loss of 0.91% and priced with a spread of 4.35%, while the 2021 Acorn Re deal had an initial expected loss of 0.89% and priced with a spread of 2.5%.

As such, this new 2024-1 Acorn Re issuance looks set to price somewhere in the middle, on a multiple-at-market basis.You read all about this new transaction and every other catastrophe bond in the Artemis Deal Directory..All of our Artemis Live insurance-linked securities (ILS), catastrophe bonds and reinsurance can be accessed online.

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