XL Catlin is launching a $150 million catastrophe bond, Galileo Re Ltd. series 2017-1, Artemis reported, citing sources.
The transaction is XL Catlin's first cat bond to include severe thunderstorm protection. The cat bond will provide XL Catlin and various subsidiaries with fully collateralized multiperil reinsurance coverage for losses from U.S. named storms, U.S. earthquakes, Canadian earthquakes, U.S. severe thunderstorms, European windstorms, Australian tropical cyclones and Australian earthquakes.
The cat bond is structured into two tranches of notes, both seeking to secure annual aggregate reinsurance protection on a weighted industry loss trigger basis across a three-year term.
XL Bermuda Ltd is acting as sponsor for the deal.
The class A tranche has an initial size of $100 million and is being offered at a price guidance of 7.5% to 8%. This tranche would attach at $360 million and exhaust at $560 million, and has an initial attachment probability of 5.13% and expected loss of 3.37%.
The $50 million class B tranche has a price guidance of 17% to 17.5%. This tranche would attach at $160 million and exhaust at $360 million. It has an initial attachment probability of 17.53% and an expected loss of 9.72%.
XL Catlin is the global brand used by XL Group Ltd's insurance and reinsurance companies.