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The final price fell 14% from the initial midpoint price offered by the sponsor. -
The loss tally is considerably lower than estimates issued by model vendors.
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The deal would represent a diversifying auto risk deal.
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The sovereign wealth fund’s ILS investments grew to $828mn.
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Cat bonds, private ILS and retro were all kept at “strongly overweight”.
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Managers expect Hurricane Milton losses to shore up pricing.
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Many in the ILS sector are bullish on Milton losses falling at the lower end of earnings impacts.
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Losses from the hurricane may not significantly impact on many funds’ annual returns.
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Florida domestics, aggregate retro and flood deals were all marked down.
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The multiple offered on the deal is around 2.5x the expected loss.
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The bond triggers on a parametric, per occurrence basis, across Class A and Class B tranches.
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Icosa said certain cat bonds could see more than 0.2 points of price movement.
