Achmea returns to renew catastrophe bond with €75m Windmill III Re – Artemis.bm


Dutch headquartered Europe-focused insurance group Achmea is back in the catastrophe bond market, seeking €75 million in collateralized European windstorm reinsurance protection from a Windmill III Re DAC (2024-1) issuance, that looks set to at least partially renew its maturing cat bond from 2020, Artemis has learned.

This Windmill III Re DAC catastrophe bond transaction is being issued using a new Ireland domiciled special purpose vehicle, a designated activity company, and once again the sponsor is actually Achmea’s group reinsurance company.

Achmea Reinsurance Company NV, the group reinsurer, will play the role of ceding company, entering into a retrocessional agreement with the special purpose issuer to connect with the capital market investors backing this issuance, then providing reinsurance coverage down to Achmea’s main property insurance underwriting subsidiaries, we understand.

Windmill III Re DAC is seeking to issue a single tranche of Series 2024-1 Class A notes that are currently proposed as €75 million in size.

As a reminder, the 2020 cat bond, Windmill II Re DAC (2020), grew during its issuance to provide Achmea €100 million of windstorm reinsurance, so this new Windmill III Re cat bond will need to upsize to fully replace and renew that coverage, it seems.

The Windmill III Re DAC notes will provide Achmea with a four-year source of collateralized reinsurance protection from the capital markets to cover certain European windstorm losses.

The covered area is broad and includes all the major European windstorm exposed countries. Once again, sources suggest this cat bond will also cover other windstorm related events for Achmea, such as convective storms, hail, and tornadoes.

The coverage from the cat bond notes will be on an indemnity trigger and per-occurrence basis, we are told.

The €75 million of Series 2024-1 Class A notes being offered by Windmill III Re DAC would attach their coverage at €500 million of losses, and exhaust coverage at €650 million we understand.

As a result, the notes have an initial attachment probability of 2.47%, an initial expected loss of 2.19% and are being marketed with price guidance in a range from 5.75% to 6.5%, sources said.

As is typical, with a European peril cat bond, the multiple of expected loss on offer is much thinner than for the US wind perils.

But, the Windmill 2020 cat bond came with an initial expected loss of 2.56% and priced to pay investors a 4% spread. So this new Windmill III Re 2024 cat bond looks to come with higher pricing, compared to that.

It’s encouraging to learn that Achmea is once again set to renew its catastrophe bond, with this now set to be its fourth in the Windmill series of cat bond deals.

It’s also good to see a diversifying, non-US peril coming to market at a time when the cat bond pipeline has been very US wind heavy. That should prove attractive to cat bond investors, so it will be interesting to see where this one gets priced.

You can read all about this Windmill III Re DAC (2024-1)  transaction and every catastrophe bond deal in our extensive Artemis Deal Directory.

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