Nationwide extends distressed Caelus Re VI cat bond, looks to finalise recoveries

Two tranches of the Caelus Re catastrophe bonds sponsored by US primary insurance giant Nationwide Mutual Insurance Company that have been considered at-risk of facing a complete loss since 2021 have now had its maturity date extended by one month, as the carrier looks to finalise its reinsurance recoveries from prior years, we understand.

Nationwide’s Caelus Re aggregate catastrophe bonds came under severe pressure around the end of Q1 or start of Q2 2021, after aggregate risk period losses rose significantly on the back of winter storm Uri and the Texas freeze in February that year.

The notes in question are the $75 million each tranches of Series 2020-2 Class A-2 and Class B-2 cat bonds issued under the Caelus Re VI Ltd. (Series 2020-1 & 2020-2) issuance.

Annual aggregate in nature and providing three years of reinsurance protection, the Class A-2 notes attached at around $1.575 billion of losses to Nationwide, a level that it’s now thought was reached.

The Class A-2 tranche of notes, the most remote from this Series, attaching at $1.775 billion of losses, are also considered primed to face a loss, being still marked down and also extended.

However, the notes remain outstanding at this time and have been marked down as expected to face a total loss on secondary cat bond pricing sheets for some time now.

Now, these two tranches of notes have had their maturity extended by just one-month to July 7th 2023, to allow for finalisation of losses in the hope of finalising the reinsurance recovery sooner than later, we’re told.

Already paid out were the Caelus Re VI 2020-2 Class C-2 notes, a $40 million layer that had an aggregate attachment point set at $1.28 billion.

As a reminder, there are still Caelus 2017, 2018 and other 2020-1 cat bond tranches outstanding because the ultimate losses and any reinsurance recoveries have not been finalised yet.

Details on many catastrophe bonds facing losses, deemed at risk, or already paid out, can be found in our Deal Directory.