Nationwide Sponsored Aquila Re I Ltd. (Series 2023-1) Notes

Transaction Overview

On May 23, 2023, Nationwide Mutual Insurance Company (“Nationwide”) closed their ninth 144A Cat Bond issuance and first out of the Aquila program

Issuance through Aquila Re I Ltd. Series 2023-1 Class A, Class B, and Class C Notes (“Notes”)

• Total transaction size doubled from the initial target of $150mm to $300mm and all Notes priced below initial guidance

The $50mm 2023-1 Class A, $125mm Class B, and $125mm Class C Notes will provide per-occurrence, indemnity-triggered coverage

• Risk Period: 3 years
• Loss Event / Covered Area: US named storm, earthquake, severe thunderstorm, winter storm, wildfire, meteorite impact, volcanic eruption
• Expected Loss¹:
  • Class A: 0.46%
  • Class B: 1.30%
  • Class C: 1.94%

Initial Risk Interest Spread tightened from the low end of initial guidance by 50 basis points across all classes of 2023-1 Notes

• Class A Initial Price Guidance: 5.75% – 6.50% => Final Pricing: 5.25%
• Class B Initial Price Guidance: 8.00% – 8.75% => Final Pricing: 7.50%
• Class C Initial Price Guidance: 9.75% – 10.50% => Final Pricing: 9.25%

Howden Tiger Capital Markets & Advisory Role
 

HTCMA acted as Joint Bookrunner

• Advised in all aspects of the placement of the Cat Bond including, but not limited to:
  • Transaction structure and associated features, mechanics, benefits and considerations
  • Global investor outreach including investors in London, New York, Bermuda, and Zurich
  • Investor discussions and overall transaction marketing processes
  • Market conditions, pricing levels and market developments

(1) Warm Sea Surface Temperature metrics as modeled by AIR / Verisk.