Pool Re Sponsored Baltic PCC Ltd. (Series 2025-1) Notes

On March 28, 2025, Pool Reinsurance Company Limited (“Pool Re”) closed their third renewal of its terrorism catastrophe bond, Baltic PCC Limited (Series 2025-1), which provides terrorism coverage to Pool Re on an indemnity trigger and annual aggregate basis

• This transaction represents the first ever terrorism catastrophe bond using Risk Management Solutions, Inc.’s (“Moody’s” or “RMS”) latest terrorism model

The Notes offer coverage in the areas of England, Wales and Scotland

Notes:

• Initial Attachment Probability: 2.75%
• Initial Expected Loss: 2.54%
• Initial Exhaustion Probability: 2.34%
• Final Size: £100mm
• Initial Price Guidance: 5.50% – 6.00% – Final Pricing: 5.90%

HCMA acted as Joint Structuring Agent and Joint Bookrunner

• Worked closely with other advisors to advise on structuring considerations and marketing strategy to ensure alignment with Pool Re’s strategic objectives and its traditional reinsurance program
• Thorough analysis during risk modeling selection and process management
• Assisted in all aspects of the structuring and placement including, but not limited to:
  • Transaction pre-marketing and continued dialogue with investors prior to re-approaching the 144A Cat Bond market
  • Structuring and coordination with legal counsel
  • Finalizing investor presentation, advised on disclosure around subject business, and offering documents
  • Investor discussions and overall transaction marketing processes
  • Investor education with respect to use of new risk model