1 week ago
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Fidelis Insurance is now looking to upsize its newest catastrophe bond issuance, with the Herbie Re Ltd. (Series 2024-2) transaction aimed to secure the company $375 million in retrocessional reinsurance.
This will become the sixth Herbie Re catastrophe bond transaction to be sponsored by Fidelis Insurance, since it first entered the cat bond market back in 2020.
With the target now set to secure $375 million in capital markets backed, multi-peril US retrocessional reinsurance, this is now set to be the largest cat bond sponsored by Fidelis so far.
When Fidelis came to market with this new Herbie Re 2024-2 cat bond in late November, the target was to secure at least $300 million of retro protection through the issuance of three tranches of Series 2024-2 cat bond notes, one of which was unsized.
Now, all three tranches have sizes assigned to them, which has taken the overall issuance to $375 million for Fidelis.
All three tranches of notes will provide Fidelis with a multi-year source of annual aggregate and territory weighted industry loss index triggered protection, covering losses from major events caused by the perils of US named storm and US earthquake risks, including DC, Puerto Rico and the US Virgin Islands over four years.
A $150 million Class A tranche of notes remain at that size and will provide Fidelis four years of protection to the end of 2028. With an initial expected loss of 3.09%, they were first offered with price guidance of 7.5% to 8.25%, but that has now fallen to between 7.25% and 7.5%, we understand.
A $150 million Class B tranche of notes also remain the same size, to provide Fidelis with four years of protection to the end of 2028 as well. These have an initial expected loss of 4.7% and were offered with initial price guidance of 11% to 12%, but this too has fallen to a range of 10.75% to 11%, we are told.
The final Class C tranche of notes are now sized at $75 million, to provide Fidelis just two years of cover to the end of 2026. These notes are riskier having an initial expected loss of 10.42% and their initial price guidance was 22% to 23%, which has now been fixed at the upper-end of 23%, sources said.
With that final and riskiest tranche looking set to price at the upper-end of guidance, it shows cat bond investors remain disciplined and are demanding adequate returns for the risk they assume, this being a rarity among tranches that have almost all priced down this quarter.
Read all about this Herbie Re Ltd. (Series 2024-2) catastrophe bond comes to market and you can read about this and every other cat bond deal in the Artemis Deal Directory.
English (US) ·