American Integrity Insurance Company has now set the target for its latest catastrophe bond, with between $215 million and $275 million of named storm reinsurance sought from the Integrity Re III Ltd. (Series 2026-1) issuance, while the riskiest tranche of notes is set to be among the highest paying ever seen, Artemis can report.
The transaction features a particularly high-risk tranche of notes that did not originally come with a target size or price guidance.
But, it seems investors have been supportive, as that higher-risk lower-layer of the reinsurance tower remains in the offering, we understand and now comes with one of the highest spreads ever seen in the cat bond market.
Now, American Integrity has set a target for that tranche of notes and updated the target sizes for the other three, the result is a larger expected issuance.
At the same time, the price guidance has been updated, in most cases suggesting spreads lower than the initial mid-points are possible.
For that riskier tranche of notes though, which came without initial price guidance, the now indicated pricing is set to be one of the highest spreads ever paid in the 144A catastrophe bond market, Artemis’ extensive market data shows.
This new catastrophe bond from American Integrity Insurance will be the company’s ninth in the Integrity Re series of deals.
It will become the second issuance from the Bermuda based SPI Integrity Re III Ltd., following the $565 million Integrity Re III Ltd. (Series 2025-1) that American Integrity Insurance sponsored one year ago, which became its largest catastrophe bond sponsorship to-date.
Details of every cat bond from American Integrity Insurance can be found in our Deal Directory.
The updated size target for this Integrity Re III Series 2026-1 cat bond issuance is now for between $215 million and $275 million of notes to be issued across the four tranches.
The notes will provide American Integrity with multi-year and fully-collateralized named storm reinsurance protection across the states of Florida, Georgia, North Carolina and South Carolina, on an indemnity trigger and per-occurrence basis over a three year term.
What was initially a $75 million Class A tranche of notes are now targeted at up to $100 million in size. The Class A notes come with an initial base expected loss of 1.38% and were first offered to cat bond investors with price guidance in a range from 8% to 9%. We’re now told the price guidance has been updated at between 7% and 8%.
What was a $50 million Class B tranche of notes are now offered at up to $75 million in size. The Class B notes come with an initial base expected loss of 3.39% and were first offered to cat bond investors with price guidance in a range from 12% to 13%. We understand that the price guidance here has been updated to between 11% and 12%.
The Class C tranche of notes remain at $50 million in size. The Class C notes come with an initial base expected loss of 4.56% and were first offered to cat bond investors with price guidance in a range from 17% to 19%. The price guidance for this layer has been updated to between 16.5% and 17.5%, sources said.
The final Class D tranche of notes are now sized at between $40 million and $50 million. The Class D notes come with an initial base expected loss of 11.96%, one of the riskiest layers ever seen in the 144A cat bond market and they now have a price attached, with guidance of between 34% and 35% having been given to investors.
At that level of pricing, the Integrity Re III Series 2026-1 Class D notes have the highest risk interest spread level of any 144A catastrophe bond in modern history (around two decades), according to our data.
Higher spread opportunities such as these do appeal to a certain subset of the catastrophe bond investor base and as the investor base grows there are increasing numbers of allocators and asset managers that might find such levels of risk worth taking, as the relatively small cat bond components of their portfolios offer meaningful diversification versus the other asset classes they carry exposure to.
Which means locking in multi-year cat bond protection for levels of catastrophe risk such as this is increasingly feasible in the market and seeing American Integrity progressing with the riskier notes in this way could encourage other sponsors to look to cat bonds for lower-layer reinsurance protection.
In recent history the only cat bond deal that comes close, in spread terms, was Fidelis’ Herbie Re 2025-1 worldwide aggregate retro cat bond deal that paid 31% and had an initial expected loss of 8.79%.
Other than that, the only cat bonds to exceed a 30% spread have been privately placed notes, or some of the Successor transactions from 2006, meaning if successfully placed this will set a new and higher bar for the type of risks that can be placed in the catastrophe bond market.
Which is positive for the market and its constituents seeking protection, as it helps to demonstrate that the cat bond market’s investor base can support higher levels of risk, if appropriately compensated. In a world where catastrophe risk costs are seen to be rising, that’s important.
You can read all about this new Integrity Re III Ltd. (Series 2026-1) catastrophe bond and every cat bond deal in the Artemis Deal Directory.
