Integral ILS Ltd., the specialist insurance-linked securities investment manager, has successfully upsized its debut catastrophe bond sponsorship by nearly 38%, to secure $275 million of US named storm retrocession from the Windrose Re Ltd. (Series 2026-1) deal that has now been priced, Artemis can report.
Integral ILS becomes the latest specialist insurance-linked securities investment manager to secure hedging protection for its range of managed ILS funds from the catastrophe bond market.
The company launched the Windrose Re Series 2026-1 catastrophe bond issuance earlier this month, initially targeting $200 million of US named storm retro limit with the deal.
As we reported yesterday, the first update on the transaction showed Integral ILS had lifted its target, with up to $275 million of retro limit being sought, while at the same time the price guidance has been updated, with two tranches still within their initial ranges and one layer below.
Now, we are told that the notes have been successfully priced to secure the 38% upsized $275 million of retro reinsurance limit to hedge peak named storm exposures in Integral ILS’ managed funds.
As a result, this first cat bond issuance under Bermuda based vehicle Windrose Re Ltd. will secure $275 million of US named storm retrocessional reinsurance protection for the funds managed by Integral ILS, with that limit protection channelled via its Integral Re collateralized reinsurer.
The protection is spread across three tranches of cat bond notes covering different regions of the United States, all featuring state-weighted industry-loss index triggers and designed to provide roughly three years of coverage.
The Class A tranche of Series 2026-1 notes that target per-occurrence protection for named storm industry losses across US northeast states, were initially $100 million in size, but have been priced at their 50% upsized target for $150 million of protection, we are nowtold.
The Class A notes will come with an initial base expected loss of 2.88%. They were first offered to cat bond investors with price guidance for a risk interest spread of between 4.75% and 5.75%, which later narrowed within guidance at between 5.25% and 5.5% and we are now told priced at 5.25%, so the initial mid-point.
The Class B tranche of Series 2026-1 notes that will provide Integral Re with protection on an occurrence basis for named storm industry losses affected the US Gulf Coast (although not Florida’s Gulf coastline), were upsized from their original $50 million to secure $75 million of limit, sources explained.
The Class B notes come with an initial base expected loss of 4.05%. They were first offered to cat bond investors with price guidance for a risk interest spread of between 8.25% and 9.25%, which was updated to a revised range of between 8% and 8.25% and we’re now told have been finalised to pay a spread of 8%, so below the initial range.
The final Class C tranche of Series 2026-1 notes remained $50 million in size, to provide annual aggregate protection against named storm industry losses across all US states except for Florida and Hawaii.
The Class C notes come with an initial base expected loss of 6.97%. They were first offered to cat bond investors with price guidance for a risk interest spread of between 11.75% and 12.75%, which was later updated at a risk interest spread of 12.25% and this is where they have now been priced, so at the mid-point of the initial range.
As a result of which, Integral ILS has secured more than its initially targeted retrocessional named storm reinsurance protection, with the notes pricing at the guidance mid-points in two cases and below guidance in the case of the middle layer.
Representing a good result for Integral ILS, which now locks in three years of broad US named storm protection for peak exposures carried by its ILS funds.
As ILS manager’s have expanded their assets under management and so their portfolios of catastrophe reinsurance investments, which Integral ILS has as we reported last week, their need for hedging increases and for some the cat bond market is seen as a well-priced option to lock-in multi-year limit, which Integral ILS will now benefit from.
You can read all about this Windrose Re Ltd. (Series 2026-1) catastrophe bond in the extensive Artemis Deal Directory that includes details on almost every cat bond ever issued.
