3264 Re Ltd. (Series 2026-1)

Hannover Re is back in the capital markets targeting more securitized and fully-collateralized retrocessional protection, looking to sponsor what will be the seventh catastrophe bond in the 3264 Re Ltd. program of deals.

For this latest catastrophe bond to be issued by the 3264 Re Ltd. vehicle, Hannover Re is again targeting more retrocessional reinsurance protection for major industry losses caused by peak North American perils in the United States and Canada, we are told.

This new 3264 Re Series 2026-1 catastrophe bond is the first under the catastrophic peril focused program this year and sees Hannover Re again looking to bolster its North American retro protection. While, like the last 3264 Re deal in 2025, this new offering also features a multi-section approach to provide targeted protection in one of the tranches of notes.

Bermuda based special purpose insurer (SPI) 3264 Re Ltd. offering two tranches of Series 2026-1 notes to cat bond investors, initially amounting to a $125 million offering across them both, with the proceeds from their sale set to fully-collateralize retrocessional reinsurance agreements to benefit sponsor Hannover Re.

The two tranches of notes have different coverage structures, covered perils and terms.

The first Series 2026-1 Class A tranche of notes will provide Hannover Re with annual aggregate industry-loss based cover for North American named storms and earthquakes (US, DC and Canada) over a three year term.

The second Series 2026-1 Class B tranche of notes will provide the reinsurer with two sections of coverage, both being industry-loss and per-occurrence based, but the first covering Gulf coast named storms and the second section covering Florida named storm events over a two year term.

The Class A annual aggregate and North America named storm and quake focused tranche is targeted at $100 million in size and would attach based on annual aggregated index points, after a points based event deductible.

The Class A notes come with an initial attachment probability of 2.79%, an initial base expected loss of 2.56% and are being offered to cat bond investors with spread price guidance in a range from 4.75% to 5.25%, sources said.

The Class B tranche is targeted at $25 million in size and has different per-occurrence index point attachments for each of Gulf and Florida named storm events.

We’re told the Class B notes have an initial attachment probability of 7.82% and an initial base expected loss of 6.18% for Gulf named storms. While they have an initial attachment probability of 7.32% and an initial base expected loss of 6.01% for Florida named storms. This tranche is being offered as discount notes and come with price guidance of 76% to 77% of par, we understand.

Update 1:

At the first update for this 3264 Re Ltd. Series 2026-1 catastrophe bond for Hannover Re, the target size was lifted and the pricing lowered.

The Class A tranche are now targeted at $125 million to $150 million in size, with price guidance updated at a spread of between 4.25% and 4.75%.

The Class B notes are now targeted at between $40 million and $50 million in size, with their guidance lowered to between 77% and 77.5% of par, we understand.

Update 2:

Hannover Re secured the 60% upsized $200 million of retrocession from its latest 3264 Re Ltd. Series 2026-1 catastrophe bond.

The Class A tranche were finalised at $150 million in size and priced to pay investors a spread of 4.25%, the low-end of reduced guidance.

The Class B notes were finalised at $50 million in size and priced at 77.5% of par, again the lowest-end.