Citrus Re Ltd. (Series 2026-1)

Heritage Insurance Holdings, Inc. has returned to the catastrophe bond market aiming to lock in more multi-year and fully-collateralized US named storm reinsurance protection from this Citrus Re Ltd. (Series 2026-1) issuance.

For the eleventh Citrus Re cat bond in the series, Heritage is targeting $250 million of hurricane reinsurance protection across the US northeast and Hawaii initially,

For this Citrus Re cat bond sponsorship, Heritage is targeting named storm reinsurance for its Narragansett Bay Insurance Company (NBIC) and Zephyr Insurance underwriting entities, we understand.

As a result, the coverage area is largely in the US northeast for Narragansett Bay, as well as the inclusion of Hawaii for Zephyr in just one of the tranches of notes.

Citrus Re Ltd., Heritage’s special purpose insurer (SPI) in Bermuda, is targeting issuance of two tranches of Series 2026-1 notes, that will be sold to investors and the proceeds used to collateralize reinsurance agreements for the ceding entities.

The Citrus Re Series 2026-1 cat bond notes are targeted to provide Heritage and its subsidiaries with a multi-year source of US named storm reinsurance protection across the states of Connecticut, Delaware, Maryland, Massachusetts, New Jersey, New York, Rhode Island and Virginia, as well as Hawaii, on an indemnity trigger and per-occurrence basis, across a three-year term from June 1st 2026 to May 31st 2029, we understand.

A $100 million tranche of Class A notes will cover named storm risks across the mentioned US states, but not Hawaii. They will attach at $290 million of losses after stated reinsurance, exhausting their reinsurance coverage at $450 million, giving them an initial attachment probability of 2.87%, an initial expected loss of 2.5% and these notes are being offered to investors with spread guidance in a range from 5.25% to 5.75%, sources said.

A $150 million Class B tranche of notes will cover named storm risks across the mentioned US states and also Hawaii. They will attach at $290 million of losses and exhaust their reinsurance coverage at $440 million, but with less stated reinsurance inuring to them and different exposure they are riskier, having an initial attachment probability of 3.6%, an initial expected loss of 3.32% and these notes are being offered to investors with spread guidance in a range from 6.75% to 7.25%, we are told.

Given there are differences in stated reinsurance that inures to each tranche of notes, their effective attachment points will differ from the figures cited above.