Herbie Re Ltd. (Series 2021-1)

This is the third catastrophe bond transaction to be sponsored by expansive underwriter Fidelis and with this deal the company is seeking to secure collateralized retrocessional reinsurance for a much broader range of perils around the globe.

In fact, this will be one of the most worldwide catastrophe bond transactions in history once completed, given the multi-territory and peril nature of the coverage it will provide to Fidelis Insurance.

Herbie Re Ltd., Fideli’s Bermuda-domiciled special purpose insurer (SPI), will look to issue a single tranche of Series 2021-1 Class A notes that will be sold to cat bond investors and the proceeds used to collateralize retro reinsurance agreements between the SPI and Fidelis Insurance Bermuda, the ceding company.

The single layer of reinsurance protection provided will be structured on an annual aggregate and industry loss index basis, across a four-year term and four individual annual risk periods to the end of May 2025, sources said.

As said, this is a particularly wide-reaching catastrophe bond deal, with the coverage resembling a worldwide industry loss warranty (ILW).

The covered perils and regions included are: North America (inc. Canada) named storm, North America (inc. Canada) earthquake, US severe thunderstorm, US wildfire, US winter storms, US Caribbean earthquake, Japan typhoon, Japan earthquake, Canada severe storm, Canada winter storm, European windstorm, Italy earthquake, Turkey earthquake, Australia earthquake, Australia tropical cyclone, NZ earthquake.

Each peril covered features a franchise deductible, while there are caps for coverage for North America named storm and earthquake, as well as US Caribbean quake risks.

PCS and PERILS are both being used as reporting agencies for this Herbie Re 2021-1 catastrophe bond, with the perils split across the two industry loss data aggregators.

The target is for just $50 million of coverage, but of course that could increase if investor demand allows.

The Series 2021-1 Class A notes will attach at $50 million of losses, we understand, giving them an initial attachment probability of 11.43% and an initial expected loss of 7.32%, while the notes are being offered to investors with price guidance in a range from 17.75% to 18.5%, we’re told.

Update 1:

Fidelis’ target for its latest catastrophe bond has now tripled to $150 million of coverage, while the pricing has fallen to a revised range of 17.25% to 17.75%, we understand.

Update 2:

At pricing, the Herbie Re 2021-1 catastrophe bond was fixed at the upsized $150 million in size, while pricing fell to the bottom-end of the revised guidance, at 17.25%, representing a roughly 5% decline in spread (from the initial mid-point) over the marketing of the deal.