Herbie Re Ltd. (Series 2025-1)

Fidelis Insurance has returned to the catastrophe bond market seeking to sponsor the issuance of its seventh Herbie Re cat bond, as the company looks to expand its capital markets backed sources of industry-loss based retrocessional reinsurance.

In this case, this appears a renewal of sorts for the Herbie Re 2021-1 worldwide multi-peril annual aggregate cat bond deal, which was a key source of retrocession for Fidelis and had resulted in a recovery for the company after loss events including hurricanes and the California wildfires.

Using its Bermuda-based special purpose insurer Herbie Re Ltd., Fidelis is aiming to secure at least $75 million of retrocessional protection through the issuance of a single tranche of Series 2025-1 cat bond notes, we are told.

The notes will be sold to cat bond funds and investors and the proceeds used to collateralize a retrocessional reinsurance agreement between the SPI Herbie Re Ltd. and the ceding company, which is Fidelis Insurance Bermuda.

The Herbie Re Series 2025-1 Class A notes will provide Fidelis with a source of annual aggregate and worldwide multi-peril retrocessional protection, we understand.

Sources said the covered perils are the same as the maturing 2021-1 cat bond, so we believe them to be North America named storm, North America 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, and NZ earthquake.

The single tranche of Class A notes will provide retro reinsurance protection structured on an annual aggregate and industry loss index basis, across a two-year term and two annual risk periods to the end of May 2027, sources told us.

Each peril and region covered will feature a franchise deductible, we understand, while there will be a $45 billion cap for coverage for the perils of North America named storm and earthquake, as well as US Caribbean quake risks.

The Herbie Re Series 2025-1 Class A cat bond notes would attach at $60 billion of losses, running up to exhaustion at $90 billion, we understand.

This gives the Class A notes an initial attachment probability of 14.58% and an initial expected loss of 8.79%, while the notes are being offered to investors with price guidance in a range from 31% to 32%, we’ve learned.

Update 1:

We’re told that the target size for this latest catastrophe bond for Fidelis has risen to $90 million.

At the same time the price guidance for the Herbie Re Series 2025-1 Class A cat bond notes has been lowered to 31%, so the bottom of the initial range.

Update 2:

Fidelis secured the upsized target of $90 million of retrocessional reinsurance from its new Herbie Re 2025-1 cat bond issuance.

The notes were priced to pay investors a spread of 31%, so at the bottom-end of the initial guidance that had been on offer.