Hypatia Ltd. (Series 2025-1)

This is the third Hypatia Ltd. catastrophe bond to be sponsored by specialty insurance and reinsurance company Convex Group.

Through this Hypatia Ltd. Series 2025-1 issuance, Convex is seeking $100 million or more in retrocessional reinsurance to provide retro reinsurance to protect its reinsurer underwriting entity Convex Re and any subsidiaries against major US named storm events as well as earthquake events impacting the US or Canada.

Bermuda based special purpose insurer Hypatia Ltd. is offering a single tranche of Series 2025-1 cat bond notes, with an initial target of $100 million or greater for this issuance.

The ceding company will be Convex Re, the Convex group reinsurance entity, but we understand the cat bond will also cover subsidiary entities, such as Convex’s UK insurer.

So, the Hypatia 2025-1 catastrophe bond will provide retrocessional reinsurance to the Convex Re reinsurance division and subsidiary group entities, just like the first two cat bond arrangements.

The $100 million or greater in Series 2025-1 Class A notes that Hypatia will issue will be exposed to losses from U.S. named storms, including Puerto Rico, D.C and the US Virgin Islands, and both U.S., those territories and Canadian earthquake risks, we understand.

The notes will provide annual aggregate protection using a weighted PCS industry loss index trigger, and the coverage will run across a three year term with maturity expected in early July 2028, sources said.

We’re told that the $100 million of Hypatia Ltd. Series 2025-1 cat bond notes will provide Convex with aggregate industry loss based retro reinsurance, after an attachment point of $80 billion of losses, covering up to $100 billion, with a $10 billion franchise deductible to be enforced.

As a result, the Class A notes will come with an initial attachment probability of 5.47%, an initial base expected loss of 4.48% and they are being offered to investors with price guidance for a spread of between 10% to 10.5%.

Update 1:

We understand that Convex has raised the target for this Hypatia Ltd. Series 2025-1 catastrophe bond issuance to between $125 million and as much as $150 million.

At the same time the price guidance range has been lowered to between 9% and 10%.

Update 2:

We’re now told that Convex has honed in on the 50% upsized $150 million target for this Hypatia Ltd. Series 2025-1 catastrophe bond issuance.

While at the same time lowering the price guidance again, with now a spread of 8.5% to 9% being offered.

Update 3:

Convex secured the 50% upsized target for $150 million of collateralized retro reinsurance from this Hypatia Re Ltd. Series 2025-1 catastrophe bond.

The notes were eventually priced to pay investors a spread of 8.5%, so well-below the initial guidance and indicating a price-decline of approximately 17% while marketing.