Hypatia Ltd. (Series 2026-1)

This will become the fourth Hypatia Ltd. catastrophe bond to be sponsored by specialty insurance and reinsurance company Convex Group.

With this Hypatia Ltd. Series 2026-1 cat bond issuance, Convex is initially seeking $200 million or more in retrocessional 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.

This Series 2026-1 Hypatia cat bond issuance sees Convex seeking additional coverage for the same perils and in the same format as previous deals, being retrocessional protection for the peak North American perils of hurricane and earthquake risks, on an industry loss triggered basis.

We’re told that Hypatia Ltd., Convex’s Bermuda based special purpose insurer (SPI), is offering investors a single tranche of Series 2026-1 cat bond notes, with an initial target of $200 million or greater for the issuance.

Convex Re, the Convex group reinsurance entity, is again the ceding entity, but we understand the cat bond will also cover subsidiary entities, such as Convex’s UK and European insurers.

The Hypatia 2026-1 catastrophe bond will provide Convex Re with retrocessional reinsurance, just like the first three cat bond arrangements.

The $200 million or greater in Series 2026-1 Class A notes that Hypatia is aiming to 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 events, we are told.

The notes will provide Convex with annual aggregate retro protection for major loss events caused by these perils, structured using a weighted PCS industry loss index trigger, and the coverage will run across a roughly three year term with maturity expected in May 2029, sources said.

Sources said that the $200 million of Hypatia Ltd. Series 2026-1 cat bond notes will provide Convex with aggregate industry loss based retro reinsurance, after an attachment point of $150 billion of losses, covering a share up to $200 billion, with a $10 billion franchise deductible set to be enforced.

As a result, the Hypatia Series 2026-1 Class A notes will come with an initial attachment probability of 2.87%, an initial base expected loss of 2.26% and they are being offered to investors with price guidance for a spread of between 4.75% and 5.25%.