Integrity Re III Ltd. (Series 2025-1)

This will be the eighth catastrophe bond issuance under an Integrity Re name for sponsoring entities of the American Integrity Insurance Group.

American Integrity has established a new Bermuda based issuer for the this latest cat bond from the company, Integrity Re III Ltd.

In total seven tranches of Series 2025-1 notes are being offered by Integrity Re III Ltd., across which as much as $325 million in reinsurance is being targeted.

All seven tranches of notes will provide American Integrity with multi-year and fully-collateralized named storm reinsurance protection across the states of Florida, Georgia, North Carolina and South Carolina, on an indemnity trigger and per-occurrence basis.

North Carolina is the additional covered state, compared to the 2024 cat bond, showing American Integrity continuing to expand its underwriting business.

Across the tranches of notes there are varying degrees of inuring reinsurance and we’re told this cat bond is a kind of top and drop, or cascading structure, meaning as stated reinsurance is eroded at different rates the effective attachment points can differ, even where the risk metrics of the notes may appear similar to begin.

A $50 million Class A1 tranche of notes, designed to provide two years of coverage running from Jun 1 2025 to Jun 6th 2027, attach their coverage at $545 million and exhaust at $845 million, giving them an initial attachment probability of 1.77%, an initial expected loss of 1.58% and price guidance of 10% to 11%.

A $50 million Class A2 tranche of notes, designed to provide three years of coverage running from Jun 1 2025 to Jun 6th 2028, also attach their coverage at $545 million and exhaust at $845 million, giving them an initial attachment probability of 1.77%, an initial expected loss of 1.58% and price guidance of 10% to 11%.

A $50 million Class B1 tranche of notes, designed to provide two years of coverage running from Jun 1 2025 to Jun 6th 2027, attach their coverage at $545 million and exhaust at $845 million, but have an initial attachment probability of 2.25%, an initial expected loss of 2.01% and price guidance of 11.5% to 12.5%.

A $50 million Class B2 tranche of notes, designed to provide three years of coverage running from Jun 1 2025 to Jun 6th 2028, attach their coverage at $545 million and exhaust at $845 million, also have an initial attachment probability of 2.25%, an initial expected loss of 2.01% and price guidance of 11.5% to 12.5%.

A $75 million Class C tranche of notes, designed to provide three years of coverage running from Jun 1 2025 to Jun 6th 2028, would also attach their coverage at $545 million and exhaust at $845 million, but have an initial attachment probability of 2.92%, an initial expected loss of 2.55% and price guidance of 13.25% to 14.25%.

A $50 million Class D tranche of notes, are designed to provide two years of coverage running from Jun 1 2025 to Jun 6th 2027, but attach their coverage at $370 million and exhaust at $545 million, with an initial attachment probability of 7.35%, an initial expected loss of 4.52% and price guidance of 26% to 28%.

The last Class E tranche of notes, are unsized currently and designed to provide two years of coverage running from Jun 1 2025 to Jun 6th 2027, but attach their coverage at $90 million and exhaust at $265 million, with an initial attachment probability of 7.41%, an initial expected loss of 4.51%, but are currently offered without a price guidance range, we are told.

As you can see from the tranche details above, the structure is unusual and there are layers of inuring reinsurance, but these also differ across classes of notes, making comparison a little more challenging than with most catastrophe bonds.

However, sources said that the effective attachment points in the American Integrity reinsurance tower at issuance are expected to be: Class D and Class E at $893 million; Class C at $1.218 billion; Class B1 and Class B2 at $1.518 billion; and Class A1 and Class A2 at $1.818 billion.

Which alongside the attachments stated above for each tranche will help to provide a better idea of the amount of stated reinsurance that inures to each layer.

Update 1:

American Integrity’s target for its latest catastrophe bond has lifted to $550 million, but only across six tranches of notes as the Class E riskiest tranche has been dropped from this issuance, we understand.

The Class A1 tranche of notes are now $65 million in size and their price guidance has been updated to 9% to 10%.

The Class A2 tranche of notes are now $85 million and their price guidance has also fallen to 9% to 10%.

The Class B1 tranche of notes are now $60 million in size and their price guidance has now also been lowered to 10.75% to 11.5%.

The Class B2 tranche of notes are now $90 million in size and their price guidance has also fallen to 10.75% to 11.5%.

The Class C tranche of notes are now $150 million and their price guidance has again fallen to 12.75% to 13.25%, we understand.

The Class D tranche of notes are now $100 million in size and their price guidance has now been fixed at the low-end of 26%, sources said.

Update 2:

The pricing guidance has been reduced again for the still $550 million of notes on offer with American Integrity’s latest Integrity Re III Ltd. (Series 2025-1) catastrophe bond.

The Class A1 tranche of notes are now $50 million in size and their price guidance has been updated to 8% to 9%.

The Class A2 tranche of notes are now $100 million and their price guidance has also fallen to 8% to 9%.

The Class B1 tranche of notes are now $50 million in size and their price guidance has now also been lowered to 9.75% to 10.75%.

The Class B2 tranche of notes are now $100 million in size and their price guidance has also fallen to 9.75% to 10.75%.

The Class C tranche of notes are now $150 million and their price guidance has again fallen to 12.25% to 12.75%, we understand.

The Class D tranche of notes are now $100 million in size and their price guidance has now been opened again at a range of 25.5% to 26%, sources said.

Update 3:

American Integrity’s new Integrity Re III Ltd. (Series 2025-1) catastrophe bond upsized again slightly before settling, to provide the company with $565 million of reinsurance protection from the capital markets. All six tranches of notes saw their pricing finalised at the bottom-ends of their reduced guidance, while just one of the tranches (the Class C notes) upsized at the last-minute.

The Class A1 tranche of notes are $50 million in size and their pricing was fixed at 8%.

The Class A2 tranche of notes are $100 million in size and their pricing was fixed at 8%.

The Class B1 tranche of notes are $50 million in size and their pricing was fixed at 9.75%.

The Class B2 tranche of notes are $100 million in size and their pricing was fixed at 9.75%.

The Class C tranche of notes are now $165 million having upsized slightly and their pricing was fixed at 12.25%.

The Class D tranche of notes are $100 million in size and their pricing was fixed at 25.5%.