Integrity Re III Ltd. (Series 2026-1)

This will be the ninth catastrophe bond issuance under an Integrity Re name to provide reinsurance for sponsoring entities from the American Integrity Insurance Group.

American Integrity is utilising Bermuda based special purpose insurer Integrity Re III Ltd. for the second time, for this latest cat bond from the company.

Across the issuance there are four tranches of Series 2026-1 notes being offered by Integrity Re III Ltd., with more than $175 million in named storm reinsurance protection being targeted.

All four classes of notes are designed to 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. In addition, we’re told there is also an element of coverage for watercraft policy losses in the Bahamas as well, which is a novel inclusion.

The reinsurance will run from June 1st for three years from this Integrity Re III 2026-1 cat bond, so aligned with American Integrity’s traditional reinsurance renewal.

As we said, there is stated reinsurance and cat bonds that inure to these tranches with differences for each, hence the attachment points are after that is taken into consideration.

A $75 million Class A tranche of notes that attach at $35 million and exhaust at $165 million, but we’re told are expected to have an effective first attachment at more than $2 billion of losses after inuring layers of the tower. The Class A notes come with an initial attachment probability of 1.61%, an initial base expected loss of 1.38% and are being offered to cat bond investors with price guidance in a range from 8% to 9%.

A $50 million Class B tranche of notes would attach at $100 million and exhaust at $200 million, but we’re told are expected to have an effective first attachment at around $1.07 billion of losses after inuring layers of the tower. The Class B notes come with an initial attachment probability of 3.6%, an initial base expected loss of 3.39% and are being offered to cat bond investors with price guidance in a range from 12% to 13%.

A $50 million Class C tranche of notes would attach at $390 million and exhaust at $590 million, but we’re told are expected to have an effective first attachment at around $870 million of losses after inuring layers of the tower. The Class C notes come with an initial attachment probability of 7.72%, an initial base expected loss of 4.56% and are being offered to cat bond investors with price guidance in a range from 17% to 19%.

The final Class D tranche of notes are unsized and would attach at $200 million and exhaust at $390 million, which we understand to be where an effective first attachment would occur. The Class D notes come with an initial attachment probability of 15.12%, an initial base expected loss of 11.96% and at this stage sources said they have not come with price guidance, but given the expected loss level and the fact this is a riskier lower layer pricing would be anticipated to be considerably higher than the C’s.

Update 1:

American Integrity Insurance Company has now set the target for its latest catastrophe bond, with between $215 million and $275 million of named storm reinsurance now sought from this Integrity Re III 2026-1 cat bond.

What was initially a $75 million Class A tranche of notes are now targeted at up to $100 million in size and their price guidance has been updated at between 7% and 8%.

What was a $50 million Class B tranche of notes are now offered at up to $75 million in size and their price guidance has been updated to between 11% and 12%.

The Class C tranche of notes remain at $50 million in size with price guidance updated to between 16.5% and 17.5%, sources said.

The final Class D tranche of notes are now sized at between $40 million and $50 million and have price guidance of between 34% and 35%.

At that level of pricing, the Integrity Re III Series 2026-1 Class D notes have the highest risk interest spread level of any 144A catastrophe bond in modern history (around two decades), according to our data.

Update 2:

American Integrity Insurance Company has now updated the target for its latest catastrophe bond, with between $240 million and $260 million of named storm reinsurance now sought from this Integrity Re III 2026-1 cat bond. At the same time the price guidance has been lowered again for the notes.

The Class A tranche of notes are now targeted at $85 million to $90 million in size and their price guidance has been updated at between 6.75% and 7%.

The Class B tranche of notes are now offered at between $60 million and $70 million in size and their price guidance has been updated to between 10.75% and 11%.

The Class C tranche of notes remain at $50 million in size with price guidance updated again to between 16.25% and 16.5%.

The final Class D tranche of notes are now sized at between $45 million and $50 million and have price guidance of between 32% and 34%.