Ursa Re Ltd. (Series 2026-1)

The California Earthquake Authority (CEA) has returned to the catastrophe bond market for its second sponsorship of 2026.

With this Ursa Re Series 2026-1 cat bond issuance, the California Earthquake Authority (CEA) is seeking to add to its fully-collateralized earthquake reinsurance protection from the capital markets, through what will be the 25th cat bond sponsored by the entity that we have tracked.

For this new cat bond issuance, we have been told that the CEA will use its Ursa Re Ltd. special purpose insurer (SPI) which is based in Bermuda and is targeting issuance of two tranches of Series 2026-1 catastrophe bond notes.

These notes are being offered to cat bond investors and the proceeds of their sale will be used to collateralize reinsurance agreements between the issuing vehicle Ursa Re Ltd. and the CEA.

The initial target is to secure $600 million of limit across the two tranches of cat bond notes on offer, which will provide the CEA with a roughly four year source of fully-collateralized California earthquake reinsurance protection on an indemnity trigger and annual aggregate basis, the same trigger structure as CEA’s cat bonds have adopted in the past.

Ursa Re Ltd. is offering a currently $350 million Series 2026-1 Class D tranche of notes that would attach their coverage at $4.784 billion of losses and share losses across a $500 million layer, giving them an initial attachment probability of 2.83%, an initial expected loss of 2.68% and they are being offered to investors with price guidance in a range from 4% to 4.5%, we are told.

In addition, a riskier currently $250 million Series 2026-1 Class H tranche of notes are being offered that would attach their coverage at $1.5 billion of losses, sharing in a $400 million layer, giving them an initial attachment probability of 6.85%, an initial expected loss of 6.35% and these notes are being offered to investors with price guidance in a range from 8.5% to 9.5%, sources explained.

Interestingly, we believe those Class H notes have the highest expected loss for any tranche of catastrophe bond notes that we have seen sponsored by the CEA over the years.