Windmill III Re DAC (2026-1)

Netherlands headquartered European insurance group Achmea has returned to the catastrophe bond market to sponsor what will be its fifth cat bond transaction, as it looks to expand on the fully-collateralized windstorm reinsurance its Windmill Re issuances provide.

For this 2026 cat bond, Achmea is using its Ireland domiciled designated activity company Windmill III Re DAC for the second time, having established it for the 2024 issuance.

Achmea Reinsurance Company NV, the group reinsurer, is again set to be the ceding entity to the cat bond transaction, we understand.

Achmea Reinsurance Company will enter into a retrocessional agreement with the special purpose issuer to connect with the capital market investors backing this issuance, then provide that reinsurance coverage to Achmea’s main property insurance underwriting subsidiaries.

Windmill III Re DAC is seeking to issue a single tranche of Series 2026-1 Class A notes that are currently targeted as a €75 million issuance in size terms, we are told.

Like the prior issuance in 2024, these Windmill III Re DAC Series 2026-1 Class A notes are designed to provide Achmea with a four-year source of collateralized reinsurance protection from the capital markets to cover certain European windstorm losses.

We understand that the coverage area is across all the major European windstorm exposed countries, but that the Netherlands is the country with the majority of the subject exposure to these cat bond notes. We are also told that, again like the previous Windmill cat bond, this new issuance will also cover losses from certain severe convective or thunderstorm types risks, including hail and tornadoes for the sponsor.

The Windmill III Re DAC Series 2026-1 catastrophe bond notes will again cover Achmea’s losses on an indemnity and per-occurrence basis.

The currently €75 million of Series 2026-1 Class A notes being offered by Windmill III Re DAC would attach their coverage at €500 million of losses and exhaust coverage at €650 million, which is the same layer where the 2024-1 cat bond notes originally sat, we understand. We do not know at this time if those notes have been reset to a different layer at this time, but it seems likely given they were €100 million in size.

The Windmill III Re 2026-1 Class A notes will have an initial attachment probability of 2.95%, an initial expected loss of 2.58% and are being marketed with price guidance in a range from 4.25% to 5%, sources said.