Windrose Re Ltd. (Series 2026-1)

This is the first catastrophe bond from Integral ILS Ltd., an independent alternative investment manager focused on natural catastrophe insurance and reinsurance investments.

This Windrose Re Ltd. catastrophe bond is being sponsored by Integral ILS’ Bermuda based special purpose insurer, Integral Reinsurance Ltd., but the protection it sources will benefit certain funds under the management of Integral ILS.

Windrose Re Ltd. has been established in Bermuda and is set to become a special purpose insurer (SPI) designed for issuance of programs of catastrophe bond notes to benefit the Integral ILS platform.

For this first Series 2026-1 issuance, Windrose Re Ltd. is offering three tranches of notes that will be sold to cat bond investors and the proceeds used to collateralize certain reinsurance agreements that will ultimately protect the Integral ILS reinsurance underwriting entity Integral Reinsurance Ltd.

We understand that Hannover Re is acting as a front for this cat bond issuance and will enter into retrocessional agreements with Windrose Re Ltd. and the vehicle will then pass on the reinsurance to Integral Reinsurance Ltd, which in turn will enable access to the capital markets to reinsure certain funds managed by Integral ILS.

This debut cat bond under Windrose Re Ltd. is seeking to secure $200 million of US named storm retrocessional reinsurance protection for funds managed by Integral ILS, we are told.

The three tranches of notes offered will cover different regions of the United States, while all three will utilise state-weighted industry-loss index triggers and the protection they afford will run across roughly three annual risk periods from issuance.

A currently $100 million Class A tranche of Series 2026-1 notes offered by Windrose Re Ltd. will provide Integral Re with per-occurrence protection for named storm industry losses across US northeast states, we understand.

The Class A notes will come with an initial attachment probability of 3.48%, an initial base expected loss of 2.88% and are being offered to cat bond investors with price guidance for a risk interest spread of between 4.75% and 5.75%.

A currently $50 million Class B tranche of Series 2026-1 notes under this offering are designed to provide Integral Re with protection on an occurrence basis for named storm industry losses affected the US Gulf Coast (although not Florida’s Gulf coastline), sources said.

The Class B notes come with an initial attachment probability of 4.78%, an initial base expected loss of 4.05% and are being offered to cat bond investors with price guidance for a risk interest spread of between 8.25% and 9.25%.

The final Class C tranche of Series 2026-1 notes are $50 million in size currently and structured to provide Integral Re with annual aggregate protection against named storm industry losses across all US states except for Florida and Hawaii, we are told. These notes feature a franchise deductible we understand, derived in industry loss index points.

The Class C notes come with an initial attachment probability of 7.93%, an initial base expected loss of 6.97% and are being offered to cat bond investors with price guidance for a risk interest spread of between 11.75% and 12.75%.