Convex reduces Hypatia 2026-1 retro cat bond size target to between $150m – $175m

Convex Group, the expansive global specialty insurance and reinsurance underwriter, has reduced its target for the Hypatia Ltd. (Series 2026-1) catastrophe bond transaction to between $150 million and $175 million of retrocession, while the company aims to secure mid-guidance pricing for the tranche of notes on offer, this publication has learned.

Convex first debuted in the catastrophe bond market back in 2020, securing $300 million of protection from the capital markets with its first Hypatia deal.

The company then returned to the market in 2023 and managed to secure $150 million of industry loss triggered retrocession with a Hypatia 2023-1 issuance. 

Convex then followed that up last June, as it managed to secure a further $150 million of retro from a 2025-1 issuance under Hypatia Ltd. last June.

As we’ve explained before, the Hypatia Ltd. (Series 2023-1) issuance has recently matured, which highly suggests that this Series 2026-1 takedown under Hypatia Ltd. may be considered a replacement.

This Hypatia Ltd. (Series 2026-1) issuance was launched recently and initially saw Convex aiming to secure $200 million or more in retrocessional reinsurance to protect its reinsurer underwriting entity Convex Re and subsidiary entities such as Convex’s UK and European insurers against major US named storm events as well as earthquake events impacting the US or Canada, on an industry loss triggered basis.

Now, we understand that Convex has pared back its target size to between $150 million and $175 million, while the tranche of Hypatia Ltd. Series 2026-1 cat bond notes on offer have shifted to mid-guidance pricing.

The Series 2026-1 Class A notes that Hypatia Ltd. will aim to issue will be exposed to losses from US named storms, including Puerto Rico, D.C and the US Virgin Islands, and both US, those territories and Canadian earthquake events.

These notes will provide Convex with annual aggregate retro protection for major loss events caused by these perils, with coverage set to run across a roughly three year term with maturity expected in May 2029.

What was initially a $200 million tranche of Series 2026-1 Class A notes are now targeted at between $150 million and $175 million in size.

The Class A notes will come with an initial attachment probability of 2.87%, an initial base expected loss of 2.26%, and they were first offered to cat investors with price guidance for a spread of between 4.75% and 5.25%. We are now told that guidance has been revised at the middle of the initial range to 5%.

As a result, it appears Convex Group is set to secure its latest catastrophe bond at a slightly lower size than its original target, with the notes priced at the midpoint of initial guidance. However, it’s important to remember that the size target could change once again, which can sometimes occur during the marketing phase of cat bonds.

As a reminder, you can read all about Convex’s fourth catastrophe bond, this Hypatia Ltd. (Series 2026-1)  transaction, and almost every other cat bond ever issued in the Artemis Deal Directory.