Fidelis Insurance is back in the catastrophe bond market, aiming to secure $75 million or more in US earthquake retrocessional reinsurance on a collateralized basis through sponsorship of a Herbie Re Ltd. (Series 2026-1) cat bond, Artemis has learned.
This will become the the eighth catastrophe bond in the Herbie Re series of transactions sponsored by Fidelis Insurance, since it first entered the cat bond market back in 2020.
Once again using its Bermuda-based special purpose insurer Herbie Re Ltd., Fidelis is targeting $75 million or greater in fully-collateralized retrocessional protection from the capital markets through the issuance and sale to investors of a single tranche of Series 2026-1 cat bond notes, we are told.
The notes will be sold to catastrophe bond funds and investors, with the proceeds set to be used to collateralize a retrocessional reinsurance agreement between the SPI, Herbie Re Ltd., and the ceding company, which is Fidelis Insurance Bermuda, the same entity as in all the other cat bonds under the Herbie Re program of deals.
The $75 million or more in Herbie Re Series 2026-1 Class A notes will provide Fidelis with a source of annual aggregate retrocessional reinsurance protection over an almost four year term to the end of 2029, we understand.
The notes will provide Fidelis with annual aggregate, industry-loss triggered protection against losses from earthquakes affecting the United States and District of Columbia.
There will be a $5 billion of industry losses franchise deductible for an event to qualify for aggregation, while the Herbie Re Series 2026-1 Class A cat bond notes would attach their coverage from $20 billion and exhaust at $40 billion, sources said.
As a result, the $75 million of Class A notes will have an initial attachment probability of 3.32% and an initial expected loss of 2.37%, while theyare being offered to investors with price guidance in a range from 4% to 4.75%, we’ve learned.
It’s encouraging to hear that Fidelis is looking to further build out its capital markets backed sources of retrocession through the catastrophe bond market, to manage its exposure as it continues to grow.
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