Integral ILS now targeting up to $275m named storm retro with Windrose Re cat bond

Integral ILS Ltd. is now aiming to secure up to $275 million of US named storm retrocession from its debut Windrose Re Ltd. (Series 2026-1) catastrophe bond, while the price guidance has been adjusted for each of the tranches of notes being offered, Artemis can report.

Integral ILS became the latest specialist insurance-linked securities investment manager to seek hedging protection from the catastrophe bond market for its managed ILS investment funds earlier this month, when its debut cat bond began marketing.

As ILS manager’s have grown their assets under management and so their portfolios of catastrophe reinsurance risk instruments, which Integral ILS has as we reported last week, their need for hedging increases and for some the cat bond market is seen as a well-priced option to lock-in multi-year limit.

Integral ILS, an independent alternative investment manager focused on natural catastrophe insurance and reinsurance investments, was initially seeking $200 million of retrocessional limit from its first cat bond through Windrose Re Ltd.

Now, we’re told that the latest update on the deal shows that up to $275 million of retro limit is now being sought from this issuance.

At the same time as which, the price guidance has been updated, with two tranches still within their initial ranges and one layer below.

We’re told that, at this time, this debut cat bond under Windrose Re Ltd. now targets between $200 million and up to $275 million of US named storm retrocessional reinsurance protection for funds managed by Integral ILS via its Integral Re collateralized reinsurer.

This protection will come via three tranches of notes covering different regions of the United States, all featuring state-weighted industry-loss index triggers and designed to provide roughly three years of coverage.

The Class A tranche of Series 2026-1 notes that target per-occurrence protection for named storm industry losses across US northeast states, are now targeted at between $100 million and $150 million in size, we are told.

The Class A notes will come with an initial base expected loss of 2.88% and were first offered to cat bond investors with price guidance for a risk interest spread of between 4.75% and 5.75%. That price guidance has now been narrowed within guidance at between 5.25% and 5.5%, we understand.

The Class B tranche of Series 2026-1 notes that will 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), are now targeted at between $50 million and $75 million in size, sources said.

The Class B notes come with an initial base expected loss of 4.05% and were first offered to cat bond investors with price guidance for a risk interest spread of between 8.25% and 9.25%. That price guidance has been updated to between 8% and 8.25%, so below the initial range.

The Class C tranche of Series 2026-1 notes remain at a target size of $50 million, to provide annual aggregate protection against named storm industry losses across all US states except for Florida and Hawaii.

The Class C notes come with an initial base expected loss of 6.97% and were first offered to cat bond investors with price guidance for a risk interest spread of between 11.75% and 12.75%. For these notes the pricing has been updated at 12.25%, so at the mid-point of the initial range, we understand.

As this new Windrose Re 2026-1 catastrophe bond proceeds through its offering phase, it’s clear Integral ILS sees the pricing indications it has received as commensurate with potentially upsizing the deal, to secure more hedging capacity than originally targeted.

You can read all about this Windrose Re Ltd. (Series 2026-1) catastrophe bond in the extensive Artemis Deal Directory that includes details on almost every cat bond ever issued.