American Integrity Insurance Company has raised its target for reinsurance limit to be raised from its latest catastrophe bond to now $550 million, as the deal upsized from an initial target of $325 million, but with now one higher-risk tranche dropped from the issuance.American Integrity Insurance Company returned to the cat bond market at the beginning of February with a target to sponsor a multi-layered transaction that sought as much as $325 million of fully-collateralized US named storm reinsurance across southeast states.Originally the issuance was set to feature seven separate tranches of notes, but now the riskiest Class E layer has been removed from this issuance, we are told.It’s possible this tranche gets placed in private reinsurance form, of course.

From the initial $325 million target, the remaining six tranches of notes now seek $550 million of collateralized catastrophe reinsurance for the insurer, which will certainly make this the largest cat bond for American Integrity yet.The remaining six tranches will provide American Integrity with multi-year and fully-collateralized named storm reinsurance protection across the states of Florida, Georgia, North Carolina and South Carolina, on an indemnity trigger and per-occurrence basis.The notes feature different terms of coverage and as we explain in , there are varying degrees of inuring reinsurance and we’re told this cat bond is a kind of top and drop, or cascading structure, meaning as stated reinsurance is eroded at different rates the effective attachment points can differ, even where the risk metrics of the notes may appear similar to begin.

What was a $50 million Class A1 tranche of notes are now $65 million in size and designed to provide two years of coverage running from Jun 1 2025 to Jun 6th 2027.With an initial expected loss of 1.58%, their initial price guidance was 10% to 11%, but we’re told this has now been updated to 9% to 10%.What was a $50 million Class A2 tranche of notes are now $85 million and will provide three years of coverage running from Jun 1 2025 to Jun 6th 2028.

With their initial expected loss of 1.58%, they were first offered with price guidance of 10% to 11% but this has now also fallen to 9% to 10%.What was a $50 million Class B1 tranche of notes are now $60 million in size, we are told, and will provide two years of coverage running from Jun 1 2025 to Jun 6th 2027.With their initial expected loss of 2.01%, their initial price guidance was 11.5% to 12.5%, but this has now also been lowered to 10.75% to 11.5%.

What was a $50 million Class B2 tranche of notes are now $90 million in size and will provide three years of coverage running from Jun 1 2025 to Jun 6th 2028.With their initial expected loss of 2.01%, they were first offered with price guidance of 11.5% to 12.5%, but this has also fallen to 10.75% to 11.5%.What was a $75 million Class C tranche of notes are now double that at $150 million and will provide three years of coverage running from Jun 1 2025 to Jun 6th 2028.

With an initial expected loss of 2.55%, these notes were offered with price guidance of 13.25% to 14.25%, but this has again fallen to 12.75% to 13.25%, we understand.What was a $50 million Class D tranche of notes are now also double at $100 million in size and will provide two years of coverage running from Jun 1 2025 to Jun 6th 2027.Their initial expected loss is 4.52% and their initial price guidance was 26% to 28%, but this has now been fixed at the low-end of 26%, sources said.

The final Class E tranche are the notes that have been dropped, we understand.They had an initial expected loss of 4.51%, but had less inuring reinsurance so were effectively riskier it seems.The Class D notes, at a 26% spread, will become one of the highest-returning 144A catastrophe bond tranches ever issued it seems.

This new Integrity Re III 2025-1 catastrophe bond will be by far the largest ever sponsored by American Integrity, so it is encouraging to see the company expanding the role of the capital markets in its reinsurance tower this year.You can read all about this new catastrophe bond and every cat bond deal in the Artemis Deal Directory..All of our Artemis Live insurance-linked securities (ILS), catastrophe bonds and reinsurance can be accessed online.

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