Fidelis Insurance has returned to the catastrophe bond market with an initial $75 million target to renew one of its maturing and also recently loss-affected sources of worldwide aggregate retrocession through a   cat bond issuance, Artemis has learned.This will become the the seventh Herbie Re catastrophe bond transaction to be sponsored by Fidelis Insurance, since it first entered the cat bond market back in 2020.As said, this appears to be an attempt to at least in part renew the worldwide annual aggregate retrocession that Fidelis’ $150 million catastrophe bond provided.Recall that the 2021-1 cat bond had been affected by losses, with after events including 2024 hurricanes and the January 2025 California wildfires saw qualifying annual aggregate losses under the deal exceeding the attachment point.

That Herbie Re 2021-1 cat bond matures at the end of this month, although naturally may get extended to allow for further development of prior qualifying events.So it’s encouraging to see Fidelis Insurance back in the market with what appears to be a renewal of sorts.Using its Bermuda-based special purpose insurer Herbie Re Ltd., Fidelis is aiming to secure at least $75 million of retrocessional protection through the issuance of a single tranche of Series 2025-1 cat bond notes, we are told.

The notes will be sold to cat bond funds and investors and the proceeds used to collateralize a retrocessional reinsurance agreement between the SPI Herbie Re Ltd.and the ceding company, which is Fidelis Insurance Bermuda.The Herbie Re Series 2025-1 Class A notes will provide Fidelis with a source of annual aggregate and worldwide multi-peril retrocessional protection, we understand.

Sources said the covered perils are the same as the maturing 2021-1 cat bond, so we believe them to be North America named storm, North America earthquake, US severe thunderstorm, US wildfire, US winter storms, US Caribbean earthquake, Japan typhoon, Japan earthquake, Canada severe storm, Canada winter storm, European windstorm, Italy earthquake, Turkey earthquake, Australia earthquake, Australia tropical cyclone, and NZ earthquake.The single tranche of Class A notes will provide retro reinsurance protection structured on an annual aggregate and industry loss index basis, across a two-year term and two annual risk periods to the end of May 2027, sources told us.Each peril and region covered will feature a franchise deductible, we understand, while there will be a $45 billion cap for coverage for the perils of North America named storm and earthquake, as well as US Caribbean quake risks.

The Herbie Re Series 2025-1 Class A cat bond notes would attach at $60 billion of losses, running up to exhaustion at $90 billion, we understand.This gives the Class A notes an initial attachment probability of 14.58% and an initial expected loss of 8.79%, while the notes are being offered to investors with price guidance in a range from 31% to 32%, we’ve learned.For comparison, the Series 2021-1 cat bond initially attached at $50 billion of losses and only covered losses to $70 billion, while the coverage cap for the three capped perils was slightly lower at $35 billion.

As a result, the 2021-1 cat bond has an initial expected loss of 7.32% and priced to pay investors a spread of 17.25%.So the covered layer under the Herbie Re 2025-1 cat bond has changed somewhat compared to the maturing deal, attaching higher and being wider, but with a larger coverage contribution possible from peak peril events.The price multiple is significantly higher, but given cat bond investors have faced losses from the soon to mature transaction that is perhaps no surprise.

On which basis it’s good to see Fidelis looking to renew some or all of the maturing coverage, the 2021-1 cat bond was double the size at $150 million.Given the price multiple available with this new deal, it seems possible Fidelis might be able to replace all of the coverage with this new worldwide aggregate cat bond issuance.Read all about this   catastrophe bond comes to market and you can read about this and every other cat bond deal in the Artemis Deal Directory..

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