American Integrity Insurance Company is back in the catastrophe bond market with a multi-layered transaction that could secure the firm as much as $375 million of fully-collateralized US named storm reinsurance across southeast states, through an Integrity Re III Ltd. (Series 2025-1) issuance, this publication has learned.
The coverage area has expanded by one state compared to last year’s $305 million Integrity Re Ltd. (Series 2024-1) deal, we understand, while the structure is also more complex with additional tranches of notes being offered and this could become the largest cat bond from the sponsor yet.
Details of every cat bond from American Integrity Insurance can be found in our Deal Directory.
American Integrity has established a new Bermuda based issuer for the this latest cat bond from the company, Integrity Re III Ltd.
In total seven tranches of Series 2025-1 notes are being offered by Integrity Re III Ltd., across which as much as $375 million in reinsurance is being targeted.
Due to the structure though, it’s not clear if all tranches will be issued, or whether American Integrity could choose to favour some over others, depending on investor appetite.
If all seven tranches do get issued, this Integrity Re III catastrophe bond will become a major source of reinsurance protection, occupying a relatively significant proportion of the sponsoring insurers reinsurance tower, it seems.
All seven tranches of notes 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.
North Carolina is the additional covered state, compared to the 2024 cat bond, showing American Integrity continuing to expand its underwriting business.
Across the tranches of notes 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.
A $50 million Class A1 tranche of notes, designed to provide two years of coverage running from Jun 1 2025 to Jun 6th 2027, attach their coverage at $545 million and exhaust at $845 million, giving them an initial attachment probability of 1.77%, an initial expected loss of 1.58% and price guidance of 10% to 11%.
A $50 million Class A2 tranche of notes, designed to provide three years of coverage running from Jun 1 2025 to Jun 6th 2028, also attach their coverage at $545 million and exhaust at $845 million, giving them an initial attachment probability of 1.77%, an initial expected loss of 1.58% and price guidance of 10% to 11%.
A $50 million Class B1 tranche of notes, designed to provide two years of coverage running from Jun 1 2025 to Jun 6th 2027, attach their coverage at $545 million and exhaust at $845 million, but have an initial attachment probability of 2.25%, an initial expected loss of 2.01% and price guidance of 11.5% to 12.5%.
A $50 million Class B2 tranche of notes, designed to provide three years of coverage running from Jun 1 2025 to Jun 6th 2028, attach their coverage at $545 million and exhaust at $845 million, also have an initial attachment probability of 2.25%, an initial expected loss of 2.01% and price guidance of 11.5% to 12.5%.
A $75 million Class C tranche of notes, designed to provide three years of coverage running from Jun 1 2025 to Jun 6th 2028, would also attach their coverage at $545 million and exhaust at $845 million, but have an initial attachment probability of 2.92%, an initial expected loss of 2.55% and price guidance of 13.25% to 14.25%.
A $50 million Class D tranche of notes, are designed to provide two years of coverage running from Jun 1 2025 to Jun 6th 2027, but attach their coverage at $370 million and exhaust at $545 million, with an initial attachment probability of 7.35%, an initial expected loss of 4.52% and price guidance of 26% to 28%.
The last $50 million Class E tranche of notes, are designed to provide two years of coverage running from Jun 1 2025 to Jun 6th 2027, but attach their coverage at $90 million and exhaust at $265 million, with an initial attachment probability of 7.41%, an initial expected loss of 4.51%, but are currently offered without a price guidance range, we are told.
As you can see from the tranche details above, the structure is unusual and there are layers of inuring reinsurance, but these also differ across classes of notes, making comparison a little more challenging than with most catastrophe bonds.
However, sources said that the effective attachment points in the American Integrity reinsurance tower at issuance are expected to be: Class D and Class E at $893 million; Class C at $1.218 billion; Class B1 and Class B2 at $1.518 billion; and Class A1 and Class A2 at $1.818 billion.
Which alongside the attachments stated above for each tranche will help to provide a better idea of the amount of stated reinsurance that inures to each layer.
As said, it’s a more complex structure than any of American Integrity’s previous catastrophe bonds and if all seven tranches settle and get issued this could also be its largest, in terms of the amount of capital market backed reinsurance it provides the insurer.
It’s also worth noting that the Class D notes, given their price guidance range, will become on the highest priced 144A cat bond tranches ever to come to market, if successfully issued.
You can read all about this new Integrity Re III Ltd. (Series 2025-1) catastrophe bond and every cat bond deal in the Artemis Deal Directory.