Fidelis seeks $375 million in coverage through its largest Herbie Re catastrophe bond to date.

Fidelis Insurance is preparing to upsize its latest catastrophe bond issuance, the Herbie Re Ltd. (Series 2024-2) transaction, aiming to secure $375 million in retrocessional reinsurance coverage.

This marks the sixth Herbie Re catastrophe bond sponsored by Fidelis since its entry into the cat bond market in 2020. The new issuance is set to be the largest catastrophe bond sponsored by the company to date, with the target raised to $375 million for multi-peril U.S. retrocessional reinsurance backed by the capital markets.

Initially, when Fidelis launched the Herbie Re 2024-2 cat bond in late November, the target was at least $300 million through three tranches of notes, with one tranche initially unsized. Now, all three tranches have been assigned sizes, bringing the total issuance to $375 million.

The bond will provide Fidelis with multi-year, annual aggregate and territory-weighted industry loss index-triggered protection. It covers losses from U.S. named storms and earthquakes, including risks in Washington D.C., Puerto Rico, and the U.S. Virgin Islands, over a four-year term.

• Class A Tranche: Sized at $150 million, this tranche offers four years of protection through the end of 2028. It has an initial expected loss of 3.09% and was initially marketed with a price guidance of 7.5% to 8.25%, which has since narrowed to 7.25% to 7.5%.
• Class B Tranche: Also $150 million, this tranche provides four years of protection until the end of 2028. It has an initial expected loss of 4.7%, with price guidance tightening from 11%-12% to 10.75%-11%.
• Class C Tranche: Now set at $75 million, this tranche offers two years of coverage through the end of 2026. It has a higher initial expected loss of 10.42%, with price guidance fixed at the upper end of 23%, reflecting the elevated risk.

The pricing of the riskiest Class C tranche at the higher end of guidance suggests cat bond investors remain disciplined, demanding appropriate returns for the risks assumed. This is notable in a market where most tranches have priced lower this quarter.

For more details about the Herbie Re Ltd. (Series 2024-2) catastrophe bond and other cat bond deals, refer to the Artemis Deal Directory.