Montoya Re Ltd. (Series 2022-1)

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Montoya Re Ltd. (Series 2022-1) – At a glance:

  • Issuer: Montoya Re Ltd.
  • Cedent / sponsor: Inigo Insurance (Syndicate 1301)
  • Placement / structuring agent/s: Aon Securities is sole structuring agent and bookrunner
  • Risk modelling / calculation agents etc: AIR Worldwide
  • Risks / perils covered: U.S. named storm, U.S. and Canada earthquake, Japan earthquake, Japan typhoon
  • Size: $115m
  • Trigger type: Industry loss index
  • Ratings: NR
  • Date of issue: Mar 2022

Montoya Re Ltd. (Series 2022-1) – Full details:

This is the first catastrophe bond to be sponsored by specialty insurer and reinsurer Inigo Insurance, with the ultimate beneficiary of the reinsurance protection being the carriers Lloyd’s Syndicate 1301.

Inigo Insurance has entered the catastrophe bond market for the first time in search of industry loss trigger based reinsurance protection to cover potential aggregations of losses across multiple international peak peril zone exposures.

Sources told Artemis that Inigo Insurance has registered a special purpose insurer in Bermuda named Montoya Re Ltd. for the purpose of issuing catastrophe bonds.

For its first issuance, Montoya Re Ltd. is seeking to issue and sell to investors a $105 million or larger tranche of Series 2022-1 Class A notes.

The collateral from the sale of the notes will underpin retro reinsurance agreements between the SPI Montoya Re and Inigo’s Syndicate 1301 at Lloyd’s, we understand, with the syndicate the ultimate beneficiary of the coverage.

Hannover Re sits in the middle as a fronting reinsurance entity.

We’re told that the $105 million or larger tranche of Series 2022-1 Class A notes issued by Montoya Re Ltd. are designed to provide Inigo’s syndicate 1301 with roughly three years of protection to the end of March 2025.

The coverage will be across the peak perils of U.S. named storm, U.S. and Canada earthquake, Japan earthquake, and Japan typhoon.

The cat bond will feature a PCS industry loss index trigger, with coverage on an annual aggregate basis, we’re told.

The Class A notes come with an initial attachment probability of 3.37%, an initial expected loss of 1.52% and are being marketed to investors with coupon price guidance in a range from 5.5% to 6.25%, we understand.

Update 1:

We’re told the spread guidance has been raised for the still $105m of Class A notes, with pricing now marketed as 6.25% to 6.75%.

Update 2:

The coupon for Inigo Insurance’s first cat bond was fixed at the top-end of revised guidance, at 6.75%. But Inigo is targeting an upsize for the deal, we’re told, with up to $115 million of reinsurance protection now being sought.

Update 3:

The Montoya Re 2022-1 cat bond eventually settled at the raised target of $115 million and with the pricing at the revised top-end of 6.75%.

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