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Montoya Re Ltd. (Series 2022-2)

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Montoya Re Ltd. (Series 2022-2) – 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
  • Size: $100m
  • Trigger type: Industry loss index
  • Ratings: NR
  • Date of issue: Dec 2022

Montoya Re Ltd. (Series 2022-2) – Full details:

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

As with its first Montoya Re 2022-1 cat bond issued earlier in the year, Inigo Insurance is again seeking a capital markets backed source of multi-peril annual aggregate retro reinsurance protection with its new deal.

This second Montoya Re catastrophe bond is a little narrower in its coverage, with the issuance just seeking North American, including Canada, named storm and earthquake protection for Inigo, we’re told by sources.

Inigo’s Syndicate 1301 at Lloyd’s, will again be the ultimate beneficiary of the coverage from this second Montoya Re cat bond arrangement.

As with the first Montoya cat bond, Hannover Re sits in the middle as a fronting reinsurance entity for this new issuance.

Montoya Re Ltd. will seek to issue a single tranche of Series 2022-2 Class A notes, with a target size of issuance of $100 million or greater, and these will be sold to investors and the proceeds used to collateralize reinsurance agreements between the SPI and Inigo’s Syndicate 1301.

The coverage from this latest cat bond will run a little longer than Inigo’s first as well, we understand, with coverage to begin for 2023 and run to the end of March 2026 and the first risk period a relatively short one just for the first three months of the deal’s tenure.

The retro reinsurance coverage provided by the Montoya Re 2022-2 cat bond will be across the peak perils of U.S. named storm, U.S. and Canada earthquake.

As with the first Montoya Re cat bond, the transaction features a PCS industry loss index trigger, with coverage provided on an annual aggregate basis.

The $100 million of Class A notes are being marketed with an initial attachment probability of 4.25%, an initial expected loss of 3.18% and are being marketed to investors with coupon price guidance in a range from 13% to 14%, we understand.

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