Montoya Re Ltd. (Series 2024-1)

This is the third Montoya Re Ltd. catastrophe bond that specialty insurer and reinsurer Inigo Insurance has sponsored, with the ultimate beneficiary of the retrocessional reinsurance protection being the carriers’ Lloyd’s Syndicate 1301.

The coverage from this 2024-1 cat bond will be very similar to the second Montoya Re 2022-2 deal, in providing Inigo with a capital markets backed source of collateralized retro against large industry losses caused by US named storms, and North American earthquakes, including Canada.

Once again, Inigo’s Syndicate 1301 at Lloyd’s will be the ultimate beneficiary of the coverage from its third cat bond.

Hannover Re will participate as the ceding reinsurer, sitting in the middle as a fronting reinsurance entity for this new issuance and then providing the reinsurance to Inigo.

Montoya Re Ltd. is seeking to issue a single tranche of Series 2024-1 Class A notes, with a target size for the issuance of $100 million or greater.

The Montoya Re 2024-1 notes will be sold to cat bond investors and the proceeds used to collateralize a retro reinsurance agreement between the SPI and Hannover Re, who will subsequently provide the reinsurance to Inigo’s Syndicate 1301.

The coverage from this latest Inigo sponsored cat bond will run for more than three years to the end of March 2027, we understand, with four risk periods, the first of which is relatively short at just about three months, after which three annual risk periods will run.

The retro reinsurance coverage provided by the Montoya Re 2024-1 cat bond will cover the peak perils of U.S. named storm, U.S. and Canada earthquake and the cat bond transaction features a PCS industry loss index trigger, with the protection provided on an annual aggregate basis.

We’re told that there will be a $15 billion franchise deductible for US named storm industry loss events and $9 billion for North American earthquakes.

The $100 million of Class A notes are being marketed with an initial attachment probability of 5.08%, an initial expected loss of 4.46% and are being offered to investors with coupon price guidance in a range from 12.25% to 13%, we are told.

Update 1:

We understand that the price guidance for the $100 million Montoya Re 2024-1 Class A catastrophe bond notes has been lowered to below the initial range, to offer investors an updated spread of between 11.5% and 12.25%.

Update 2:

We’re told that Inigo priced the $100 million of Montoya Re 2024-1 cat bond notes at the lowest end of the reduced guidance, to pay investors a spread of 11.5%, which represented a roughly 9% price drop from the initial guidance mid-point.