Montoya Re Ltd. (Series 2025-1)

This will be the fourth Montoya Re Ltd. catastrophe bond to benefit sponsoring specialty insurer and reinsurer Inigo Insurance.

The ultimate beneficiary of the retrocessional reinsurance protection is again the carriers’ Lloyd’s Syndicate 1301, but this time it is the first Montoya Re catastrophe bond to feature two tranches of notes, one of which is designed to provide second and subsequent event cover, we understand.

Montoya Re Ltd. is seeking to issue two tranches of Series 2025-1 Class A notes, with an overall target size for the issuance of $100 million or greater.

The two tranches of Montoya Re 2025-1 cat bond notes will be sold to investors and the proceeds used to fully-collateralize a retrocessional reinsurance agreement between the special purpose insurer and Hannover Re, who will in turn provide the reinsurance to Inigo’s Syndicate 1301, we understand.

The coverage will run across slightly more than three years to the end of March 2028, we understand, with final maturity due in early April 2028.

Both of the tranches of notes will provide Inigo with retrocessional reinsurance coverage for the peak perils of U.S. named storm, as well as U.S. and Canada earthquake, the same as the last two deals, while both tranches will also utilise a PCS industry loss index trigger, we understand.

An $80 million tranche of Class A notes will provide annual aggregate protection and will have an initial attachment probability of 3.12%, an initial expected loss of 2.75%, while they are being offered to investors with price guidance in a range from 6% to 6.75%.

We are told the annual aggregate Class A tranche will feature a franchise deductible of $10 billion per-event, for both the named storm and earthquake risks.

A smaller $20 million Class B tranche of notes will provide per-occurrence based second and subsequent event protection, sources said, with an an initial attachment probability of 2.67%, an initial expected loss of 1.67%, while they are being offered to investors with price guidance in the same range from 6% to 6.75%.

Being a second and subsequent event cover, it seems this Class B tranche will require a catastrophe industry loss event of above a certain index level to occur, to then be activated to provide coverage for future events.

Update 1:

We understand that Inigo is now targeting an upsized $115 million in protection from this new Montoya Re 2025-1 catastrophe bond.

The Class A tranche are now $85 million in size, while their price guidance has fallen to a tighter range of 5.75% to 6%.

The Class B tranche are now $30 million in size, while their price guidance has also fallen and tightened to the same range of 5.75% to 6%.

Update 2:

Inigo secured the 15% upsized $115 million of reinsurance protection from its new Montoya Re 2025-1 catastrophe bond, successfully adding the subsequent event cover it was seeking through the Class B notes and securing the cover at below guidance pricing.

The Class A tranche will be $85 million in size, and priced at 5.75%.

The Class B tranche will be $30 million in size, and also priced at 5.75%.