Swiss Re Insurance-Linked Fund Management

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Mountain Re Ltd. (Series 2023-1)

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Mountain Re Ltd. (Series 2023-1) – At a glance:

  • Issuer: Mountain Re Ltd.
  • Cedent / sponsor: Spinnaker Insurance Company
  • Placement / structuring agent/s: GC Securities is sole structuring agent and bookrunner
  • Risk modelling / calculation agents etc: AIR Worldwide
  • Risks / perils covered: US named storm, quake, severe thunderstorm, winter storm
  • Size: $110m
  • Trigger type: Indemnity
  • Ratings: NR
  • Date of issue: May 2023

Mountain Re Ltd. (Series 2023-1) – Full details:

This Mountain Re Ltd. (Series 2023-1) transaction is a debut catastrophe bond from first time sponsor Spinnaker Insurance Company, a personal and commercial lines program and fronting specialist that was acquired by insurtech Hippo in 2020.

For its debut catastrophe bond, Spinnaker has established a Bermuda based issuance vehicle, Mountain Re Ltd.

Mountain Re Ltd. will look to issue a single Series 2023-1 tranche of Class A notes, that will be sold to investors and the proceeds used to collateralize a reinsurance agreement between the issuer and Spinnaker Insurance Company.

The target right now is for an issuance of $100 million in size or greater.

The notes will provide Spinnaker with a capital markets backed source of reinsurance against losses from a range of US perils, US named storm, quake, severe thunderstorm and winter storm.

We’re told that the notes are most exposed to named storm risks, with Texas the largest concentration of exposure on an expected loss basis.

The Mountain Re 2023-1 catastrophe bond will cover Spinnaker Insurance with reinsurance on a per-occurrence and indemnity trigger basis over a three-year term, to June 5th 2026.

The notes would attach at $150 million in losses, covering a share of a layer up to $275 million, but we’re not sure of inuring reinsurance layers, as from the metrics it seems there must be some that effectively lift the attachment higher than that.

The Class A notes will have an initial attachment probability of 1.43%, an initial base expected loss of 0.86% and are being offered with spread price guidance in a range from 6% to 6.75%.

Update 1:

The target size has been lifted slightly, with now up to $125 million of reinsurance being sought by Spinnaker with this Mountain Re 2023-1 catastrophe bond deal.

At the same time, the pricing guidance has been fixed at the upper-end of 6.75%, we understand.

Update 2:

In the end we understand that Spinnaker secured $110 million of reinsurance from its debut Mountain Re catastrophe bond, so a slight upsizing, while the spread was priced at the 6.75% upper-end of initial guidance.

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