Vista Re Ltd. (Series 2021-1)

Vantage Risk Ltd., the start-up Bermuda based insurance and reinsurance group launched by industry veterans Greg Hendrick and Dinos Iordanou, is in the market to sponsor its first catastrophe bond.

The company has set up Vista Re Ltd. for the issuance, a Bermuda domiciled special purpose insurer (SPI) and targets securing $150 million of reinsurance protection, through an industry loss trigger deal.

Vista Re Ltd. will look to issue a single tranche of Class A Series 2021-1 notes, currently targeted at $150 million, which will be sold to ILS and cat bond investors and the proceeds used to fully-collateralize a retro reinsurance agreement between Vista Re and Vantage Risk Ltd.

The currently $150 million of protection this provides will cover Vantage Risk for certain losses from North American named storms and earthquakes, including the United States, Puerto Rico, U.S. Virgin Islands, D.C. and also Canada for earthquake risks.

The retrocessional reinsurance protection will be provided on an industry loss trigger basis, which is state weighted and calculated over annual risk periods to provide aggregate coverage, with PCS as the reporting agency in the case of all perils.

This first Vista Re catastrophe bond will provide Vantage Risk and its subsidiary underwriting entities with reinsurance protection from the capital markets across a three-year term.

We understand that a $15 million franchise deductible will apply for every qualifying catastrophe event, while the notes attachment point will initially be set at $200 million of losses, covering Vantage Risk up to $375 million of losses.

The $150 million of Series 2021-1 Class A notes to be issued by Vista Re Ltd. will have an initial expected loss of 3.32%, we are told, while the notes are being offered to cat bond funds and investors with price guidance in a range from 7.25% to 7.75%.

Update 1:

Taking advantage of strong cat bond market issuance conditions, first time sponsor Vantage Risk looks set to increase the size of its Vista Re 2021-1 catastrophe bond, as the target size was raised by 50% to $225 million.

At the same time and following on the heels of most other property cat bonds in 2021, the Vista Re notes price guidance has been lowered to 6.75% to 7.25%, suggesting the cat bonds coupon will settle at the bottom-end of initial guidance, or even lower.

Update 2:

Vantage Risk secured the full $225 million upsized target for its first catastrophe bond, while at the same time the pricing of the notes was fixed at the bottom-end of reduced guidance, with a coupon of 6.75% that represented a roughly 10% fall in pricing from the initial mid-point of guidance.

That gives the notes a multiple at market of just 2.03 times the expected loss, which is particularly low and reflects strong pricing execution.