Swiss Re Insurance-Linked Fund Management

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Vista Re Ltd. (Series 2022-1)

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Vista Re Ltd. (Series 2022-1) – At a glance:

  • Issuer: Vista Re Ltd.
  • Cedent / sponsor: Vantage Risk
  • Placement / structuring agent/s: GC Securities is sole structuring agent and sole bookrunner
  • Risk modelling / calculation agents etc: AIR Worldwide
  • Risks / perils covered: U.S. named storm, U.S. and Canada earthquake
  • Size: $65m
  • Trigger type: Industry loss index
  • Ratings: NR
  • Date of issue: Apr 2022

Vista Re Ltd. (Series 2022-1) – Full details:

Vantage Risk has returned to the catastrophe bond market to sponsor a second transaction under its Vista Re Ltd. program.

This second Vista Re Ltd. catastrophe bond from Vantage Risk is very similar to its first from 2021, in seeking retrocessional protection against peak peril catastrophe events.

However, this year, for its Vista Re Ltd. Series 2022-1 cat bond, Vantage has moved down its risk tower to cede a riskier layer of its reinsurance protection to cat bond funds and their investors.

Using the same Vista Re Ltd. Bermuda domiciled special purpose insurer (SPI) , Vantage aims to secure at least $65 million of reinsurance protection, through a second industry loss trigger deal.

Vista Re Ltd. will issue a single tranche of Class A Series 2022-1 notes, currently targeted at $65 million, which will be sold to ILS funds and cat bond investors, with the proceeds set to be used to fully-collateralize a retrocessional reinsurance agreement between Vista Re and Vantage Risk Ltd.

The currently $65 million of notes will cover Vantage Risk against 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 retro reinsurance protection will be on an industry loss trigger basis, which is state weighted and calculated over annual risk periods to provide aggregate protection, with PCS the reporting agency in the case of all perils.

This second Vista Re catastrophe bond will provide Vantage with protection across three risk periods, with maturity slated for May 14th 2025, we understand.

The $65 million of Series 2022-1 Class A notes that Vista Re Ltd. will issue are set to have an initial attachment point of 7.23% and expected loss of 5.97%, while the coupon guide pricing is in a range from 12.25% to 13%.

The notes will attach at $175 million of losses to Vantage and exhaust at $225 million, with a $12.5 million franchise deductible in-force.

Update 1:

Investors have seemingly responded with a demand for higher returns, as the coupon guide pricing has now been elevated to a range of 14.25% to 15%, sources told us.

That price hike represents a relatively significant roughly 16%, if you take the mid-point of initial guidance and compare it to the new mid-point of this revised guidance range.

At the same time, we understand so far the size of the issuance has not changed, remaining at $65 million for now.

Update 2:

We understand this catastrophe bond issuance has now been priced and the size did not change, remaining as a $65 million issuance.

The coupon was eventually fixed at 14.5%, representing a roughly 15% increase from the mid-point of initial guidance that the notes were marketed with.

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