Vantage Risk Ltd., the insurance and reinsurance start-up launched by industry veterans Greg Hendrick and Dinos Iordanou, has returned to the catastrophe bond market in search of another slice of capital markets backed catastrophe reinsurance protection, with a $65 million or greater Vista Re Ltd. (Series 2022-1) issuance.
Vantage Risk entered the catastrophe bond market with its debut transaction almost one year ago, eventually securing $225 million of industry loss based retrocessional reinsurance against losses from North American peak peril catastrophe events.
This second cat bond from Vantage Risk is very similar, we’re told. Although for this Vista Re 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 the end of March 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%, sources explained.
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.
The Vista Re 2021-1 cat bond had an initial expected loss of 3.32% and priced to pay investors a 6.75% coupon, so this Vista Re 2022-1 cat bond will cover a lower down, riskier layer of Vantage’s risk tower.
It’s good to see Vantage back in the cat bond market and looking to fill out more of its retro tower with capital markets backed protection.