Vantage Risk Ltd., the still relatively young Bermuda headquartered insurance and reinsurance company, has now secured its latest Vista Re Ltd. (Series 2022-1) catastrophe bond arrangement at the targeted $65 million size, but with pricing eventually fixed roughly 15% above the initial mid-point of guidance.
Vantage, the re/insurance start-up launched by industry veterans Greg Hendrick and Dinos Iordanou, came back to the catastrophe bond market at the beginning of April, looking to extend its capital markets backed catastrophe reinsurance protection.
With this Vista Re 2022-1 cat bond, Vantage was aiming to secure at least $65 million of multi-year retrocessional reinsurance protection on an industry-loss basis, at a lower layer in its risk tower than its first cat bond, with the company seeking to cede a riskier tranche of its reinsurance program to cat bond funds and investors
We now understand from sources that this cat bond has been priced and it remained at the initial $65 million, in terms of size.
Meaning, the Series 2022-1 notes issued by Vista Re will provide Vantage Risk with $65 million of retro reinsurance protection 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 coverage will be on an industry loss trigger, state weighted and annual aggregate basis, running across three risk periods, with maturity scheduled for May 14th 2025.
The $65 million of Series 2022-1 Class A notes that Vista Re Ltd. is issuing will have an initial attachment point of 7.23% and expected loss of 5.97%.
At first, the notes were offered to cat bond investors with coupon guide pricing in a range from 12.25% to 13%.
But, as we later explained, investors seemingly responded with a demand for a higher return, as the coupon guide pricing was been elevated to a range of 14.25% to 15%.
Now, our sources have told us that the pricing for the notes has been fixed to pay investors a 14.5% coupon, so a little below the revised mid-point.
But, at that now fixed level, this represents a roughly 15% increase in coupon pricing compared to the mid-point of the initial guidance range.
This likely reflects the riskier nature of these aggregate cat bond notes, attaching much lower-down in Vantage’s reinsurance tower than its first cat bond last year.
That 2021 Vista Re cat bond issuance secured the company $225 million of industry loss based retrocessional reinsurance against losses from North American peak peril catastrophe events.
Cat bond investor appetite for riskier layers of aggregate transactions has declined it seems, in line with the general aversion these days to some riskier aggregates in the reinsurance and retro markets.