Inigo launches largest Montoya Re cat bond at $225m
Lloyd’s specialist re/insurer Inigo has returned to the insurance-linked securities market with the launch of a $225 million catastrophe bond, its fifth issuance and the largest to date, via its Bermuda-based Montoya Re vehicle.
The $225 million instrument is the second Inigo-sponsored series to offer multiple tranches of notes. It also includes Australian earthquake cover for the first time. Beneficiary of the coverage remains Inigo’s Syndicate 1301.
Inigo entered the cat bond market in April 2022 with a $115 million instrument, also through Montoya Re.
The three tranches break down into Class A notes of $175 million providing annual aggregate protection with an initial attachment probability of 3.86% and an expected loss of 2.26%.
Class B notes are issued at $90 million with initial attachment probability of 8.59% and an expected loss of 7.19% with the inclusion of Australia earthquake cover.
Class C notes at $30 million provide second and subsequent event cover at an initial attachment probability of 2.8% and an expected loss of 2.38%.
The tranche provides Inigo with muti-year retrocessional reinsurance coverage for the peak perils of US named storm, as well as US, Canada and Australia earthquake, and utilise both PCS and PERILS-based industry loss index triggers.
Adam Alvarez, head of capital and climate strategy at Inigo, said: “We are very pleased to have returned to the catastrophe bond market for the fifth consecutive year. This transaction expands our rolling programme of protection which has grown with Inigo. At $255m, the transaction is more than double the size of any previous issuance and will be a cornerstone of our capital stack.
“This year, we have introduced Australian earthquake risk and extended the tenor of the bonds to a little over four years. By splitting the cover into three tranches, we were able to match our various hedging requirements with different investor appetites.”
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