Inigo’s latest Montoya Re cat bond has priced at the top end of guidance at 1,400 basis points (bps) as the size settled at the top of an updated range at $110mn, Trading Risk understands.
The final price offers a multiple of 4.0x on the sensitivity case expected loss at 3.48%. This compares to the 2.6x multiple offered by Inigo’s debut Montoya Re bond, which had a 2.56% expected loss and was placed in March this year.
The carrier trimmed the scope of perils in the latest bond to focus on US named storm or North America quake, having originally also included Japan typhoon and quake perils.
It is an annual aggregate ILW structure, fronted by Hannover Re, and will benefit Inigo’s Lloyd’s syndicate 1301.
The transaction was initially offered with the size at $100mn and coupon in the range of 1,300-1,400 bps. The size later expanded to a range of $100mn-$110mn and the price moving to 1,400 bps.
The modeller on the transaction is AIR Worldwide (Verisk), and the sole structuring agent and sole book runner is Aon Securities.
