Gamut Re Ltd. – Full details:
Gamut Re is a sidecar type vehicle which can “participate in the property catastrophe reinsurance and catastrophe bond markets until the end of 2009,” the statement added.
“The funds raised by Gamut Re will be used to source a diversified portfolio of natural catastrophe risks which will be managed using collateralised debt obligation (CDO) technology. Its unique structure leverages the resources of Nephila Capital’s expertise in the catastrophe bond, industry loss warranty, and reinsurance markets.”
The deal consists of five tranches, two of which are unrated. Class A notes at $60m with a A- rating, Class B notes at $120m with a BBB– rating, Class C notes at $60m with a BB- rating, Class D and E are unrated and sized at $25m and $45m respectively.
The Class A tranche has an attachment probability of 0.15% and an expected loss of 0.02%. The Class B tranche has an attachment probability of 0.54% and an expected loss of 0.244%. The Class C tranche has an attachment probability of 2.79% and an expected loss of 1.675%.