Swiss Re Insurance-Linked Fund Management

Original Risk: A Society for Change Agents

Gateway Re Ltd. (Series 2022-1)

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Gateway Re Ltd. (Series 2022-1) – At a glance:

  • Issuer: Gateway Re Ltd.
  • Cedent / sponsor: SURE
  • Placement / structuring agent/s: Swiss Re Capital Markets and TigerRisk Capital Markets & Advisory are joint structuring agents and bookrunners
  • Risk modelling / calculation agents etc: AIR Worldwide
  • Risks / perils covered: US named storm: Alabama, Louisiana, Mississippi, Texas
  • Size: $150m
  • Trigger type: Indemnity
  • Ratings: NR
  • Date of issue: May 2022

Gateway Re Ltd. (Series 2022-1) – Full details:

This is the debut catastrophe bond from coastal property insurance group, SURE, which was formed by SageSure Capital Holdings Inc. and underwrites its business using the SureChoice Underwriters Reciprocal Exchange (SURE) and Elevate Reciprocal Exchange.

SureChoice is a relatively new coastal property insurer in the United States, that distributes its policies through a partnership with SageSure Insurance Managers.

Gateway Re Ltd., a Bermuda domiciled SPI, will seek to issue a single tranche of Series 2022-1 Class A notes that will be sold to catastrophe bond funds and investors and the proceeds used to collateralize a reinsurance agreement between the SPI and ceding company SURE.

The target size for this first Gateway Re cat bond is $150 million and once issued the proceeds will provide SURE with a three-year source of US named storm and hurricane protection, initially focused only on the Gulf Coast states of Alabama, Louisiana, Mississippi, Texas, we understand.

The Gateway Re cat bond will provide the SureChoice Underwriters Reciprocal Exchange with named storm reinsurance protection on an indemnity trigger and per-occurrence basis across three full Atlantic hurricane seasons.

At a future annual reset, SURE can also include its new Texas focused Elevate Reciprocal Exchange as a covered entity under this cat bond as well.

The $150 million of Series 2022-1 Class A notes Gateway Re Ltd. will issue, will have an initial attachment probability of 2.73%, an initial expected loss of 1.68% and they are being offered to cat bond investors with coupon price guidance in a range from 7.75% to 8.5%, our sources said.

Update 1:

We’re told that pricing for this Gateway Re 2022-1 catastrophe bond moved to the top-end of guidance and was finalised at the 8.5% coupon level.

At the same time this new cat bond from SURE did not upsize and its issuance took longer than anticipated as well, with settlement now falling into May (having originally been scheduled for late April).

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