Swiss Re Insurance-Linked Fund Management

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Gateway Re Ltd. (Series 2023-2)

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Gateway Re Ltd. (Series 2023-2) – At a glance:

  • Issuer: Gateway Re Ltd.
  • Cedent / sponsor: SureChoice Underwriters Reciprocal Exchange, Elevate Reciprocal Exchange
  • Placement / structuring agent/s: Swiss Re Capital Markets is sole structuring agent and bookrunner
  • Risk modelling / calculation agents etc: AIR Worldwide
  • Risks / perils covered: US named storm: Alabama, North and South Carolina, Louisiana, Mississippi, Texas
  • Size: $100m
  • Trigger type: Indemnity
  • Ratings: NR
  • Date of issue: Jun 2023

Gateway Re Ltd. (Series 2023-2) – Full details:

This is the third catastrophe bond of 2023 for underwriting entities linked to SageSure Capital Holdings Inc., which underwrites business using two reciprocal exchanges, the SureChoice Underwriters Reciprocal Exchange (SURE) and Elevate Reciprocal Exchange.

For this Gateway Re 2023-2 catastrophe bond, the ceding companies are these two reciprocal exchanges, SureChoice and Elevate.

Gateway Re Ltd., a Bermuda domiciled SPI, is set to issue a single tranche of Series 2023-2 notes, that will be sold to catastrophe bond funds and investors and the proceeds used to collateralize reinsurance agreements between the SPI and ceding entities which are the SureChoice Underwriters Reciprocal Exchange and the Elevate Reciprocal Exchange, we’re told.

The single tranche of Series 2023-2 Class C notes are targeted at $75 million in size and will provide those reciprocals with a single wind season of reinsurance it appears, running to maturity at the end of December 2023, covering losses from named storms affecting the US states of Alabama, North and South Carolina, Louisiana, Mississippi, and Texas.

The notes will provide their named storm reinsurance to second and subsequent events only, we understand, using an indemnity trigger and on a per-occurrence basis.

The notes, are structured as zero-coupon discount notes for this issuance, and would attach at $70 million of losses, covering the reciprocal exchanges to $170 million of losses.

The currently $75 million of Series 2023-2 notes being offered by Gateway Re Ltd. will come with an initial attachment probability of 1.44%, an initial base expected loss of 0.8% and are being marketed to cat bond investors with price guidance in a range from 89% to 90% of par (a rough coupon equivalent would be between 10% and 11% therefore).

Update 1:

We’re told the target size for this Gateway Re Ltd. Series 2023-2 cat bond issuance has been increased to $100 million, while the price guidance has been updated to between 90% to 91% of original principal (a rough coupon equivalent would be between 9% and 10% therefore).

The issuance date slipped about one week as well, pushing this cat bond into June when it had originally been slated as a May issuance.

Update 2:

We’re told this Gateway Re 2023-2 catastrophe bond has successfully secured the upsized target of $100 million of reinsurance for the two SageSure linked reciprocal exchanges SureChoice and Elevate.

The confirmed as $100 million of Class C notes eventually priced at 91.5% of the original principal amount, we understand, so a rough coupon equivalent of 8.5% and below the initial pricing guidance.

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