Swiss Re Insurance-Linked Fund Management

PCS - Emerging Risks, New Opportunities

Gateway Re Ltd. (Series 2023-3)

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Gateway Re Ltd. (Series 2023-3) – At a glance:

  • Issuer: Gateway Re Ltd.
  • Cedent / sponsor: Anchor Re
  • 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, Virgina, New York
  • Size: $50m
  • Trigger type: Industry loss index
  • Ratings: NR
  • Date of issue: Jul 2023

Gateway Re Ltd. (Series 2023-3) – Full details:

This is another catastrophe bond to provide protection to coastal property managing general underwriter SageSure’s carrier entities, but this time it is on a retrocessional basis and via the SageSure captive reinsurance vehicle Anchor Re.

Gateway Re Ltd. will issue a $50 million or greater tranche of Series 2023-3 Class A notes to provide a source of collateralized retrocession to Anchor Re.

Anchor Re provides operates as a reinsurance captive to SageSure’s carriers, so effectively the coverage will span much of the MGU’s book it seems.

The notes will provide Anchor Re, and ultimately SageSure’s carriers, with a three year source of US named storm retrocessional reinsurance protection, running to the end of June 2026, we’re told.

The retro reinsurance protection is structured on an industry-loss index and annual aggregate basis, we understand.

Interestingly, we’re told the industry loss index for this Gateway Re 2023-3 cat bond will be county-weighted and will use the PCS county-weighted reporting, which we understand to be the first time PCS county weighted reporting has been utilised in a cat bond trigger.

We’re told the reported losses will be personal lines only and the there will be a franchise deductible of $5m per-event and a loss cap for single events maximum contribution to the index tally.

The US named storm protection will cover county-weighted industry loss events in the states of Alabama, North and South Carolina, Louisiana, Mississippi, Texas, Virgina, and New York, we’re told.

The multi-year retrocessional protection ultimately covers losses from a series of qualifying named storms in a single year for SageSure’s carrier partners SURE and SafePort, above a pre-defined industry loss trigger that is calculated on a county-level basis, using the PCS reported data.

The $50 million of Series 2023-3 Class A notes that Gateway Re Ltd. is seeking to issue will come with an initial attachment probability of 5.65%, an initial base expected loss of 2.22% and that the notes are being offered to cat bond investors with spread price guidance in a range from 10.5% to 11%.

Update 1:

There has been no change to the size guidance for this Gateway Re 2023-3 catastrophe bond so far, but the pricing has been updated to a lower range of 10% to 10.5%, showing SageSure targeting a price at the bottom-end of initial guidance or lower.

Update 2:

At final pricing the risk interest spread for the $50 million of Gateway Re 2023-3 cat bond notes was fixed at 10%, so the low-end of reduced guidance and around 7% below the mid-point of the initial price guidance range.

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