Gateway Re Ltd. (Series 2025-1)

This Gateway Re Ltd. Series 2025-1 catastrophe bond issuance will be the tenth in the Gateway cat bond series designed to protect underwriting entities owned by or linked to coastal property managing general underwriter SageSure.

It is also targeted to provide particularly broad coverage for the named SageSure underwriting entities, featuring five tranches of notes, two of which are structured to provide second and subsequent event catastrophe reinsurance, the other three first event excess of loss protection.

In addition, with an initial target to secure $410 million or more in capital markets backed reinsurance, this Gateway Re 2025-1 cat bond could become the largest of the Gateway deals seen to-date.

Gateway Re Ltd., the Bermuda domiciled special purpose insurer (SPI), is targeting issuance of five tranches of notes, that will be sold to catastrophe bond funds and investors and the proceeds used to collateralize reinsurance agreements between the SPI and the named ceding entities which are the SureChoice Underwriters Reciprocal Exchange and SafeChoice Insurance Company.

We’re told that other subsidiaries can be added as cedents to the reinsurance coverage if SageSure elected to over the term of the cat bond deal.

All five classes of notes on offer will provide the SageSure underwriting entities with indemnity trigger based US named storm reinsurance protection, but with some differences between states and durations covered, as well as in terms of the first event per-occurrence, or second and subsequent event reinsurance, they will provide.

In addition, three of the Series 2025-1 tranches Gateway Re Ltd. will issue are set to be coupon bearing notes, while the other two are structured as zero-coupon notes, we understand.

A $100 million tranche of Class AAA notes will provide named storm reinsurance across the states of Alabama, Louisiana, Mississippi, New York, North Carolina, South Carolina and Texas (with Virginia able to be included after a reset), over a three year term from July 1st 2025 on a per-occurrence and first event basis.

The Class AAA notes would attach their coverage at $1.31 billion of losses and exhaust at $1.435 billion, giving them an initial attachment probability of 1.15%, an initial expected loss of 1.07% and they are being offered with price guidance in a range from 5% to 5.5%, we are told.

An $80 million tranche of Class AA notes will provide named storm reinsurance across the states of Alabama, Florida, Louisiana, Mississippi, New York, North Carolina, South Carolina and Texas, over a single wind season term from July 1st 2025 to December 15th, on a per-occurrence and first event basis.

The Class AA notes are riskier and would attach their coverage at $525 million of losses and exhaust at $685 million, giving them an initial attachment probability of 2.39%, an initial expected loss of 1.79%. This is the first zero-coupon tranche of notes and they are being offered with price guidance in a range from 92.25% to 93%, which is a rough spread equivalent of 7% to 7.75%.

An also $80 million Class A tranche of notes will provide named storm reinsurance across the states of Alabama, Florida, Louisiana, Mississippi, New York, North Carolina, South Carolina and Texas (with Virginia able to be included after a reset), over a three year term from July 1st 2025 on a per-occurrence and first event basis.

The Class A notes would attach their coverage at $525 million of losses and exhaust at $925 million, giving them an initial attachment probability of 4.82%, an initial expected loss of 3.17% and they are being offered with price guidance in a range from 11.25% to 12%, we understand.

The next two tranches will both provide the second and subsequent event named storm reinsurance and we’re told there is an initial target to secure $150 million of protection across these two classes of notes, but no sizes have been attributed to them individually as yet, sources said.

A Class C1 tranche of notes will cover named storm risks in the states of Alabama, Florida, Louisiana, Mississippi, New York, North Carolina, South Carolina and Texas across a single wind season term, from July 1st 2025 to December 15th, on a second and subsequent event basis.

The Class C1 notes would attach their coverage at $100 million of losses on a second event basis, exhausting it at $300 million, while there is a $200 million aggregate deductible for the coverage to become active for the next event. This gives them an initial attachment probability of 2.43%, an initial expected loss of 1.31% and they are zero-coupon in nature being offered with price guidance in a range from 91% to 91.75%, which is a rough spread equivalent of 8.25% to 9%.

A final Class C2 tranche of notes will cover named storm risks in the states of Alabama, Florida, Louisiana, Mississippi, New York, North Carolina, South Carolina and Texas (with Virginia able to be included after a reset), across a two wind season term, from July 1st 2025 to June 30th 2027, on a second and subsequent event basis.

The Class C2 notes would attach their coverage at $100 million of losses on a second event basis, exhausting it at $300 million, while there is a $200 million aggregate deductible for the coverage to become active for the next event. This gives them an initial attachment probability of 2.43%, an initial expected loss of 1.31% and they are being offered with price guidance in a range from 9.25% to 10%.

Update 1:

SageSure has raised the target size for its new Gateway Re Ltd. (Series 2025-1) catastrophe bond issuance, with now between $470 million and as much as $555 million of first and second event US named storm reinsurance protection sought.

The Class AAA notes are now up to $125 million in size, we are told and pricing has fallen to 4.5% to 5%.

The Class AA notes are now $120 million in size and their zero-coupon pricing has also fallen to 93% to 93.5%, so a rough spread equivalent of 6.5% to 7%.

What was an $80 million Class A tranche of notes remain at that size, and their pricing has also fallen to between 10.75% and 11.25%.

The next two tranches of notes will provide the second and subsequent event named storm reinsurance and initially there was a target to secure $150 million of protection across these two classes of notes.

The Class C1 tranche are now sized at between $50 million and $80 million and the price has also fallen, to 91.75%, so an 8.25% equivalent spread and at the bottom of the initial range.

The Class C 2 notes are now sized at between $120 million and $150 million, while their pricing has narrowed to between 9.5% and 9.75%.

Update 2:

SageSure has now fixed the target size for its new Gateway Re Ltd. (Series 2025-1) catastrophe bond issuance at $520 million.

The Class AAA notes are now up to $110 million in size, we are told and pricing has fallen again to 4.25% to 4.5%.

The Class AA notes are now $130 million in size and their zero-coupon pricing has also fallen further to 93.5% to 93.75%, so a rough spread equivalent of 6.25% to 6.5%.

What was an $80 million Class A tranche of notes still remain at that size, and their pricing has also fallen again to between 10.5% and 10.75%.

The next two tranches of notes will provide the second and subsequent event named storm reinsurance and initially there was a target to secure $150 million of protection across these two classes of notes.

The Class C1 tranche are now sized at $50 million and the price has remained at 91.75%, so an 8.25% equivalent spread and at the bottom of the initial range.

The Class C 2 notes are now sized at $150 million, while their pricing has been fixed at 9.5%, so the bottom of the updated range.

Update 3:

SageSure has now secured the largest cat bond yet for any of its underwriting entities, achieving the target of $520 million in reinsurance from this new Gateway Re Ltd. (Series 2025-1) catastrophe bond.

Recall that the first three tranches are first event in nature of their coverage.

The Class AAA notes were finalised at $110 million in size, with pricing at the lowest-end of 4.25%.

The Class AA notes were finalised at $130 million, with their zero-coupon pricing fixed at 93.75%, so a rough spread equivalent of 6.25% and again the bottom of reduced guidance.

The Class A tranche of notes remained at $80 million in size, and their pricing was finalised at 10.5%, so the bottom of reduced guidance.

The next two tranches of notes will provide the second and subsequent event named storm reinsurance and initially there was a target to secure $150 million of protection across these two classes of notes.

The Class C1 tranche were finalised at $50 million and priced at 91.75%, so an 8.25% equivalent spread and at the bottom of the initial range.

The Class C 2 notes were finalised at $150 million and priced at 9.5%, so the bottom of their updated guidance range.