Gateway Re Ltd. (Series 2026-1)

This Gateway Re Ltd. Series 2026-1 catastrophe bond issuance is set to be the twelfth in the Gateway Re cat bond series, which are all issued to provide capital markets backed reinsurance to protect a range of underwriting entities owned by or linked to coastal property managing general underwriter (MGU) SageSure.

This new Gateway Re Series 2026-1 catastrophe bond launches with an initial target for $765 million of broad-based multi-peril reinsurance protection, at which size this would be the largest cat bond in the Gateway Re series if successfully placed, while it is also the broadest in terms of peril and regional protection as well.

This latest Gateway Re is a true multi-peril cover, designed to provide the broadest coverage from any catastrophe bond linked to SageSure that we’ve analysed so far.

For this latest deal, the Gateway Re Ltd. Bermuda domiciled special purpose insurer (SPI) is offering five classes of Series 2026-1 notes to investors, with the proceeds of their sale set to be used to collateralize reinsurance agreements with the ceding entities.

In this case there are three ceding entities to the Gateway Re 2026-1 cat bond which are set to be SureChoice Underwriters Reciprocal Exchange, Elevate Reciprocal Exchange and SafeChoice Insurance Company, we are told.

Across the five classes of notes, the initial target is a significant one, with $765 million of fully-collateralized reinsurance limit being targeted for these companies.

The notes are set to provide indemnity based reinsurance over a three-year term from July 1st 2026, we understand, but there are differences in the perils covered and the structure of the protection as well, depending on the class of notes.

Across the five classes the catastrophe reinsurance coverage being sought will protect the SageSure entities against certain losses from named storms, earthquakes, severe thunderstorms, winter storms and wildfires across parts of the United States, but with regional and peril differences to each tranche of Series 2026-1 notes that Gateway Re Ltd. is offering.

A $200 million tranche of Class AAAA notes are designed to provide indemnity, occurrence coverage against named storm losses in the states of Alabama, Florida, Louisiana, Mississippi, New York, North Carolina, South Carolina, and Texas, we understand.

The Class AAAA notes would cover losses from attachment at $1.7495 billion of losses up to $1.9495 billion, giving them an initial attachment probability of 0.65%, an initial expected loss of 0.57% and they come with price guidance for a risk interest spread of between 3.5% and 4%.

A $135 million tranche of Class AAA-1 notes are also designed to provide indemnity, occurrence coverage against named storm losses in the states of Alabama, Florida, Louisiana, Mississippi, New York, North Carolina, South Carolina, and Texas, we are told.

The Class AAA-1 notes are riskier and would cover a share of losses from attachment at $1.4645 billion of losses up to $1.7495 billion, giving them an initial attachment probability of 0.93%, an initial expected loss of 0.79% and they come with price guidance for a risk interest spread of between 4% and 4.5%.

A $150 million tranche of Class AAA-2 notes are designed to provide two sections of cover, indemnity, occurrence in one section and aggregate third-event cover in another. These notes will cover losses from the perils of named storms, earthquakes, severe thunderstorms, winter storms and wildfires in the states of Alabama, California, Florida, Louisiana, Mississippi, New York, North Carolina, South Carolina and Texas so a slightly wider area of coverage as well, we are told.

The Class AAA-2 notes would cover a share of losses from attachment at $1.4645 billion of losses up to $1.7495 billion on the occurrence section side and from $200 million to $350 million on the third-event aggregate section side, which gives them an initial attachment probability of 2.85%, an initial expected loss of 1.51% and they come with price guidance for a risk interest spread of between 5.5% and 6.25%.

An $80 million tranche of Class AA notes are designed to provide indemnity, occurrence cover for losses from the perils of named storms, earthquakes, severe thunderstorms, winter storms and wildfires in the states of Alabama, California, Florida, Louisiana, Mississippi, New York, North Carolina, South Carolina and Texas, sources explained.

The Class AA notes would cover a share of losses from attachment at $810 million of losses up to $990 million, giving them an initial attachment probability of 2.45%, an initial expected loss of 2.12% and they come with price guidance for a risk interest spread of between 6.5% and 7.25%.

The final $200 million tranche of Class A notes are also designed to provide indemnity, occurrence cover for losses from the perils of named storms, earthquakes, severe thunderstorms, winter storms and wildfires in the states of Alabama, California, Florida, Louisiana, Mississippi, New York, North Carolina, South Carolina and Texas, we understand.

The Class A notes would cover a share of losses from attachment at $460 million of losses up to $810 million, giving them an initial attachment probability of 6.17%, an initial expected loss of 3.98% and they come with price guidance for a risk interest spread of between 9.25% and 10%.

Update 1:

SageSure has adjusted the size target for its latest catastrophe bond with now between $645 million and $690 million of broad multi-peril reinsurance sought. There has been no change to price guidance as yet.

What was a $200 million tranche of Class AAAA notes are now offered at $160 million in size.

What was a $135 million tranche of Class AAA-1 notes are now offered at between $125 million and $150 million in size.

What was a $150 million tranche of Class AAA-2 notes are now offered at between $80 million and $100 million in size.

The Class AA notes remain $80 million.

The Class A notes remain $200 million.

Update 2:

SageSure eventually secured $670 million of broad multi-peril reinsurance sought from this cat bond, making it the largest yet in the Gateway Re series of deals.

The Class AAAA notes were priced at $160 million in size, with a spread of 3.5%.

The Class AAA-1 notes were priced at $130 million in size, with a spread of 4.25%.

The Class AAA-2 notes were priced at $100 million in size, with a spread of 6.25%.

The Class AA notes were priced at $80 million in size, with a spread of 6.5%.

The Class A notes were priced at $200 million in size, with a spread of 10%.