Swiss Re Insurance-Linked Fund Management

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Purple Re Ltd. (Series 2023-1)

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Purple Re Ltd. (Series 2023-1) – At a glance:

  • Issuer: Purple Re Ltd.
  • Cedent / sponsor: Slide Insurance Company
  • Placement / structuring agent/s: GC Securities is sole structuring agent and bookrunner
  • Risk modelling / calculation agents etc: AIR Worldwide
  • Risks / perils covered: Florida and South Carolina named storm
  • Size: $100m
  • Trigger type: Indemnity
  • Ratings: NR
  • Date of issue: Apr 2023

Purple Re Ltd. (Series 2023-1) – Full details:

This is the debut catastrophe bond sponsored by Slide Insurance Company, the full-stack homeowners property insurtech founded by former Heritage CEO Bruce Lucas.

Slide Insurance has entered the catastrophe bond market for the first time, seeking $100 million of named storm reinsurance protection through a Purple Re Ltd. Series 2023-1 transaction.

Purple Re Ltd. will be registered as a special purpose insurer (SPI) in Bermuda for the purpose of issuing catastrophe bonds for Slide Insurance, we understand from our sources.

For this first issuance, Purple Re Ltd. is expected to issue a $100 million Series 2023-1 Class A tranche of notes, that will be sold to investors and the proceeds used to collateralize a reinsurance agreement between Purple Re and Slide Insurance Company.

That reinsurance will provide Slide with three-years of named storm reinsurance protection for the states of Florida and South Carolina, we’re told, with the protection provided on an indemnity trigger and per-occurrence basis.

We understand the coverage could be expanded to include additional states at future annual resets, making the reinsurance it provides more flexible for Slide as it grows its business.

The reinsurance protection is expected to attach at $315 million of losses to Slide, although inuring to underlying cover such as the FHCF for Florida at least and so the ground-up attachment for a first loss event would be closer to $750 million, we’re told.

In fact, it seems this first cat bond for Slide will sit at the very top of its reinsurance tower, occupying a $100 million layer, so there is a chance the target size could also be considered the maximum for this debut issuance from the insurtech.

We’re also told that the Class A notes issued by Purple Re Ltd. will come with an initial attachment probability of 1.96%, an initial base expected loss of 1.36% and are being offered to investors with spread pricing guidance in a range from 11.5% to 12.5%.

Update 1:

We’re told that there has been no change to the size guidance for this Purple Re 2023-1 catastrophe bond, with $100 million of reinsurance still sought by Slide.

But the price guidance has been narrowed and raised towards the upper-end, with a revised range of 12.25% to 12.5% now offered to investors.

Update 2:

Slide Insurance has now secured the $100 million of named storm reinsurance protection through its debut Purple Re 2023-1 catastrophe bond deal.

The notes were eventually priced at a spread level of 12.25%, so just 2% above the mid-point of initial guidance.

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