Swiss Re Insurance-Linked Fund Management

PCS - Emerging Risks, New Opportunities

Purple Re Ltd. (Series 2023-2)

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Purple Re Ltd. (Series 2023-2) – 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: Jul 2023

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

This is the second catastrophe bond to be sponsored by Slide Insurance Company, the full-stack homeowners property insurtech founded by former Heritage CEO Bruce Lucas, having entered the cat bond market back in April with a Purple Re Ltd. (Series 2023-1) transaction.

With this second Purple Re cat bond, Slide Insurance Company is looking to expand its collateralized named storm and hurricane reinsurance protection with the help of capital market investors.

Purple Re Ltd. will issue a single tranche of Series 2023-2 Class A notes, with a preliminary size of $100 million, we’re told.

The notes will be exposed to named storm losses in Florida and South Caroline, but as we said the majority of the expected loss is said to be in Florida, where Slide’s portfolio is largest and also set to grow with a Citizens takeout.

The reinsurance protection from this Purple Re 2023-2 cat bond will be provided on an indemnity trigger and per-occurrence basis and run across a just under three-year term, with maturity slated for June 5th 2026, we understand.

The attachment point is said to be at $315 million and exhaustion at $415 million, meaning there isn’t room for this cat bond to grow in size.

However, with the notes having both the FHCF and state-backed reinsurance, as well as the Series 2023-1 notes, inuring to them, the effective attachment point will be higher on a ground-up basis at just over $850 million, with these notes set to sit at the top of the reinsurance tower for Slide.

The initial attachment probability for the $100 million of Purple Re Series 2023-2 Class A notes will be 1.12%, while the initial base expected loss will be 1.05%.

The notes are being offered with spread price guidance in a range from 10.5% to 11.5%, sources said.

Update 1:

We’re told that the price guidance has been lowered to a range of 10% to 11%, showing Slide hopes to reduce the price somewhat and secure the reinsurance cover from this Purple Re 2023-2 cat bond at the initial mid-point of spread guidance or lower.

Update 2:

Slide has now successfully priced its second Purple Re catastrophe bond, with the $100 million of Series 2023-2 Class A notes now finalised to have a spread of 10%, so the bottom of the reduced range and roughly 9% below the mid-point of initial price guidance.

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