Swiss Re Insurance-Linked Fund Management

Original Risk: A Society for Change Agents

Gator Re cat bond extension extended again


The extension of maturity for the stricken Gator Re Ltd. catastrophe bond transaction has been extended even further, we understand, as the time to clarify the full loss and pay out due to sponsor American Strategic Insurance increases.

It became apparent the Gator Re cat bond notes would pay out a loss late last year, as aggregated severe thunderstorm claims jumped above the trigger attachment point.

An extension notice was then served, retaining $35 million of the cat bond investment principal, as only a partial payment back to investors was guaranteed at that stage, with it clear that a default and loss to the $200 million of Gator Re notes was on the cards.

More recently, sponsor American Strategic reported that it had made a $29.5 million recovery under the Gator Re cat bond reinsurance protection, so leaving just $6.5 million of the retained and extended $35 million of principal available.

We understand that under the terms of the Gator Re cat bond there is still some time left for development of claims from qualifying severe thunderstorm events, meaning that it is possible American Strategic could recover a little more of the principal as a reinsurance payout, if its losses rise further.

We understand that the Gator Re cat bond has now been extended by another month, with maturity now slated for the 9th April 2017.

Whether any more of the $35 million will be retained as a reinsurance payout by American Strategic, or its just that the extra time is needed to finalise the reinsurance payment, remains to be seen, but at least investors in the Gator Re cat bond can be sure the loss will not move any higher than that.

Also read:

Gator Re loss a $29.5m reinsurance recovery for American Strategic.

Gator Re notes marked down on broker pricing sheets.

Gator Re extension notice filed for up to $35m loss.

Gator Re investors face loss as claims exceed attachment point.

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