SageSure now appears to have fixed the target size for its new catastrophe bond issuance we are told, with now $520 million of first and second event US named storm reinsurance protection sought from the deal and pricing moving lower for some tranches.SageSure returned to the catastrophe bond market in January, with an initial target to secure $410 million of first and second event US named storm reinsurance protection for some of its underwriting entities from what will be the tenth in the Gateway Re series of cat bonds.As we later , the Gateway Re 2025-1 issuance was destined to be the largest catastrophe bond yet in the series, as SageSure set a new target of between $470 million and as much as $555 million of limit being sought.We’re now told by sources that the size target for this issuance has been fixed for $520 million of notes to be issued, so not quite as much as the upper-end revised target size, but a clear signal that SageSure is optimising the issuance for both size and price, with most tranches now pricing down for a second time.

There are three tranches of notes to provide per-occurrence excess-of-loss reinsurance protection, and two to provide excess-of-loss second and subsequent coverage to the named ceding entities, which are in this case are the SureChoice Underwriters Reciprocal Exchange and SafeChoice Insurance Company All five classes of notes on offer will provide 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.Full details of the coverage each tranche will provide can be found in the Deal Directory entry.The first three tranches will all provide the first event, occurrence reinsurance protection.

The Class AAA notes were originally $100 million in size but then targeted as up to $125 million, but we are now told have been fixed at $110 million.With their initial expected loss of 1.07%, they were first offered with price guidance in a range from 5% to 5.5%, which then fell to 4.5% to 5% and has now fallen further to a new range of 4.25% to 4.5%.The Class AA notes were originally $80 million in size and their target was first lifted to $120 million, but we’re now told are fixed at $130 million.

With their initial expected loss of 1.79%, they were first offered with price guidance in a range from 92.25% to 93%, being zero-coupon, which is a rough spread equivalent of 7% to 7.75%, which fell to 93% to 93.5%, so a rough spread equivalent of 6.5% to 7%, and has now fallen again 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.With their initial expected loss of 3.17% they were first offered with price guidance in a range from 11.25% to 12%, which later fell to between 10.75% and 11.25%, and has now fallen again to between 10.5% and 10.75% The next two tranches of notes are the ones that 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 sized at between $50 million and $80 million in the first update, but we’re now told are $50 million in size.With their initial expected loss of 1.31% and being zero-coupon, they were first offered with price guidance in a range from 91% to 91.75%, which is a rough spread equivalent of 8.25% to 9%, but this fell to 91.75%, so an 8.25% equivalent spread and at the bottom of the initial range, which is where the price remains.The Class C 2 notes were sized at between $120 million and $150 million after the first update, but we’re now told are $150 million, so the upper-end of the size target.

With their initial expected loss of 1.31% they were first offered with price guidance in a range from 9.25% to 10%, which later narrowed to between 9.5% and 9.75% and we’re now told has been fixed at the low-end of 9.5%.Given how SageSure is seemingly prioritising price over size of this issuance, it’s clear the market likely could have provided more capacity, but the company is being shrewd in seeking to optimise the coverage while making the most of very attractive cat bond issuance conditions.You can read all about this new catastrophe bond and every other cat bond deal in the Artemis Deal Directory..

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