Yardstick Re DAC (Series 2026-1)

This is the first catastrophe bond to be sponsored by German insurance group Gothaer Allgemeine Versicherungs AG (Gothaer), a non-life property and casualty focused insurance company and part of the BarmeniaGothaer Group, focused on private client and business coverage.

Yardstick Re DAC has been established in Ireland as a designated activity company, which is a multi-arrangement SPV, for use as a catastrophe bond note issuer.

For its first issuance, Yardstick Re DAC is offering a €100 million tranche of Series 2026-1 Class A notes to investors, with the proceeds from their sale set to collateralize a multi-year reinsurance agreement with the sponsor Gothaer.

The currently €100 million tranche of Series 2026-1 notes that Yardstick Re DAC is offering are designed to provide insurer Gothaer with four years of reinsurance protection to cover certain losses from major flood events in Germany.

This German flood reinsurance coverage is structured on an indemnity trigger and per-occurrence basis for the sponsor.

The currently €100 million of Series 2026-1 Class A notes being offered by Yardstick Re DAC would attach their coverage at €1.25 billion of losses and exhaust coverage at €1.35 billion, we are told.

The risk is relatively remote, we understand, with the Yardstick Re 2026-1 Class A notes having an initial attachment probability of just 022% and an initial expected loss of 0.19%.

The notes are being offered to cat bond investors with price guidance for a risk interest spread of 2%, which is interesting as we’re told there is no range being offered.

Also of note is the fact that these Yardstick Re DAC Series 2026-1 catastrophe bond notes are set to be rated by Moody’s Ratings, with a rating of Baa2 (sf) anticipated.

In analysing the Yardstick Re DAC cat bond transaction, Moody’s Ratings commented on some useful facts regarding the level of risk being ceded.

In particular Moody’s Ratings explained how remote the risk is, “The initial attachment level of €1.25 billion corresponds to approximately a 1-in-448-year return period (0.22% annual attachment probability), with a low initial modeled one-year expected loss of 0.21%. The attachment level is more than double the insurers’ reported losses incurred in the most severe German flood recorded – Bernd in 2021.”

On the sponsor, “The Ceding Insurer reported over €2.8 billion in gross written premium in 2025, and maintained a Solvency II SCR coverage ratio of 181%. Gothaer, the lead non-life insurance subsidiary of BarmeniaGothaer Group, has a demonstrated track record of managing large flood events, including Storm Bernd in 2021, which generated approximately €590 million in gross claims losses across the group.”

Moody’s Ratings also highlighted that coastal flood risks are included, but that this is not modelled within the Moody’s RMS flood model utilised, although “only approximately 8.5% of net limit is situated in CRESTA zones with coastal exposure, and historical coastal flood events in Germany have not produced losses approaching the attachment level,” while storm surge is often excluded from German property insurance policies.

Finally, on risk concentration Moody’s Ratings said that, “Approximately 52% of the initial modeled one-year expected loss is concentrated in Nordrhein-Westfalen, reflecting both the geographic distribution of insured exposure and the flood hazard profile of the region.”