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Yosemite Re Ltd. (Series 2022-1)

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Yosemite Re Ltd. (Series 2022-1) – At a glance:

  • Issuer: Yosemite Re Ltd.
  • Cedent / sponsor: Core Specialty (StarStone)
  • Placement / structuring agent/s: GC Securities is sole structuring agent and bookrunner.
  • Risk modelling / calculation agents etc: AIR Worldwide
  • Risks / perils covered: US named storm and earthquake
  • Size: $65m
  • Trigger type: Indemnity
  • Ratings: NR
  • Date of issue: Jun 2022

Yosemite Re Ltd. (Series 2022-1) – Full details:

This is the first catastrophe bond to benefit companies owned by the still relatively young specialty insurance and reinsurance company Core Specialty Insurance Holdings, Inc.

The initial beneficiaries of the protection are the StarStone companies, which Core Specialty acquired from Enstar, and we’re told the ceding insurers to this first Yosemite Re Ltd. catastrophe bond are StarStone National Insurance and StarStone Specialty Insurance, while any other Core Specialty subsidiaries can be added as beneficiaries to the reinsurance the cat bond provides in future.

Yosemite Re Ltd. has been established as a new Bermuda based company, which is expected to be licensed as a special purpose insurer (SPI) for the purpose of issuing series of catastrophe bonds.

Yosemite Re Ltd. will seek to issue a single Class A tranche of Series 2022-1 notes, with an initial target size of $75 million, we understand.

The notes will provide the StarStone companies (initially) with a multi-year source of collateralized catastrophe reinsurance protection against losses from named storms and earthquakes across the United States.

The indemnity and per-occurrence based reinsurance coverage from this first Yosemite Re cat bond will run for a three year term to the end of May 2025.

Sources said the reinsurance cover under this Yosemite Re cat bond would attach at $300 million of losses to the covered companies, while exhaustion of coverage would be at $570 million of losses, leaving plenty of room for the issuance to upsize if investor appetite is conducive.

The currently $75 million of Class A Series 2022-1 notes come with an initial attachment probability of 2.32%, an initial expected loss of 1.16% and are being marketed to cat bond investors with coupon guidance in a range from 8.75% to 9.75%, we’re told.

Update 1:

Having gone quiet for three weeks with no updates, the latest on the Yosemite Re cat bond for Core Specialty is that the target size has been lowered a little, to between $65 million and $75 million, while the coupon guide pricing has been raised to the top-end, at 9.75%.

Update 2:

Core Specialty eventually priced its first catastrophe bond to provide it $65 million of catastrophe reinsurance protection for the StarStone book, so slightly below its initial target, while the notes priced to pay investors a top-end of guidance coupon of 9.75%.

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