Yosemite Re Ltd. (Series 2025-1)

This will be the second catastrophe bond to benefit companies owned by specialty insurance and reinsurance company Core Specialty Insurance Holdings, Inc.

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

Yosemite Re Ltd., the Bermuda based special purpose insurer (SPI), is again the issuance vehicle and it is targeting issuance of a single $75 million tranche of Class A notes with this deal, we have learned.

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 same as the 2022 deal.

The indemnity and per-occurrence based reinsurance coverage from this second Yosemite Re cat bond will run for a three year term to the end of May 2028, coming on-risk from June 1st this year, sources said. The 2022 deal matures in May this year, so this new issuance appears a renewal of sorts.

We understand that the reinsurance protection from this Yosemite Re 2025-1 cat bond would attach at $280 million of losses to the covered companies, while exhaustion of coverage would be at $390 million of losses.

The currently $75 million tranche of Class A Series 2025-1 notes come with an initial attachment probability of 2.54%, an initial expected loss of 1.80% and are being marketed to cat bond investors with spread price guidance in a range from 6.5% to 7.25%, we’re told.

Update 1:

We’ve learned that the target size for this Yosemite Re 2025-1 catastrophe bond issuance has been increased, with now betwen the initial $75 million and up to $95 million of reinsurance sought from the deal.

At the same time, the Class A notes have had their price guidance updated to the top-end of the initial range, guiding for a 7.25% spread to be paid to investors.

Update 2:

We understand that Core Specialty successfully secured the upsized target of $95 million of collateralized reinsurance protection for its StarStone US underwriting entities with this Yosemite Re Ltd. Series 2025-1 catastrophe bond issuance.

The $95 million of Class A notes were priced at the upper-end of initial guidance, to pay cat bond investors a spread of 7.25%.