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Report: Stratosphere Re cat bond launches to reinsure Nephila's tail risks

A catastrophe bond with an initial size of $100 million was launched to cover certain primary insurance tail risks that were underwritten by and for Nephila Capital Ltd., Artemis reported.

Bermuda-based special purpose insurer Stratosphere Re Ltd. is planning to issue a single tranche of 2020-1 class A notes that will have an initial expected loss of 0.115% and will be offered to investors with a coupon guidance range of 2.75% to 3.25%.

The notes will offer protection via an indemnity trigger on an annual aggregate basis. They will cover a range of U.S. natural catastrophe perils, including named storms, earthquakes, winter storms and severe thunderstorms.

Markel Bermuda Ltd. is the direct beneficiary and ceding reinsurance party to the Stratosphere Re Ltd. series 2020-1 deal. It will enter into reinsurance agreements with Stratosphere Re and in turn with State National, according to the report. The cat bond will also cover some of the tail risks that State National retains through its work with Nephila.

The transactions have a three-year term. To qualify for protection, loss events must be above $5 billion on an industry basis, and there should be two of these losses in a year for the notes to be eroded.