Vermont captive Oak Tree Assurance has expanded its target for the new Acorn Re bond to $100mn-$175mn as pricing dropped by around 12% at the midpoint of guidance to 4.25%-4.75%.
The size of the bond has increased from the initial target of $100mn.
The Class A notes will provide coverage for earthquakes in California, Oregon, Utah, Nevada and Arizona in the US, and Baja California, Baja California Sur and Sonora in Mexico, plus offshore areas of the Pacific Ocean near the west coast.
The cover triggers on a parametric, per-occurrence basis.
The updated pricing guidance gives a midpoint multiplier of 4.9x on the expected loss of 0.91%.
The Acorn Re bonds are linked to California sponsor Kaiser Foundation Health Plan.
Hannover Re is the fronter.
The sole structuring agent and sole bookrunner is GC Securities.
The modeller is RMS.
