Caelus Re VI Ltd. Series 2024-1

Nationwide Mutual

ACTIVE

Principal

$325M

Peril

multi peril

Trigger

parametric

Spread

425 bps

Bond Details

Issuance: 2024-03-01
Maturity: 2028-03-01
Expected Loss: 1.5%
Attachment: 1%
Exhaustion: 4%
Calculation Agent: RMS

CivilSense Assessment

Modeling Confidence

HIGH

Multi-peril parametric trigger fully modelable. Hurricane: CivilSense monitors NHC wind speeds. Earthquake: USGS magnitude with New Madrid bounding box check. Both data sources are real-time with <2min latency.

Last reviewed: 5/10/2026

Trigger Structure

{
  "type": "parametric_multi_peril",
  "payout": "Binary — 100% if either trigger breached",
  "perils": {
    "hurricane": {
      "metric": "max_sustained_wind_kt",
      "geography": "US East Coast and Gulf Coast (NC to TX)",
      "data_source": "NOAA NHC",
      "threshold_kt": 96
    },
    "earthquake": {
      "metric": "moment_magnitude",
      "geography": "New Madrid Seismic Zone (MO, AR, TN, KY, IL, IN)",
      "data_source": "USGS NEIC",
      "depth_max_km": 30,
      "threshold_mag": 6.5
    }
  },
  "description": "US hurricane or earthquake exceeding parametric thresholds in covered states"
}

Trigger Evaluations

No trigger evaluations yet. Evaluations are generated when matching events occur.

View on Artemis Our Methodology

Questions about our catalog data? Calculation agents and sponsors can submit corrections to research@civilsense.io

For situational awareness only — not for investment decisions or emergency response. When available, CivilSense trigger evaluations are independent estimates and may differ from official calculation agent determinations.