The Making of a Price Curve

ONyc's yield comes from reinsurance premium income and collateral returns rather than crypto markets. Over four weeks, an interest-rate trading market formed around it, an independent risk assessor evaluated it, and a structurer split it into senior and junior tranches.

In the weeks after the first Tranching Market on Solana launched, ONyc's senior target increased from 6.4% to 7.2%, while the junior compressed from 27.5% to 25.4% (excluding rewards APY), reflecting changes in market dynamics.

Reinsurance Has Built This Machinery Before

Reinsurance built similar pricing infrastructure three decades ago. Cat bonds turned event risk into a spread product in the mid-1990s, secondary desks formed around them, and rating agencies built methodologies for instruments whose loss behavior follows hurricane seasons rather than credit cycles. Alternative reinsurance capital reached a record of approximately $141 billion in 2025, according to Aon.

The market expanded, but access remained institutional. Exposure that once required eight- or nine-figure commitments to insurance-linked securities funds can now be taken in ten-dollar increments. Whether similar pricing infrastructure could develop around tokenized reinsurance remained untested until recently.

Building the Market

In late May, Exponent launched v2, introducing an onchain interest-rate order book for fixed-rate and yield trading. ONyc's reinsurance-backed yield could now be priced and traded at market-determined implied rates.

On June 22, Allez Labs, our independent risk partner, published an A- risk assessment of ONyc. Two days later, risk tranching went live, splitting the same underlying yield into senior and junior positions.

Two Positions, One Book

srONyc is the more protected position, currently targeting 7.2%. jrONyc absorbs first losses in exchange for a larger share of the return, currently targeting 25.4%.

Buyers of srONyc accept a lower target in exchange for added protection. Buyers of jrONyc accept first-loss exposure in pursuit of higher returns, reflecting a different view of the same underlying underwriting portfolio. Both sides hold claims on the same regulated reinsurance portfolio, but from different positions in the capital structure.

Since launch, the senior target has repriced roughly 80 basis points higher, while the junior has compressed by roughly 210 basis points.

Pricing the Book

Markets build capital structures around assets they can price. Reinsurance is particularly well suited to this kind of structuring. Premium income is contractual, earned over defined risk periods, and priced based on expected losses rather than market sentiment, making it possible to structure different risk and return profiles around the same underlying yield.

ONyc's NAV updates daily, with transparent onchain reserve reporting, giving market participants a common reference point for pricing risk. As the structure evolves, those prices adjust alongside investor demand, and liquidity increasingly moves between different levels of protection within the same portfolio.

A market-driven price curve for tokenized reinsurance risk is now observable, something that, until now, existed only in institutional insurance markets.