French reinsurance company SCOR has returned to sponsor another catastrophe bond issuance, seeking to expand its capital markets backed sources of retrocessional reinsurance with a $250m or greater Atlas IX Capital DAC (Series 2016-1) U.S. wind and earthquake issuance.
The catastrophe bond pipeline has come alive, with now four transactions all from regular repeat sponsors being marketed to investors.
According to sources, SCOR’s latest cat bond uses an Irish designated activity company, Atlas IX Capital DAC, which will be used to issue and sell to investors a single tranche of Series 2016-1 Class A notes. The single tranche of notes is expected to be $250 million in size or greater, we understand.
The notes will provide SCOR subsidiary SCOR Global P&C SE with retrocessional reinsurance coverage for certain losses from U.S. named storms and U.S. and Canadian earthquakes across a four year term to the end of 2019, we understand.
The reinsurance coverage the notes afford to SCOR will be on an annual aggregate basis and features an industry loss trigger, which uses a PCS constructed index weighted by county in the U.S. and province or territory in Canada.
The notes will trigger at an index level of 1000 and exhaust at 1300, we’re told, with each qualifying loss event having an index deductible of 45.
The $250 million or greater of notes will have an initial attachment probability of 3.6% and an initial expected loss of 3% at the base case, 3.29% at a warm sea surface temperature sensitivity case.
We understand that the notes are being offered to investors with coupon price guidance of 7% to 7.5%, giving a multiple of at least 2.33 times the base expected loss and 2.13 times the sensitivity case EL, even at the lowest end of price guidance.
This Atlas IX Capital 2016-1 is being brought to market by Aon Securities, who are sole structuring agent and joint bookrunner alongside GC Securities. BNP Paribas and NATIXIS are co-managers. AIR Worldwide is providing risk modelling and analysis services.
With this transaction set to complete in January 2016 it will not count towards the 2015 issuance total.
Subscribe for free and receive weekly Artemis email updates
Sign up for our regular free email newsletter and ensure you never miss any of the news from Artemis.