Atlas IX Capital DAC (Series 2016-1)

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Atlas IX Capital DAC (Series 2016-1) - At a glance:

  • Issuer / SPV: Atlas IX Capital DAC (Series 2016-1)
  • Cedent / Sponsor: SCOR Global P&C SE
  • Placement / structuring agent/s: Aon Benfield Securities is sole structuring agent and joint-bookrunner. GC Securities is joint-bookrunner. BNP Paribas and Natixis are co-managers.
  • Risk modelling / calculation agents etc: AIR Worldwide
  • Risks / Perils covered: U.S. named storm, U.S. and Canada earthquake
  • Size: $300m
  • Trigger type: Industry loss index
  • Ratings: NR
  • Date of issue: Jan 2016

Atlas IX Capital DAC (Series 2016-1) - Full details

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.

Update 1:

This Atlas IX Capital 2016-1 catastrophe bond grew in size by 20% while marketing to $300m.

At the same time the transaction pricing moved to the top end of initial guidance, at 7.5%.

With the Atlas IX Capital 2016-1 cat bond having an initial expected loss of 3% at the base case, or 3.29% at a warm sea surface temperature sensitivity case, the 7.5% spread would offer investors a multiple of 2.5 times the base case EL or 2.28 times the sensitivity case.

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