Atlas Reinsurance VII Limited
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Atlas Reinsurance VII Limited - At a glance:
- Issuer / SPV: Atlas Reinsurance VII Limited
- Cedent / Sponsor: SCOR
- Placement / structuring agent/s: Aon Benfield Securities are sole structuring agent. Aon Benfield Securities, BNP Paribas and Natixis are joint bookrunners
- Risk modelling / calculation agents etc: AIR Worldwide. PCS and PERILS are providing loss data and index for triggers
- Risks / Perils covered: U.S. hurricane, U.S. earthquake, European windstorm
- Size: $228m
- Trigger type: Industry loss index
- Ratings: S&P: Class A - 'BB-', Class B - 'BB'
- Date of issue: Nov 2012
- Date of maturity (dd/mm/yyyy): 07/01/2016
- Coupon / pricing yield Class A: 8.00%
- Coupon / pricing yield Class B: 3.65%
- Artemis.bm news coverage: Articles discussing Atlas Reinsurance VII Limited from Artemis.bm
Atlas Reinsurance VII Limited - Full details
This latest catastrophe bond issuance from SCOR see’s them revert back to their original naming convention (so away from Atlas Capital), calling the entity Atlas Reinsurance VII Limited. While it is called Atlas VII it is actually their ninth cat bond issuance which uses the Atlas name.
Atlas Re VII see’s SCOR seeking to secure a four year source of retrocessional reinsurance for multiple perils on a fully collateralized basis.
Atlas Reinsurance VII Ltd. is an Irish domiciled special purpose reinsurance vehicle. The notes it issues will be used to collateralize two reinsurance agreements with SCOR.
Atlas Re VII will issue two tranches of notes. The first, Class A tranche of notes has a preliminary size of $50m and will provide cover for U.S. hurricane and U.S. earthquake events on an annual aggregate basis. The trigger for the Class A tranche of notes will be an industry loss index from PCS which will be county weighted.
The Class B tranche of notes has a preliminary size of €50m and provides cover for European windstorms on a per-occurrence basis. The trigger for the Class B tranche of notes will use a PERILS industry loss index which will be Cresta zone weighted.
The transaction will not come on-risk until the 1st January 2013 with the risk period expected to run from then until the end of 2015, so providing SCOR with a three year source of cover on both aggregate and per-occurrence basis’.
The Class A notes provide hurricane cover for all the eastern (including Florida) and gulf coast exposed states as well as Puerto Rico. Earthquake cover is for all 48 U.S. states and the District of Columbia. The notes have an index attachment point of 685 and an index exhaustion point of 785. These notes are annual aggregate in nature, meaning that they cover frequency events as well as single large events. So a number of qualifying hurricanes and earthquakes could contribute to the index value over the course of each of the three year risk periods. The index values will be reset at the end of each annual risk period. For a hurricane or earthquake catastrophe event to qualify it must have a PCS catastrophe number assigned. For hurricane events it could actually be a tropical storm that is severe enough to require a PCS catastrophe number. The Class A notes have an attachment probability of 2.09%, an expected loss of 1.86% and an exhaustion probability of 1.64%.
The Class B notes provide European windstorm cover for Belgium, Denmark, France, Germany, UK, Ireland, Netherlands, Luxembourg, Switzerland, Norway and Sweden. The index attachment point for these notes is 575, while the index exhaustion point is 675. These notes afford cover on a per-occurrence basis, meaning that they can only be triggered by a single storm meeting the industry loss index trigger point and which is severe enough to generate a PERILS industry loss report. The Class B notes have an attachment probability of 1.75%, an expected loss of 1.50% and an exhaustion probability of 1.30%.
Collateral will be invested in EBRD notes, dollar denominated for the Class A tranche and Euro denominated for the Class B tranche.
Price guidance shows that the Class A tranche is expected to price somewhere between 8.25% and 9.00% while the Class B notes show a range of 3.65% to 4.15%.
Atlas Reinsurance VII increased in size before close. The Class A tranche grew to $50m-$60m and the Class B tranche more than doubled to €120m-€130m, bringing the total deal size to around $228m.
Pricing dropped on both tranches of notes. The Class A tranche was marketed with a coupon of between 8.25% and 9.00% but it is expected to price at or below the bottom of that range between 8.00% and 8.25%. The Class B tranche was marketed with a coupon between 3.65% to 4.15% and is now expected to price at the bottom end of that range at 3.65%.
At pricing SCOR achieved the upper size for the deal and the lower end of pricing.
The Class A (hurricane/earthquake) tranche finished at the upper end at $60m. The Class B European windstorm tranche finished at the upper end again at €130m.
The Class A notes priced at the bottom end at 8.00%. The Class B notes priced at the 3.65% mark.
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