Athéna I Reinsurance DAC

This is the first catastrophe bond that will provide retro reinsurance protection to GAREAT, or Gestion de l’Assurance et de la Réassurance des Risques Attentats et actes de Terrorisme, which is the French terrorism risk pool.

GAREAT was established in 2002 as a public-private partnership market structure, designed to manage the reinsurance of risk of terrorist attacks in France and its overseas territories.

It provides co-reinsurance solutions for its members and is mandatory for most insurers in France. With cover for losses from terrorist attacks mandatory for most non-life insurance policies in France, the country has a significant amount of terror coverage in force compared to many other countries.

We understand members cover the first €500 million of any terror attack under the scheme, while after that pooled excee-of-loss reinsurance covers losses up to €2.8 billion, beyond which CCR provides coverage backed by state guarantee.

This Athéna I Reinsurance DAC will cover a share of a €200 million of the risks, we understand from sources.

Athéna I Reinsurance DAC is an Irish domiciled Designated Activity Company established for the issuance of catastrophe bond notes that will be sold to investors.

We understand this debut cat bond for GAREAT will cover physical property damage from terrorism events in France and its territories.

The target size for this first issuance is for at least €100 million in notes to be issued by Athéna I Reinsurance DAC.

The notes will provide GAREAT with indemnity reinsurance protection on an annual aggregate basis, sources told Artemis. This coverage will run across three annual risk periods, for three years from January 1st 2025 to the end of 2028.

The protection will attach at €500 million in losses to GAREAT, so the lower layer of its reinsurance arrangements, covering a share of losses up to €700 million.

The €100 million or more in notes that Athéna I Reinsurance DAC will issue come with an initial attachment probability of 1.14%, an initial expected loss of 0.98% and are being offered to cat bond funds and investors with spread price guidance in a range from 4.75% to 5.5%, we have learned.

Update 1:

We are told by sources that this debut catastrophe bond for French terrorism risk pool GAREAT has now been priced.

The issuance size has not changed, with Athéna I Reinsurance DAC set to issue €100 million in notes to provide capital markets backed terrorism reinsurance to GAREAT.

The notes priced to pay investors an insurance risk spread of 5.25%, so within the upper-half of initial price guidance.