Atlas Capital DAC (Series 2023-1)

Global reinsurer SCOR is back in the catastrophe bond market with what will be its seventeenth cat bond under an Atlas name, since sponsoring its first in 2000.

The reinsurer has been a regular user of catastrophe bonds within its retrocessional reinsurance program, alongside other forms of traditional and capital markets capacity.

For this new 2023 cat bond, SCOR has established a new Ireland based designated activity company named Atlas Capital DAC, we are told.

Atlas Capital DAC will look to issue a single tranche of Series 2023-1 Class A notes that will be sold to investors and the proceeds used to collateralize a retrocessional reinsurance agreement between the vehicle and SCOR SE.

The issuance is preliminarily sized at $75 million we understand, but with SCOR’s maturing 2019 cat bond having provided it $250 million of retrocession, there is every chance this new Atlas Capital 2023 cat bond gets upsized, if the investor support is sufficient.

This Atlas Capital DAC 2023-1 catastrophe bond will provide SCOR with a source of annual aggregate and weighted industry loss trigger based retro reinsurance protection, over a roughly three year term to the end of May 2026, sources told us.

The covered perils and regions are said to be US named storm and earthquake risks, Canada earthquakes and European windstorm industry-loss events.

The single tranche of Series 2023-1 cat bond notes that Atlas Capital DAC will issue come with an initial attachment probability of 2.39%, an initial base expected loss of 2.1% and are being marketed to cat bond funds and investors with spread price guidance in a range from 8.25% to 9.25%, we understand.

SCOR sponsored its last industry-loss trigger and annual aggregate based cat bond a year ago, with that Atlas Capital Re 2022 deal having an initial expected loss of 3.17% and pricing to pay investors a coupon of 9.5%, a multiple-at-market of roughly 3 times the expected loss.

Update 1:

We’re told the guidance on size for this new retro catastrophe bond from SCOR has not changed, remaining at $75 million for now.

But the price guidance has been lowered significantly, to a new range of 7.25% to 8.25%, indicating a roughly -11.5% decline from the initial guidance mid-point.

Update 2:

We’re told that SCOR’s new catastrophe bond has now been priced and that the deal did not change in size, so just the $75 million of Series 2023-1 notes will be issued by Atlas Capital DAC.

However the final pricing was fixed at just 7.25%, so the bottom of already reduced spread guidance and indicating a roughly 17% decline in price over the marketing of the cat bond.

Which equates to a multiple-at-market of roughly 3.34 times the expected loss.