Atlas Capital Reinsurance 2020 DAC (Series 2020-1)

French reinsurance company SCOR has returned to the capital markets to secure a new catastrophe bond backed source of retrocessional reinsurance protection.

For its first cat bond of 2020, SCOR has reverted the issuer back to Dublin, Ireland, establishing a new special purpose insurer named Atlas Capital Reinsurance 2020 DAC.

The reinsurers last two cat bonds in 2018 and 2019 had both been domiciled in the United Kingdom, as it tried out the new ILS legislation in that country to provide it with optionality when it comes to issuing deals.

Now, SCOR has elected to revert back to Ireland and in this new Atlas Capital Reinsurance 2020 DAC will look to secure at least $200 million of retrocessional protection against losses from certain catastrophe perils.

With this transaction SCOR is seeking at least $200 million of multi-year and multi-peril retrocessional reinsurance protection we’re told.

Atlas Capital Reinsurance 2020 DAC will seek to issue a single tranche of Series 2020-1 notes, that will be sold to investors and the proceeds used to collateralise underlying retro reinsurance agreements with the sponsor SCOR SE.

The cat bond will cover SCOR for certain losses from U.S., Puerto Rico, U.S. Virgin Islands and District of Columbia named storm events and U.S., Puerto Rico, U.S. Virgin Islands, District of Columbia and Canada earthquakes across a four-year term.

The retrocessional reinsurance protection the cat bond provides will be based on an industry loss trigger, using regionally weighted PCS reported data and covering SCOR on an annual aggregate basis.

The single tranche of at least $200 million Series 2020-1 notes to be issued by Atlas Capital Reinsurance 2020 DAC will have an initial attachment probability of 3.4% and initial expected loss of 2.84%, both at the base cases, we understand from sources.

As a result, the notes are being offered to cat bond investors with pricing guidance set in a range from 6.75% to 7.5%, we’re told.

For comparison, the closest recent cat bond from SCOR covering these perils was its 2016 transaction, which had an expected loss at issuance of 3% and priced with a coupon of 7.5%.

Update, March 30th 2020:

SCOR has temporarily suspended the marketing of this Atlas Capital 2020 cat bond, citing the current Covid-19 related market disruption.

The suspension is expected to prove to just be a delay, as SCOR has said it intends to restart the marketing process for its new cat bond in the coming weeks.

We’re told SCOR remains committed to the catastrophe bond market and is said to be “eager” to restart the marketing process of this transaction as soon as it is able. More details.

Update, April 16th 2020:

SCOR has relaunched this Atlas Capital 2020 catastrophe bond with a slightly smaller size of $150 million as the initial target and with price guidance lifted to a new, higher range of 7.75% to 8.25%.

Update, April 23rd 2020:

SCOR successfully secured its original target of $200 million of retro coverage with its Atlas Capital 2020 catastrophe bond deal, but pricing moved up to the top-end of revised guidance at 8.25%.