Atlas Capital Reinsurance 2022 DAC (Series 2022-1)

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Atlas Capital Reinsurance 2022 DAC (Series 2022-1) – At a glance:

  • Issuer: Atlas Capital Reinsurance 2022 DAC
  • Cedent / sponsor: SCOR SE
  • Placement / structuring agent/s: GC Securities is sole structuring agent and joint bookrunner. Natixis is joint bookrunner and sustainability advisor.
  • Risk modelling / calculation agents etc: AIR Worldwide
  • Risks / perils covered: U.S. named storm, U.S. & Canada earthquake, European windstorm
  • Size: $240m
  • Trigger type: Industry loss index
  • Ratings: NR
  • Date of issue: May 2022

Atlas Capital Reinsurance 2022 DAC (Series 2022-1) – Full details:

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

For its first cat bond in two years, SCOR has returned to Dublin, Ireland, to establish a new special purpose insurer named Atlas Capital Reinsurance 2022 DAC for this catastrophe bond issuance.

Atlas Capital Reinsurance 2022 DAC is targeting the issuance of a single Class tranche of Series 2022-1 notes, preliminarily sized at a $150 million target, we’re told by sources.

The notes will be sold to investors and the proceeds collateralize a retrocessional reinsurance agreement between the issuing vehicle and SCOR SE.

That agreement will provide SCOR with a three-year source of industry loss trigger and annual aggregate based retrocession.

The cat bond will cover SCOR against certain impacts of major catastrophe industry loss events caused by US named storms (including Puerto Rico and the US Virgin Islands), US earthquakes (including Puerto Rico), Canada earthquakes and also European windstorms, we understand.

The single, currently $150 million sized tranche of Class A notes being issued will have an initial attachment probability of 3.8%, an initial expected loss of 3.17% and are being offered to cat bond investors with price guidance in a range from 8.25% to 8.75%, we’re told.

Update 1:

SCOR’s target for this new cat bond has lifted to between $200 million and $250 million of protection.

At the same time the coupon guidance has been elevated to above the initial range, at 9.5%.

Update 2:

SCOR eventually priced its latest catastrophe bond for $240 million of protection, so almost at the top-end target.

The coupon remained fixed at the elevated 9.5% level.

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