Swiss Re Insurance-Linked Fund Management

PCS - Emerging Risks, New Opportunities

Atlas VI Capital Ltd. (Series 2010-1)

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Atlas VI Capital Ltd. (Series 2010-1) – At a glance:

  • Issuer: Atlas VI Capital Ltd. (Series 2010-1)
  • Cedent / sponsor: SCOR
  • Placement / structuring agent/s: Aon Benfield arranged the deal
  • Risk modelling / calculation agents etc: RMS
  • Risks / perils covered: European windstorm, Japanese earthquake
  • Size: $98m
  • Trigger type: Parametric index
  • Ratings: S&P: 'B-'
  • Date of issue: Dec 2010
  • news coverage: Articles discussing Atlas VI Capital Ltd. (Series 2010-1) from

Atlas VI Capital Ltd. (Series 2010-1) – Full details:

The second issuance under SCOR’s Atlas VI Capital Ltd. Dublin, Ireland domiciled SPV follows the first Atlas VI issuance of €75m (US$98m) of catastrophe bond notes from in December 2009.

This cat bond was initially marketed at €60m but closed at €75m due to investor demand and is designed to provide SCOR Global P&C SE with fully collateralized cover on an annual-aggregate basis for European windstorms and Japanese earthquakes from December 2010 until April 2014.

Aon Benfield arranged the deal while Risk Management Solutions (RMS) are providing risk analysis and reporting using their Paradex models for European windstorm and Japan quake. Atlas VI was the first cat bond to use RMS’ Paradex model for Japan quake.

Paradex will be used to create index values based on qualifying event parameters (wind speed or quake intensity) measured by reporting stations. These index values are utilised to estimate the industry losses from a qualifying event. RMS will calculate the index values. Index values are derived for both European windstorm and Japanese quake using the sum of the products of Paradex index values and payout factors per CRESTA zone or city code.

Collateral for this deal is through a tri-party repurchase agreement with BNP Paribas and Euroclear. Proceeds of the sale of the notes will be used by Atlas VI to buy assets from BNP Paribas and will simultaneously enter into a global master repurchase agreement with BNP Paribas and a repurchase services agreement with Euroclear. Euroclear is responsible for ensuring that the repurchase agreement is adhered to. The collateral account has to be overcollateralized.

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