Quercus II Re DAC

French mutual insurance and reinsurance group Groupama Assurances Mutuelles is back in the 144A catastrophe bond market for the sixth time, seeking a multi-year source of convective storm reinsurance cover.

Quercus II Re DAC has been registered in Ireland as a Designated Activity Company for the purpose of issuing series of catastrophe bond notes.

Quercus II Re DAC will issue a single tranche of notes, which are designed to provide Groupama a multi-year source of fully collateralized reinsurance, backed by capital markets investors.

The initial target is for a €100 million issuance of notes, with those set to be sold to cat bond investors and the proceeds used to collateralize a reinsurance agreement between the designated activity company issuer and Groupama, we understand.

The notes Quercus II Re DAC is offering are designed to provide Groupama and certain subsidiaries with multi-year, indemnity triggered, annual aggregate reinsurance protection against losses from convective storms affecting France.

The coverage will run across two annual risk periods from January 2026 through to the end of 2027, we are told.

We understand the terms of the annual aggregate coverage will see annual aggregate event deductibles in-force, of €376 million for the Groupama mutual entities and €94 million for its Gan Assurances business. While there will also be event caps as well, at €265 million for the mutuals and €70 million for Gan Assurances.

The notes will provide coverage across a €150 million layer of Groupama’s aggregate reinsurance tower so have room to upsize if demand is there, sources said, and they attach at a loss above the deductible level it appears.

The currently €100 million of notes Quercus II Re is offering come with an initial attachment probability of 4.76%, an initial expected loss of 1.82% and they are being offered to investors with price guidance in a range for a spread of between 10.5% and 11.5%.

Update 1:

We understand that Groupama has raised its target to secure up to €120 million of reinsurance from this Quercus Re II catastrophe bond.

The Class A notes are now being offered with updated guidance for a spread of 11%, so at the initial mid-point.

Update 2:

Groupama secured its higher target of €120 million of reinsurance from this Quercus Re II catastrophe bond.

The Class A notes were priced to pay investors an initial risk interest spread of 11%, so at the mid-point of guidance.