Quercus Re DAC 2024-1

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

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

Quercus 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.

Quercus Re is offering €150 million of notes to investors, to provide the collateral to back a source of windstorm reinsurance protection across France for Groupama.

The coverage will run across a roughly three year term to July 8th 2027, we are told.

The reinsurance protection will be annual aggregate in nature and based on an indemnity trigger, with deductibles and loss caps in place that also define the attachment and exhaustion, it seems.

There are event deductibles, event caps and annual aggregate deductibles for both Groupama’s mutual business and the separate Gan Assurances business.

The per-event deductible for the mutual business is €65m and €22m for the GAN business, while per-event loss caps are €200m for the mutual business and €48 million for the GAN business, while the aggregate deductible (which is effectively the attachment point) is €230m for the mutual business and €60 million for the GAN Assurances business, we are told.

The €150 million of notes Quercus Re DAC is offering come with an initial attachment probability of 3.57%, an initial expected loss of 2.30% and are being offered to investors with price guidance in a range from 8% to 8.75%, sources said.

Update 1:

We are told that the spread price guidance for the Quercus Re DAC 2024-1 notes has narrowed towards the lower end, updated to a range of 8% to 8.25%.

Update 2:

Sources said that the Quercus Re DAC 2024-1 cat bond notes have now been priced to provide the targeted €150 million of windstorm reinsurance to Groupama, while the price was finalised at the bottom end of reduced guidance, for a spread of 8% to be paid to investors.