Taranis Reinsurance DAC 2023

This is the first catastrophe bond to be sponsored by Pacifica, an insurance company 100% owned by the Crédit Agricole Assurance group of companies.

Pacifica is seeking four years of collateralised reinsurance protection against losses from windstorms and hail storm events affecting France, Monaco and Andorra, to run until the end of 2027, we understand.

Taranis Reinsurance DAC, an Irish special purpose company, has been formed to issue two tranches of catastrophe bond notes that will be sold to investors and the proceeds be used to collateralise the reinsurance agreements with Crédit Agricole’s Pacifica.

There is a target for at least €150 million in both indemnity and annual aggregate reinsurance on a per-occurrence basis, across the two tranches of cat bond notes that are on offer, we are told.

A €100 million Class A tranche of notes will cover Pacific for losses from windstorms and hailstorms across the covered area on a per-occurrence basis, where as a €50 million Class B tranche will only cover windstorm losses and on an annual aggregate and second event basis, we understand.

The Class A per-occurrence notes would attach at €300 million of losses to Pacifica, covering a layer to €600 million, giving them an initial attachment probability of 5.77%, an initial expected loss of 3.53% and they are being offered to cat bond investors with spread price guidance in a range from 7% to 7.5%.

The Class B, aggregate and second event notes, would attach at €90 million of losses, covering a layer to €180 million, but have a relatively high deductible of €75 million, giving them an initial attachment probability of 2.45%, an initial expected loss of 1.5% and they are being offered to cat bond investors with spread price guidance in a range from 5% to 5.75%.

Update 1:

We understand that the target size for this debut Taranis Re DAC 2023 catastrophe bond from Crédit Agricole subsidiary Pacifica has now been increased, with up to €180 million in reinsurance now being sought.

The Class A per-occurrence windstorm and hail focused tranche of notes are now pitched at up to €120 million in size, while their spread guidance has been elevated, at a fixed 8.25%.

The Class B, aggregate and second event, purely windstorm focused tranche target size has also been increased to up to €60 million, while their spread guidance has also been lifted and fixed at 6%.

Update 2:

We’re told that, at pricing, Crédit Agricole subsidiary Pacifica secured €160 million of reinsurance from this debut Taranis Re DAC 2023-1 catastrophe bond.

The Class A per-occurrence windstorm and hail focused tranche of notes priced to provide €110 million of reinsurance, while their spread was finalised at 8.25%.

The Class B, aggregate and second event, purely windstorm focused tranche was priced to provide €50 million of reinsurance, while their spread was finalised at 6%.