As we hinted a week ago, SCOR is preparing to launch a new catastrophe bond transaction within the next two weeks. Atlas VI Capital Ltd., a $75m deal (that may rise given the interest in recent transactions) is being launched to provide SCOR Global P&C SE with cover between December 2009 and April 2013.
Atlas VI will provide SCOR with cover against major Japanese earthquakes and windstorm risks in northern and western Europe. That should ensure investors will flock to this deal as it’s a rare opportunity for them diversify their catastrophe-linked portfolio this year. I expect this deal to upsize accordingly as they try to satisfy investor demand.
Parametric loss triggers will be used for both the Japanese earthquake risk and the European windstorm risk. Risk Management Solutions Paradex index will be used for Euro windstorm and the Kyoshin network of earthquake monitoring stations in Japan will be used for quake.
For collateral this deal will utilise a tri-party repurchase agreement in which BNP Paribas, Euroclear and Atlas VI will be involved. Assets used will have to be highly rated corporate and sovereign debt of U.S. or European entities, cannot be debt issued by certain named companies and must be over-collateralized.
Standard & Poor’s have assigned a preliminary rating of ‘BB-‘ to the series 2009-1 Class A notes issued by Atlas VI.
You can read more details on this transaction in our Deal Directory.