France headquartered global reinsurance company SCOR has returned to the capital markets to sponsor a new catastrophe bond, Atlas Capital Reinsurance 2020 DAC (Series 2020-1), in search of an expanded insurance-linked securities (ILS) backed source of retrocessional reinsurance protection.
For its first catastrophe bond of 2020, SCOR has reverted the issuing vehicle back to Dublin, Ireland, establishing a new special purpose insurer named Atlas Capital Reinsurance 2020 DAC in the country.
SCOR’s last two catastrophe bonds, sponsored in 2018 and 2019, had both been domiciled in the United Kingdom, as it tried out the new ILS legislation enacted in that country to provide it with domicile optionality when it came to issuing deals.
Now, SCOR has elected to revert back to Ireland for this new cat bond deal and with Atlas Capital Reinsurance 2020 DAC will look to secure at least $200 million of retrocessional protection against losses from certain catastrophe perils.
Once completed, this will be the fifteenth transaction sponsored by SCOR that we have listed in our extensive catastrophe bond Deal Directory.
With this transaction SCOR is seeking at least $200 million of multi-year and multi-peril retrocessional reinsurance protection we’re told.
Atlas Capital Reinsurance 2020 DAC will seek to issue a single tranche of Series 2020-1 notes, that will be sold to investors and the proceeds used to collateralise underlying retro reinsurance agreements with the sponsor SCOR SE.
The cat bond will cover SCOR for certain losses from U.S., Puerto Rico, U.S. Virgin Islands and District of Columbia named storm events and U.S., Puerto Rico, U.S. Virgin Islands, District of Columbia and Canada earthquakes across a four-year term.
The retrocessional reinsurance protection the cat bond provides will be based on an industry loss trigger, using regionally weighted PCS reported data and covering SCOR on an annual aggregate basis.
The single tranche of at least $200 million Series 2020-1 notes to be issued by Atlas Capital Reinsurance 2020 DAC will have an initial attachment probability of 3.4% and initial expected loss of 2.84%, both at the base cases, we understand from sources.
As a result, the notes are being offered to cat bond investors with pricing guidance set in a range from 6.75% to 7.5%, we’re told.
For comparison, the closest recent cat bond from SCOR covering these perils was its 2016 transaction, which had an expected loss at issuance of 3% and priced with a coupon of 7.5%.
That transaction was $300 million in size and matured in late 2019, so the new Atlas Capital Reinsurance 2020 DAC appears to be a replacement of sorts, suggesting upsizing could be possible.
The pricing of the 2016 cat bond suggests we could see pricing of this new deal moving towards the upper-end of guidance, we’d imagine, given cat bond investors desires for higher returns at the moment.
It’s encouraging to see SCOR back in the market again and seeking to replace recently matured cat bond retrocessional coverage with this new deal.
We’ll update you as this Atlas Capital Reinsurance 2020 DAC (Series 2020-1) catastrophe bond from SCOR proceeds to market and you can read about this and every other cat bond transaction in the Artemis Deal Directory.