Global reinsurance company SCOR has now secured $240 million of retrocessional catastrophe protection from its new Atlas Capital Reinsurance 2022 DAC (Series 2022-1) catastrophe bond, Artemis can reveal.
The reinsurer has been in the market with its latest catastrophe bond since earlier this month, with its latest Atlas insurance-linked securities (ILS) deal seemingly one of the fastest to get through the currently more challenging for sponsors market environment.
Investor support has clearly been strong, as the Atlas Capital Reinsurance 2022 catastrophe bond began life as just a $150 million deal.
But then, with SCOR’s appetite for retrocession greater than the initial target, as we explained the next update was that the size target for the new Atlas Capital cat bond was lifted to between $200 million and $250 million.
We can now reveal that the cat bond will settle at $240 million in size, so just short of the upper-end size target for SCOR.
At final pricing the deal size was fixed at that amount, while the coupon that SCOR will pay to investors was confirmed at the elevated 9.5% level, which represents a roughly 12% increase in pricing from the initial guidance mid-point.
So, with this new cat bond scheduled to settle at the end of this week, SCOR will soon benefit from $240 million of additional capital markets backed and fully-collateralized multi-year catastrophe retrocession.
The Atlas Capital Reinsurance 2022 DAC catastrophe bond will provide SCOR with a three-year source of industry loss trigger and annual aggregate based retrocessional protection.
The now confirmed as $240 million cat bond will cover SCOR against losses from major catastrophe industry loss events caused by US named storms (including Puerto Rico and the US Virgin Islands), US earthquakes (including Puerto Rico), Canada earthquakes and also European windstorms.
The single $240 million sized tranche of Class A notes being issued will have an initial attachment probability of 3.8% and an initial expected loss of 3.17%.
When launched, the notes were first offered to cat bond investors with price guidance in a range from 8.25% to 8.75%, but the pricing subsequently rose to above guidance, to be fixed at 9.5%, which is where the deal will settle for SCOR.
That reflects the broader widening of spreads in the catastrophe bond market, that has affected the vast majority of issues in recent weeks.
SCOR’s 2020 catastrophe bond priced to offer investors a multiple-at-market of 2.9 times expected loss (EL), so with the price rising on this new issuance the multiple is now set to be just above 3 times EL.
SCOR will be pleased with the capital market support it has received though, with pricing on a multiple-at-market basis only slightly up on its prior cat bond deal, while investor appetite helped the reinsurer upsize its protection to $240 million.
You can read all about this Atlas Capital Reinsurance 2022 DAC (Series 2022-1) catastrophe bond from SCOR and every other cat bond transaction in the Artemis Deal Directory.