A new catastrophe bond issuance is being marketed by SCOR through their Dublin based SPV Atlas VI Capital Ltd. This is the second issuance under Atlas VI Capital Ltd. and follows the first Atlas VI issuance of €75m of catastrophe bond notes from SCOR in December 2009.
This catastrophe bond, Atlas VI Capital Ltd. Series 2010-I, is marketing at a size of €60m and is designed to provide SCOR Global P&C SE with fully collateralized cover on an annual aggregate basis for European windstorms and Japanese earthquakes from December 2010 until April 2014. As this cat bond involves European and Japanese risks we believe there’s a very good chance it will upsize and close at higher than €60m thanks to investor demand.
Aon Benfield are arranging this deal while Risk Management Solutions (RMS) are providing risk analysis and reporting using their Paradex models for European windstorm and Japan quake. Atlas VI will be the first cat bond to utilise RMS’ Paradex model for Japan quake. Paradex will be used to create index values based on qualifying event parameters (wind speed or quake intensity) measured by a network of reporting stations. These index values are utilised to estimate the industry losses from a qualifying event. RMS will calculate the index values. Index values are derived for both European windstorm and Japanese quake using the sum of the products of Paradex index values and payout factors per CRESTA zone or city code
Collateral for this deal is being handled using a tri-party repurchase agreement with BNP Paribas and Euroclear. Proceeds of the sale of the notes will be used by Atlas VI to buy assets (specified as being highly rated securities) from BNP Paribas and will simultaneously enter into a global master repurchase agreement with BNP Paribas and a repurchase services agreement with Euroclear. Euroclear is responsible for ensuring that the repurchase agreement is adhered to. The collateral account is required to be overcollateralized.
Standard & Poor’s have given this new series of Atlas VI cat bond Class A notes a preliminary rating of ‘B-‘.
It’s good to see SCOR return to the catastrophe bond market with their regular Atlas issuance. It brings further diversification opportunities for investors and also will test RMS’ Paradex for Japan quake both of which are conducive to a healthy market in cat bonds.
Full details of this deal are available in our catastrophe bond deal directory and we’ll bring you updates as the transaction comes to market.