Price guidance narrows for Groupama’s €150m Quercus Re catastrophe bond

We understand that the price guidance for French mutual insurance and reinsurance company Groupama’s new €150 million windstorm reinsurance focused Quercus Re DAC 2024-1 catastrophe bond has been narrowed towards the lower end.

Groupama returned to the catastrophe bond market with an offering of Quercus Re DAC notes towards the end of June, aiming to secure a new capital markets backed source of European windstorm reinsurance for French risks.

Quercus Re DAC has been registered in Ireland as a Designated Activity Company and €150 million of notes were being offered to insurance-linked securities (ILS) investors, to provide the collateral to back a source of windstorm reinsurance protection across France for Groupama companies.

The coverage being sought is designed to run across a roughly three year term to July 8th 2027, while the targeted reinsurance protection would be annual aggregate in nature and structured with an indemnity trigger, with deductibles and loss caps in place that also define the attachment and exhaustion.

The target is still to issue €150 million of cat bond notes through Quercus Re DAC, we understand.

Those notes come with an initial attachment probability of 3.57% and an initial expected loss of 2.30%.

The price guidance has now been updated, we are told by sources, having initially been offered to investors with a spread range of 8% to 8.75%, but that we’re now told has been lowered towards the lower end to a new range of 8% to 8.25%.

As a result, Groupama looks set to benefit from strong execution for what will be the sixth catastrophe bond issuance for the sponsor that we have covered over the years.