SCOR seeks $125m Atlas Capital 2024-1 multi-peril retro cat bond
France-headquartered global reinsurance company SCOR is back in the catastrophe bond market in search of more peak catastrophe peril retrocession, looking to secure $125 million or more in North America focused coverage from an Atlas Capital DAC (Series 2024-1) issuance.
SCOR last sponsored a catastrophe bond one year ago, from which it secured $75 million in retrocessional protection for North American wind and quake, but with European windstorm risk also covered by that Atlas Capital 2023-1 issuance.
This year the focus for SCOR’s retro cat bond is firmly on North America, with US named storm and earthquake, as well as Canada quake to be covered by the new Atlas Capital 2024-1 issuance, sources have explained.
That appears designed to replace a soon to mature 2020 Atlas cat bond issuance, which was $200 million in size and covered the same North American perils for SCOR.
The reinsurer has been a regular user of catastrophe bonds within its retrocessional reinsurance program since that first Atlas transaction in 2020, alongside other forms of traditional and capital markets capacity.
Details on every cat bond SCOR has sponsored can be found in our Deal Directory.
For this new 2024 cat bond, SCOR is using the Ireland-based designated activity company named Atlas Capital DAC, which it used a year ago for its last deal.
Atlas Capital DAC is offering investors a single tranche of Series 2024-1 Class A catastrophe bonds notes that will be sold and the proceeds used to collateralize a retrocessional reinsurance agreement between the vehicle and SCOR SE, Artemis has learned.
The issuance is preliminarily sized at $125 million, we understand, but with SCOR’s maturing 2020 cat bond having provided it $200 million of retrocession for the same perils, we suspect there is every chance this new Atlas Capital 2024 cat bond gets upsized, given investor appetite of late.
This Atlas Capital DAC 2024-1 catastrophe bond will provide SCOR with a three-year source of annual aggregate and state-weighted industry loss trigger based retro reinsurance protection, over a roughly three year term to the end of May 2027, sources said.
The covered perils and regions are said to be US named storm and earthquake risk, as well as Canada earthquake industry-loss events.
We’re told the PCS index attachment point for these notes will be at 1,107 index points, but that qualifying events must surpass an event deductible of 70 index points to count towards the aggregate tally.
The single currently $125 million tranche of Series 2024-1 cat bond notes that Atlas Capital DAC is set to issue have an initial attachment probability of 4.54%, an initial base expected loss of 3.87% and are being marketed to cat bond funds and investors with price guidance in a range from 11% to 12%, we are told.
For comparison, last year’s Atlas Capital 2023 retro cat bond that also covered European windstorm risks had an initial expected loss of 2.1% and priced to pay investors a spread of 7.25%.
At the mid of guidance, this new catastrophe bond for SCOR would have a lower multiple-at-market than the 2023 issuance, although it is hard to directly compare given this year the European wind perils is not included.
Perhaps a better comparison is the expiring Atlas 2020 cat bond, which had a lower expected loss initially at 2.84%, but priced at 8.25% giving it a multiple that is very close to the initial indication from this new 2024 cat bond.
You can read all about this Atlas Capital DAC (Series 2024-1) catastrophe bond from SCOR and every other cat bond transaction in the Artemis Deal Directory.
