SCOR secures 40% upsized $175m Atlas Capital 2024-1 cat bond – Artemis.bm


French global reinsurance company SCOR has now successfully upsized its latest catastrophe bond by 40% to secure $175 million of retrocession from the Atlas Capital DAC (Series 2024-1) deal, while the pricing settled just above initial guidance, showing the risk adjustments made appear to have had the desired effect.

SCOR ventured back to the catastrophe bond market a fortnight ago aiming to secure $125 million or more in North America focused wind and quake industry-loss based retrocessional reinsurance coverage with this new catastrophe bond.

The issuance looks set to partially 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.

SCOR has become a regular user of catastrophe bonds within its retrocessional reinsurance program since its first Atlas transaction in the year 2000, alongside other forms of traditional and capital markets capacity.

Details on every cat bond SCOR has sponsored can be found in our Deal Directory.

As we reported yesterday, Artemis learned that SCOR took the slightly unusual step of adjusting some of the risk metrics of its new Atlas Capital 2024-1 catastrophe bond.

This involved adjustments to payout factors for different perils and locations, which we understand to have been a way the risk level of the cat bond could be reduced a little, lowering the attachment probability and expected loss.

At the same time, SCOR’s target was raised, with up to $175 million of coverage being sought, while the price guidance was raised alongside it.

It was also interesting to note that the price guidance went from a range, to a higher fixed percentage, then reverted back to a range slightly lower again as investor appetites for the notes changed in response to the adjustments to the risk being ceded.

Now, we’re told that SCOR has secured the $175 million of retro with this new cat bond, a 40% upsizing from its original size.

So, this Atlas Capital DAC 2024-1 catastrophe bond will provide SCOR with$175 million of annual aggregate and state-weighted industry loss trigger based retro reinsurance protection for losses from US named storms and earthquakes, as well as Canada earthquakes, over a roughly three year term to the end of May 2027.

When they first launched to investors, the single tranche of Class A notes were marketed with an initial attachment probability of 4.54%, an initial base expected loss of 3.87% and price guidance in a range from 11% to 12%.

After SCOR adjusted some of the payout factors for its new cat bond deal, the initial attachment probability was lowered to 3.88% and the initial base expected loss to 3.26%, as we reported.

However, at the first update the price guidance was elevated to 13%, so higher than the initially offered range of 11% to 12%.

Then, as investor feedback came in, the spread guidance reverted back to being offered in a range again, of 12.5% to 13%.

Now, we are told the $175 million of Atlas Capital DAC 2024-1 Class A catastrophe bond notes have been priced to pay investors a spread of 12.5%, so only slightly above the initial guidance.

All of which shows SCOR being responsive to investor requirements in the catastrophe bond market, while also looking to maximise the coverage it can secure at a price that is deemed within an acceptable range for the retro protection.

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.

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