Groupama, the French mutual insurance and reinsurance company, has returned to the 144A catastrophe bond market and this time is seeking €100 million or more in fully-collateralized convective storm reinsurance protection from the capital markets through a issuance, Artemis has learned.Notably, this new catastrophe bond for Groupama will be the first to solely cover the severe convective storm peril since 2010, we have been told by sources.The peril of severe convective storms, or severe thunderstorms as it is often termed, is regularly featured in multi-peril catastrophe bonds, but the only two were the Mariah cat bonds from 2010.Just as notably perhaps, this new return of convective storm risk as a sole peril in a catastrophe bond is also coming on an annual aggregate basis.

Groupama was last in the catastrophe bond market in July 2024, when it secured €150 million of windstorm reinsurance from a issuance it hailed as the largest aggregate cat bond on-record covering European perils at the time.Before that, Groupama Assurances Mutuelles featured in our cat bond Deal Directory when it was the beneficiary of a private cat bond in 2023.Prior to which the mutual insurer had sponsored Green Valley cat bonds in 2007 and 2010, then Green Field cat bonds in 2010 and 2013.

.Quercus II Re DAC has been registered in Ireland as a Designated Activity Company for the purpose of issuing series of catastrophe bond notes.The structure is expected to issue a single tranche of notes, which are designed to provide Groupama a multi-year source of fully collateralized reinsurance, backed by capital markets investors.

The initial target is for a €100 million issuance of notes, with those set to be sold to cat bond investors and the proceeds used to collateralize a reinsurance agreement between the designated activity company issuer and Groupama, we understand.The notes Quercus II Re DAC is offering are designed to provide Groupama and certain subsidiaries with multi-year, indemnity triggered, annual aggregate reinsurance protection against losses from convective storms affecting France.The coverage will run across two annual risk periods from January 2026 through to the end of 2027, we are told.

We understand the terms of the annual aggregate coverage will see annual aggregate event deductibles in-force, of €376 million for the Groupama mutual entities and €94 million for its Gan Assurances business.While there will also be event caps as well, at €265 million for the mutuals and €70 million for Gan Assurances.The notes will provide coverage across a €150 million layer of Groupama’s aggregate reinsurance tower so have room to upsize if demand is there, sources said, and they attach at a loss above the deductible level it appears.

The currently €100 million of notes Quercus II Re is offering come with an initial attachment probability of 4.76%, an initial expected loss of 1.82% and they are being offered to investors with price guidance in a range for a spread of between 10.5% and 11.5%.It’s good to see Groupama returning and this will be an interesting transaction to watch, to see how investors respond to it, given the scarcity of severe convective storm risk as a standalone peril in the cat bond market and the fact well-structured aggregates are gaining more momentum at this time as well.You can read all about this new   catastrophe bond and every other cat bond deal in the Artemis Deal Directory..

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