Groupama continues to diversify its storm coverage for France

7 January 2011

Groupama continues to diversify its storm coverage for France with the successful issue of a four-year PERILS-based catastrophe bond for EUR 75 million.

Swiss Re has structured and placed a new Green Fields Series 1 structured bond on behalf of Groupama SA. The bond will provide coverage of EUR75 million against storms in France for a risk period starting 1 January 2011, and ending 31 December 2014, the collateral for this issue being a special purpose structured bond issued by the European Bank for Reconstruction and Development (rated AAA by S&P and Fitch).
This transaction is the successor to Green Valley 1, which was issued in January 2008 and matured on 31 December 2010.
Green Fields Capital Limited is a new special purpose entity created in 2010 under Irish law. It may issue a series of cat bonds over several years.
Standard & Poor’s has given this transaction a rating of BB+.
The benchmark used is the loss exposure database from PERILS, an independent European catastrophe exposure database company. Created in January 2009, PERILS in which Groupama is one of the contributors and shareholders demonstrated the usefulness of its model during the recent storms Klaus and Xynthia.
RMS  conducted its modeling analysis using PERILS exposure data.

Guy Carpenter was the Groupama advisor for the basis risk analysis.
Christian Collin, Groupama’s Chief Financial and Risk Officer, stated :
“This issue, which is the first of its kind over a four-year period, enables Groupama to enjoy a long-term capacity that was acquired under very satisfactory conditions. The new entity put in place with Swiss Re gives us a high level of transparency, reduces credit risk, and hedges against basis risk, all of which are important factors in the Solvency 2 environment. We also have considerable flexibility for future issues, which will be conducted as part of the overall optimization of our reinsurance covers. As a result, we will continue to be a regular presence on this type of market”.