Horse Capital I DAC

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Horse Capital I DAC - At a glance:

  • Issuer / SPV: Horse Capital I DAC
  • Cedent / Sponsor: Assicurazioni Generali S.p.A.
  • Placement / structuring agent/s: Willis Capital Markets & Advisory is sole structuring agent and joint bookrunner. Barclays is joint bookrunner.
  • Risk modelling / calculation agents etc: Milliman
  • Risks / Perils covered: Motor third-party liability losses
  • Size: €180m
  • Trigger type: Indemnity
  • Ratings: NR
  • Date of issue: Dec 2016

Horse Capital I DAC - Full details

According to sources, Generali is looking to secure a capital market backed source of fully collateralised reinsurance protection against a significant deterioration in the motor third-party liability loss ratio’s of an aggregated group of its insurer subsidiaries around Europe.

The reinsurance coverage from the Horse Capital I ILS transaction will be provided across a portfolio of Generali owned insurers from Austria, Czech Republic, France, Germany, Italy, Spain and Switzerland, whose motor third-party liability loss ratios will be covered by the deal.

The transaction features an indemnity trigger and losses will be calculated on an annual aggregate basis across the covered insurers, we understand. The covered insurers loss ratios will be monitored and reported across three years from 2017, with Milliman acting as risk modelling agent.

Three classes of notes are being issued by Horse Capital I DAC, an Irish domiciled designated activity company set up for this ILS transaction. We’re told that the underlying transaction, providing the reinsurance between Generali and Horse Capital I, is a derivative structure.

A €60m Class A tranche of notes have an attachment probability of 1.63%, an expected loss of 1.32% and would cover the aggregate loss ratio from 95% to 97.25%, we’re told. This tranche is being marketed to investors with price guidance of 3.5% to 4.5%.

A €60m Class B tranche has an attachment probability of 4.11%, an expected loss of 2.9% and cover the loss ratio from 92.75% to 95%. These notes being riskier offer investors a coupon in a guidance range from 6% to 7%.

Finally, a €60m Class C tranche has an attachment probability of 8.04%, an expected loss of 5.9% and cover the reported aggregated loss ratio from 90.5% to 92.75%. This tranche of notes are being marketed with price guidance of 10.5% to 12%.

All three tranches have a drop-down feature we understand, making the coverage more flexible for the sponsoring insurer.

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