Lion I Re Ltd. cat bond launches for first time sponsor Generali

Assicurazioni Generali S.p.A., one of the largest insurers in Europe and the world, is sponsoring its first catastrophe bond with the launch of Lion I Re Limited, a €150m European windstorm cat bond, sources told Artemis this morning.

Generali has not sponsored a cat bond before as far as Artemis is aware, despite its size, reach and huge reinsurance program needs. It’s encouraging to see a new large sponsor enter the cat bond market in 2014, at a time when new issuance is in demand from capital market investors.

Lion I Re Ltd., an Irish domiciled special purpose reinsurance vehicle, is set to issue a single tranche of notes which are being marketed with a preliminary size of €150m. With this issuance, the sponsor Assicurazioni Generali is seeking a fully-collateralized source of multi-year reinsurance protection against European windstorms.

The Lion I Re cat bond notes will provide Assicurazioni Generali with protection against European windstorms on an indemnity and per-occurrence basis. It’s encouraging to see that this cat bond uses an indemnity trigger as it is only the second to do so for the peril of European windstorm after the Windmill I Re Ltd. cat bond deal.

The Lion I Re notes will provide protection over a 3 year risk period and cover losses from European windstorms across Austria, Belgium, Czech Republic, Denmark, France, Germany, Ireland, Luxembourg, The Netherlands, Norway, Poland, Slovakia, Sweden, Switzerland and the UK.

The trigger point for the protection is at €400m of losses and the exhaustion point is at €800m, Artemis understands, which could suggest a possibility of the deal upsizing significantly if Generali chose to fill that entire layer of its reinsurance with the Lion I Re cat bond.

That equates to an attachment probability of 2.1%, an exhaustion probability of 0.45% and an expected loss of 1%. The €150m of notes are currently being marketed with price guidance of 2.5% to 3% it is understood.

GC Securities is the lead structuring agent and bookrunner for Generali’s Lion I Re Ltd. catastrophe bond. Munich Re is a co-structuring agent and Aon Benfield Securities is a joint bookrunner. RMS is providing risk modelling and analysis.

Interestingly, the Lion I Re Ltd. notes will be rated by Fitch Ratings it is understood, which is unusual for a cat bond as the majority of rated cat bonds tend to be assessed by Standard & Poor’s.

That’s all the information we have on the Lion I Re Ltd. catastrophe bond for the moment. We will update you as the transaction progresses to market and you can find the details added to our catastrophe bond Deal Directory.