Azzurro Re II DAC (Series 2020-1)

The Artemis Catastrophe Bond and Insurance-linked Securities Deal Directory aims to provide a one-stop resource for information on every cat bond and ILS transaction we hold information on. The content of this Deal Directory is provided as is and there will be some omissions. Help us to keep these cat bond and ILS transaction summaries up to date by contacting us if you see an error or omission that you can correct.

Share

Azzurro Re II DAC (Series 2020-1) – At a glance:

  • Issuer: Azzurro Re II DAC
  • Cedent / sponsor: UnipolSai Assicurazioni S.p.A.
  • Placement / structuring agent/s: Willis Re Securities is sole structuring agent & bookrunner. Munich Re and Swiss Re are co-managers.
  • Risk modelling / calculation agents etc: AIR Worldwide
  • Risks / perils covered: European earthquake (covers portfolio in Italy)
  • Size: €100m
  • Trigger type: Indemnity
  • Ratings: NR
  • Date of issue: Jul 2020

Azzurro Re II DAC (Series 2020-1) – Full details:

This is UnipolSai’s third visit to the catastrophe bond market in search of fully collateralised, capital market investor-backed reinsurance.

Azzurro Re II DAC has been established in Ireland to issue a single tranche of catastrophe bond notes that will be sold to investors and the proceeds used to collateralise a reinsurance agreement between the issuing vehicle and UnipolSai.

For launch, the issuance is targeting a EUR 100 million offering, but we’re told there is room for the cat bond to upsize, should UnipolSai elect to increase it.

The reinsurance protection the cat bond provides will be on an indemnity trigger and per-occurrence basis, covering earthquakes impacting Italy and neighbouring countries, but with the covered subject business all being within Italy.

This is the same type of reinsurance protection that UnipolSai’s 2015 Azzuro Re I cat bond provided it. We’re told the term of coverage will be across roughly three and a half years, to the end of 2023.

The currently EUR 100 million of Series 2020-1 Class A notes to be issued by Azzurro Re II will cover losses across a EUR 150 million layer of UnipolSai’s reinsurance tower, attaching at EUR 200 million of losses, we understand.

The notes will have an initial expected loss of 1.84% and are being offered to cat bond investors with coupon guidance in a range from 4.25% to 4.75%, sources said.

This new Azzurro Re II cat bond from UnipolSai sits much lower down than the insurers 2015 Azzurro earthquake cat bond deal. That transaction attached at EUR 500 million of losses and had an expected loss of just 0.31%, making this Azzurro Re II 2020 cat bond a much riskier proposition.

Update 1:

The Azzurro Re II cat bond issuance from UnipolSai continues to target issuance of a EUR 100 million of Series 2020-1 Class A tranche of notes, having not upsized so far.

However, the pricing has been moved to the mid-point of guidance, at 4.5%, as European perils seem to continue to defy the firming seen elsewhere in catastrophe reinsurance markets.

Update 2:

At pricing the single tranche of notes remained at EUR 100 million in size and pricing settled at the mid-point of guidance, at 4.5%.

———————————————————————
Artemis Live - ILS and reinsurance video interviews and podcastView all of our Artemis Live video interviews and subscribe to our podcast.

All of our Artemis Live insurance-linked securities (ILS), catastrophe bonds and reinsurance video content and video interviews can be accessed online.

Our Artemis Live podcast can be subscribed to using the typical podcast services providers, including Apple, Google, Spotify and more.

Print Friendly, PDF & Email

« Go back to the Catastrophe Bond Deal Directory

Help us keep this valuable resource up to date. If you have information on a catastrophe bond or insurance-linked security deal we have not covered or can see something that we should change, please contact us to let us know.