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Azzurro Re II DAC (Series 2022-1)

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Azzurro Re II DAC (Series 2022-1) – At a glance:

  • Issuer: Azzurro Re II DAC
  • Cedent / sponsor: UnipolSai Assicurazioni S.p.A.
  • Placement / structuring agent/s: GC Securities is sole structuring agent and bookrunner. Munich Re and BNP Paribas are co-managers
  • Risk modelling / calculation agents etc: AIR Worldwide
  • Risks / perils covered: European earthquake (covers portfolio in Italy)
  • Size: Not issued
  • Trigger type: Indemnity
  • Ratings: NR
  • Date of issue: May 2022

Azzurro Re II DAC (Series 2022-1) – Full details:

Italian insurer UnipolSai Assicurazioni S.p.A. has returned to the catastrophe bond market for its fourth visit, seeking more fully collateralised, capital market investor-backed European earthquake reinsurance protection.

This cat bond will sit a little higher up in UnipolSai’s reinsurance tower, we understand, but otherwise is relatively similar in terms of protection offered to a 2020 deal.

Irish special purpose insurance company Azzurro Re II DAC will issue a single tranche of catastrophe bond notes that will be sold to investors and the proceeds used to collateralise an earthquake reinsurance agreement between the issuing vehicle and UnipolSai.

The target size for this Series 2022-1 issuance is €100 million, although we’re told there is room for the deal to upsize, with this Azzurro Re II 2022-1 cat bond set to span a €150 million layer of UnipolSai’s reinsurance tower.

We’re told the reinsurance protection the cat bond will provide is very similar to UnipolSai’s 2020 issuance.

The protection will be on an indemnity trigger and per-occurrence basis, covering claims related to earthquakes impacting Italy and neighbouring countries, but with the covered subject business all being within UnipolSai’s home country of Italy.

The covered area includes Italy, Austria, France and Corsica (excluding overseas territories), Monaco, Slovenia and Switzerland. But, as stated, the UNL from any qualifying earthquake in the covered area will come directly from policies in Italy.

The term of coverage will be across just more than three and a half years, to the end of 2025, we understand.

The targeted €100 million of Series 2022-1 Class A notes to be issued by Azzurro Re II DAC will cover a €150 million layer of UnipolSai’s reinsurance tower, attaching at €350 million of losses and exhausting at €500 million, we understand.

The notes will have an initial expected loss of 1.5% and are being offered to cat bond investors with coupon guidance in a range from 2.5% to 3%, sources said.


After not hearing any updates regarding UnipolSai’s latest catastrophe bond for a few weeks, it became clear in late May that the transaction was struggling to gain investor support and we now understand that its issuance was halted for the moment, with UnipolSai expected to return to the cat bond market once conditions have stabilised and more capacity is available.

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